linux user manual alt q
TRANSCRIPT
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ALT + Q
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USER MANUAL
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Alt + Q - IV Trading & ITM Order Entry with Delta Hedging
Choose Your Exchange
and Pro/Cli with ID
Choose Order Type Normal Day 2 Leg IOC
(Opt+Delta)
Delta Hedging available with
various Parameters
Add/Update/Remove/
Clear/Start/Stop/Hide
Calculation Method:
IV Order
ITM Order
Fixed IV
Reference IV
IV Shifting Logic: Facilitates to define IV Jobbing
parameters to the user
User Defined Delta: Facilitates to define delta
hedging percentage by the user
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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.
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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
Strike Opt Type
Buy/Sell
Order Qty
User Defined IV
Premium Rate Delta %
Underlying Delta Hedging
5900 CE Buy 100 15% 83 50% -50 (Sell Underlying)
5900 CE Sell 100 16% 88.5 50% 50 (Buy Underlying)
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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.
Strike Opt Type
Buy/Sell
Order Qty
User Defined Time Premium
Intrinsic value; if the underlying @ 5900
Premium Quoted (Intrinsic Value +/- User Defined Time Premium)
5700 CE Buy 100 -20 200 180
6100 PE Sell 100 20 200 220
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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.
Strike Opt Type
Buy/Sell
User Defined Fixed IV
Value based on Fixed IV
Vega Spread
Order Price Generated
5700 CE Buy 20 190 4
190 - 2 = 188
5700 CE Sell 20 191 191 + 2 = 193
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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
Strike Opt Type
Buy/Sell
Current IV of
5700 CE Reference
Point Reference
Point IV Vega
Spread Ref IV. Diff
5700CE Order Price @ 19% 17 %( Ref. IV) +
2% (IV. Diff)
Order Price Generated (IV Based Price
+/- 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
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8. Quantity:
a. Order Quantity : Max Quantity to be placed per opportunity
b. Total Quantity : Total Quantity to be done for the specified side
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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.
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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.
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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.
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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