The Complete March month Marketcalls decided to focus more on Implementing Option Strategies in Amibroker. As a kickstart thought of coding simple concepts before turning out with Complex Ideas. As an initiative thought of starting with implementing Option Spreads with Strangle and Straddle.
If you are an Options Strategic Player then probably you would be interested in monitoring the Option Spread in Realtime. However a time series option spread is even more interesting. The below image shows the Option Spread of 6000CE + 6400CE long straddle strategy for march option series.
_SECTION_BEGIN("Strangle and Straddle Spread");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N( Symbol1= ParamStr("Strike1", "NIFTY14MAR6000CE") );
SetForeign( Symbol1 );
C1 = C;
H1 = H;
L1 = L;
O1 = O;
V1 = V;
RestorePriceArrays();
_N( Symbol2= ParamStr("Strike2", "NIFTY14MAR6400CE") );
SetForeign( Symbol2 );
C2 = C;
H2 = H;
L2 = L;
O2 = O;
V2 = V;
RestorePriceArrays();
Color = ParamColor( "Color", colorDefault );
Style = ParamStyle( "Style", styleLine, maskPrice );
PlotOHLC( O1+O2, H1+H2, L1+L2, C1+C2, "(" + Symbol1+" + "+Symbol2 + ") spread", Color, style );
_SECTION_END();
Procedure to Setup the Strangle and Straddle Option Spread
1.Download Strangle and Straddle Option Spread AFL code to Amibroker/Formulas/Options Spread directory
and Unzip the file. Create Options Spread Directory if it doesn’t exist.
2.Open Amibroker->Open New Blank Chart
3.Now on the Left Pane goto Charts->Option Spread and drang and drop Strangle and Straddle Spread to the blank chart.
4.Bingo! you got the Spread chart.
5.To Change the spread right-click over the charts and goto Parameters where you have control to change the strike1 and strike2 prices as shown below
What Strategies are covered in the AFL Code?
1.Long Strangle – Volatility Strategy
2.Long Straddle – Volatility Strategy
3.Short Straddle – Neutral Strategy
4.Short Straddle – Neutral Strategy
Prerequisite
Realtimedatafeed for Amibroker which Supports NSE Options.
Every day we are planning to release a set of Option spread strategies. Put you ideas to bring more stuff here. Stay Tuned!
Yes, It is a good start. But you know these kind of option strategies also hit SL sometimes. Why do you not consider the OI change in Options considered in these type of strategies and define something accurate by more than 95% in options. Till now, we use your super trend in sell side of options.However it working great, we did observe returns in terms of % looks lesser. Any how it is a new beginning in options. Hope we can expect more from your group on this. If possible we will be ready to share our ideas as well.
I want to Configure AFL code in AMI Software for Auto Buy Sell Signal indicator with price… with Help…
exactly what i been looking for .. thanks a ton dear
Can you design greek based short straddle – delta neutral strategy
HI, how to back test this strategy in amibroker ,
Thanks in advanced
Thanks for the post. Very informative and nicely written. Instead of selecting the pre-defined option, can I programmatically select an option in AFL based on some other condition like moving average cross over on Nifty. I am trying to implement this in an AFL. I wanted to know if its doable.
One can do that programatically however one cannot create as parameter control in Amibroker dynamically.
not able to download
not able to download please help
Try now