ABSTRACT

The purpose of this paper is to measure the intrinsic characteristics of the Indian capital market through the long and short strangle options strategies. The study uses the trigonometric ratio Tan θ to form the monthly angle between strategy profit and Nifty closing. Further, the results of monthly angle formation have been verified by the regression analysis. The result of the angle formation indicates that the short strangle option strategy may perform better on the Nifty Index in the future. To the best of our knowledge, this is the first research where different properties of any index through the strangle options strategies using the Angle (Tan θ) have been analyzed on the Nifty Index of India. These findings will help investment management companies, retail investors, and investment advisors for profit maximization while trading in Nifty.

摘要

本文的目的是通过多空扼杀期权策略来衡量印度资本市场的内在特征。该研究使用三角比率 Tan θ 来形成策略利润与 Nifty 收盘之间的月度角度。此外，月角度形成的结果已经通过回归分析得到验证。角度形成的结果表明，空头扼杀期权策略未来可能在 Nifty 指数上表现更好。据我们所知，这是第一项通过使用 Angle (Tan θ) 的扼杀期权策略在印度 Nifty Index 上分析任何指数的不同属性的研究。这些发现将有助于投资管理公司、散户投资者和投资顾问在 Nifty 交易时实现利润最大化。