Nifty Bank IndexViés de baixa
11th Oct 2024 - BankNifty weekly index died - so did my Algos
BankNifty Stance Bearish ️⬇️
For the week of 7th to 11th October, BankNifty fell 382pts ~ -0.74%, the price action looked stable and sideways but the only reason I am bearish is because of the preceding week's price action. If BN reverses and takes out 51713 decisively, I will change my stance to neutral next week.
Two major decisions happened on BankNifty this week.
RBI MPC decided to keep the repo rates unchanged but they removed the "withdrawal of liquidity" ~ meaning, the money supply will not be restricted.
NSE decided to remove the BankNifty weekly expiries as SEBI demanded that an exchange have only 1 weekly expiry per week.
In the earlier discussions also, I had pointed out that NSE would always prefer to keep Nifty as the weekly expiry as it had everything to do with hedging. This happened despite BankNifty being the darling index for options traders.
Personally, the algo that I am using will no longer work if BankNifty's weekly expiry is removed. I guess I tried out 50+ combinations to see if something could be worked out. The biggest challenge is the fees and charges for the monthly series as its premiums are higher. Definitely the lower theta is also working against it.
It took me over 3.5 years to develop, iterate and perfect the Algo. You can notice how the profits have dropped when the monthly is chosen over the weekly. Both the screenshots are without the exchange charges, the moment that is included, monthly's PnL almost goes to RED.
weekly PnL backtestmontly PnL backtestI am quite sure, many other traders would be impacted if their strategy is quite similar to mine. Guess there is no way out, but to decommission the program and think of something new. After all, when a door closes, 4 others should open.
For the week of 7th to 11th October, BankNifty fell 382pts ~ -0.74%, the price action looked stable and sideways but the only reason I am bearish is because of the preceding week's price action. If BN reverses and takes out 51713 decisively, I will change my stance to neutral next week.
Two major decisions happened on BankNifty this week.
RBI MPC decided to keep the repo rates unchanged but they removed the "withdrawal of liquidity" ~ meaning, the money supply will not be restricted.
NSE decided to remove the BankNifty weekly expiries as SEBI demanded that an exchange have only 1 weekly expiry per week.
In the earlier discussions also, I had pointed out that NSE would always prefer to keep Nifty as the weekly expiry as it had everything to do with hedging. This happened despite BankNifty being the darling index for options traders.
Personally, the algo that I am using will no longer work if BankNifty's weekly expiry is removed. I guess I tried out 50+ combinations to see if something could be worked out. The biggest challenge is the fees and charges for the monthly series as its premiums are higher. Definitely the lower theta is also working against it.
It took me over 3.5 years to develop, iterate and perfect the Algo. You can notice how the profits have dropped when the monthly is chosen over the weekly. Both the screenshots are without the exchange charges, the moment that is included, monthly's PnL almost goes to RED.
weekly PnL backtestmontly PnL backtestI am quite sure, many other traders would be impacted if their strategy is quite similar to mine. Guess there is no way out, but to decommission the program and think of something new. After all, when a door closes, 4 others should open.
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