Wednesday, December 7, 2011

Currency Options Tips

The total traded volume in USD/INR option contract was USD 449 Mio. The total market open interest is USD 1.47 Bio. 9% of the
volume was seen in 51 call and put strike. 4% of the volume has been seen in 51.25 call and put strike. 30% of the volume was seen in
51.50 call and put strike. 51% of the volume was seen in 49.25 to 50.75 & 51.75 to 52.75 call and put strike.                                                                                                                                                                                                                      
Volatility on call option has been in the range of 10.13 to 10.56% & for put option the volatility has been in the range of 10.07 to
10.52%.The volatility on call option has increased by 0.70 to 0.90%.The volatility on put option has also increased by 0.46 to 0.66%.
Put/Call Ratio of 51.50 is 0.78 which has decreased from the previous level of 0.82 which indicates that market is expecting rupee to  depreciate in the near term.

Trading Strategy:
Sell Dec USD 52.50 Call @ 25 paise with a stop of 30 paise for a target of 15 paise.


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