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
