Linux user manual alt q
- 1. ALT + Q _____________________ USER MANUAL
- 2. Alt + Q - IV Trading & ITM Order Entry with Delta Hedging Choose Your Exchange Choose Order Type and Pro/Cli with ID Delta Hedging available with various Parameters Normal Day 2 Leg IOC (Opt+Delta) Calculation Method: IV Order ITM Order Fixed IV Reference IV User Defined Delta: Add/Update/Remove/ Facilitates to define delta IV Shifting Logic: Facilitates to define IV Jobbing Clear/Start/Stop/Hide hedging percentage by the user parameters to the user
- 3. All input parameters are explained below: 1. Exchange: Define the desired Exchange 2. Pro/Cli: Pro ID or Client ID 3. Symbol: Symbols listed on Exchange with respect to instrument selected 4. Opt Type: CE/PE 5. Expiry Date: Instrument Expiry Date 6. Strike: Exchange Available Strike Price for the Instrument. 7. Calculation Method: IV Order, ITM Order, Fixed IV, Refer IV.
- 4. a. IV Order Entry Based on the Strategy devised, user can Buy/Sell/Both Option at a pre-defined IV along with/without delta hedging in Equity/Future or Options at Market delta or User defined Delta. Note: Shortcut key for Option Calculator in GATS Application is > Ctrl + Page Up Opt Buy/ Order User Defined Premium Underlying Delta Strike Type Sell Qty IV Rate Delta % Hedging 5900 CE Buy 100 15% 83 50% -50 (Sell Underlying) 5900 CE Sell 100 16% 88.5 50% 50 (Buy Underlying)
- 5. b. ITM (In The Money) Order Entry This strategy is to Buy/Sell ITM Options with or without delta hedging at a user defined time premium over or below (plus or minus) the intrinsic value. Opt Buy/ Order User Defined Intrinsic value; Premium Quoted Strike Type Sell Qty Time Premium if the underlying @ 5900 (Intrinsic Value +/- User Defined Time Premium) 5700 CE Buy 100 -20 200 180 6100 PE Sell 100 20 200 220
- 6. c. Fixed IV Order Entry This strategy is to Buy/Sell/Both Options with or without Delta hedging at a user defined Fixed Volatility along with Vega Spread. Opt Buy/ User Defined Value based Vega Order Price Strike Type Sell Fixed IV on Fixed IV Spread Generated 5700 CE Buy 20 190 190 - 2 = 188 4 5700 CE Sell 20 191 191 + 2 = 193
- 7. d. Reference IV Order Entry This strategy is to Buy/Sell/Both Options with or without Delta hedging at a defined reference point along with Vega Spread Current 5700CE Order Price Order Price Opt Buy/ IV of Reference Reference Vega @ 19% 17 %( Ref. IV) + Generated (IV Based Price Strike Type Sell 5700 CE Point Point IV Spread Ref IV. Diff 2% (IV. Diff) +/- Vega Diff) 5700 CE Buy 20.00% 5700 PE 17% 2 2% 190 190 - 2 = 188 5700 CE Sell 20.50% 5700 PE 17% 2 2% 191 191 + 2 = 193
- 8. 8. Quantity: a. Order Quantity : Max Quantity to be placed per opportunity b. Total Quantity : Total Quantity to be done for the specified side
- 9. 9. Delta Hedging Parameter: a. Yes/No : Option for Delta hedging or not b. Equity/Future/Option : Choice for Hedge security c. Expiry : Expiry of hedge security d. Delta Price Type : i. Market – Submit the hedging order as Limit order with price as LTP. ii. Best Bid / Ask – Submit the hedging order at best bid / ask price. iii. Best Buyer / Seller – Submit the hedging order at best buyer / seller price. iv. Actual diff – Submit hedging order at the actual difference set by the user. e. User Delta: User can define how much delta in terms of percentage needs to be hedged. 10.IV Shifting Logic The IV Shifting logic window gets activated under Fixed IV & Reference IV methods and the functionality works only if the user opts for both i.e. buy/sell.
- 10. Example: - If the user has opted for Fixed IV method along with buy & sell order for the same underlying at a fixed user defined IV of 14% along with Vega difference of 10. Also the user has inputted the IV Shifting logic parameters as shown above: IV Shift to – 1.00%, Net Quantity – 100. Based on the above parameters, the system will first generate buy and sell order both at 14% IV and +(Sell) / -(Buy) 5.00 i.e. Average Vega difference(10/2) for the first order quantity of 100 as shown above. During the order generation process if 100 Qty of buy side gets executed at 14% IV (minus) -5 Vega Difference at Rs.100 (assuming that the option is priced at Rs.105 at 14% IV (minus) -5 Vega Difference). For the next order quantity of 100, it will place a buy order considering the IV of 13% (minus) - 5, given the IV shift parameter of 1.00% and net qty 100 i.e. { Fixed IV 14% - IV Shift 1% }. During the order generation process if 100 Qty of sell side gets executed at 14% IV (plus) +5 Vega Difference at 110 (assuming that the option is priced at Rs.105 at 14% IV (plus) +5 Vega Difference). For the next order quantity of 100, it will place a sell order considering the IV of 15% (plus) + 5, given the IV shift parameter of 1.00% and net qty 100 i.e. {Fixed IV 14% + IV Shift 1%}. Note: At any point the order quantity for buy side or sell side will not exceed the order quantity of 100 as mentioned in above example.
- 11. Market Volatility Buy Order Buy Trade Status Sell Order Sell Trade Status 14% 100 100 Qty Traded FILL 110 No Trade CANCEL 13% 90 100 Qty Traded FILL 100 No Trade CANCEL 12% 80 100 Qty Traded FILL 90 No Trade CANCEL 13% 90 No Trade CANCEL 100 100 Qty Traded FILL 14% 100 No Trade CANCEL 110 100 Qty Traded FILL 11.Pending Order Leg Condition: 1. Bidding Upto is the defined amount by extent to which the order price generation will be made better. . 2. Depth Upto which denotes the market depth level. 3. Threshold quantity percentage indicates the quantity availability in market depth.
- 12. 12. Pending Against Order: 1. TimeOut which denotes the interval within which pending orders will be modified. 2. Modification Count denotes the number of modifications for the pending order. 12. Add: Adds the new arbitrage opportunity setting to the arbitrage Grid 13. Update: Modifies any previously added settings to the arbitrage Grid 14. Remove: Removes any previously added settings from the arbitrage Gird 15. Save File:This facilitates the user to create and save the order file 16. Load File: This facilitates the user to load the saved order file. 17. Clear All: Removes all arbitrage settings from the arbitrage Gird 18. Start: Starts calculating the opportunity and submission of the orders 19. Stop: Stops calculating the opportunity. Calling this will cancel all pending orders from order book operated by the arbitrage module 20. Hide: Hide the active strategy window