A Strategy betting on Fall in India VIX Follow Up | Stocks and Commodities

November 9, 2015
Time: 10.15

A Strategy betting on Fall in India VIX Follow Up:

1. On Thursday, I suggested creating positions in Nifty 7700 Put and 8300 Call and Bank Nifty 16500 Put and 17500 Call.
2. The idea was that by Friday, India VIX should fall and there will be some profit.
3. But due to conflicting Exit Poll results, the VIX did not fall, but rose.
4. Despite the rise in the VIX, the combined premium was the same by Friday closing.
5. The combined premium was Rs 425 in Bank Nifty and the combined premium in Nifty was Rs 83.
6. Today, despite such a poor performance by BJP, though markets fell, India VIX crashed by more than 12%.
7. Bank Nifty combined premium today is just Rs 260. so it is a profit of Rs 165 per share and Rs 4950 per lot.
8. This is the return just in two trading sessions, this is a return of more than 10% return in just two trading sessions.
9. Similarly the combined premium in Nifty is only Rs 36. So this is a profit of Rs Rs 47 per share and Rs 3525 per lot. This is also more than 10% return.
10. This is the magic of India VIX, we would have got the same return even if BJP had won and the market had been up. In that case we would have got more profit in Put and less profit in Call whereas now we got more profit in Call and less profit in Put.