Properties of Indian stock market: Evidence using strap option strategy

P. Bangur, M. Kumar Singh (), P. Kumar Singh () and R. Bangur ()
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P. Bangur: WISDOM (Women’s Institute for Studies in Development Oriented Management), Banasthali Vidyapith in Banasthali, Rajasthan, India
M. Kumar Singh: ��Department and Mathematics and Statistics, Banasthali Vidyapith in Banasthali, Rajasthan, India
P. Kumar Singh: ��Department of Marketing and Strategy at ICFAI Business School, IFHE Campus Hyderabad, Telangana 501203, India
R. Bangur: WISDOM (Women’s Institute for Studies in Development Oriented Management), Banasthali Vidyapith in Banasthali, Rajasthan, India

International Journal of Financial Engineering (IJFE), 2021, vol. 08, issue 04, 1-13

Abstract: This study aims to measure the volatility behavior and movement property of the Nifty Index through the strap option strategies by using the trigonometric ratio of options (tan θ). These strategies have been analyzed on the data from 2007 to 2020 on a monthly basis. Long and short strap strategies have been used in this analysis. In both strap option strategies, the angle θ lies more in the bearish volatility quadrant and the range-bound movement quadrant, which indicates that any trader on the Nifty can consistently apply the short strap option for profit generation trading in Nifty.

Keywords: Strap options strategies; trigonometric ratio of options; angle; emerging market; performance measurement (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S2424786321500171

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