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Properties of Indian stock market: Evidence using strap option strategy

Author

Listed:
  • 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)

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.

Suggested Citation

  • P. Bangur & M. Kumar Singh & P. Kumar Singh & R. Bangur, 2021. "Properties of Indian stock market: Evidence using strap option strategy," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-13, December.
    • Handle: RePEc:wsi:ijfexx:v:08:y:2021:i:04:n:s2424786321500171
    DOI: 10.1142/S2424786321500171
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