Dhananjayan J

Chennai, Tamil Nadu, India
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Experienced Managing Partner with a demonstrated history of working in the investment…

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Experience & Education

  • Indian Institute of Management, Calcutta

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Publications

  • Stock Paradox

    Notion Press

    Investing in stocks using data science

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  • Option Trading Strategy in NIFTY in NSE, India

    www.ssrn.com

    Options are most often regarded as insurance against the price movements in the underlying stock or an index. It is a right to exercise the holders desire to buy (CALL) or sell (PUT). These options are priced based on the Holy Grail kind of formulae called ‘Black-Scholes’ model. This logic behind the formulae is based on current underlying asset price, intrinsic value, time for expiry, volatility, interest rates and dividend, if any, paid. As the expiry date nears, the option premium price…

    Options are most often regarded as insurance against the price movements in the underlying stock or an index. It is a right to exercise the holders desire to buy (CALL) or sell (PUT). These options are priced based on the Holy Grail kind of formulae called ‘Black-Scholes’ model. This logic behind the formulae is based on current underlying asset price, intrinsic value, time for expiry, volatility, interest rates and dividend, if any, paid. As the expiry date nears, the option premium price tends to go down. However such fall happens only at the fag end of the option period. In between periods, one can watch an interesting fact about the option premium price. It tends to move along with the value of the underlying asset. But the spread between the value of underlying assets and the option premium is wide enough to make huge profit. Investors can benefit from this spread on the direction of the underlying. In this paper, we are going to discuss various strategies that can be used to gain this spread

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