[alex_laxya]

Please post your experience regarding above subject. How you guys put those futures and options related stats in trading context ? And what is your experience using then. I myself use option related data for day trading in indian market ( nifty future ) & put that data in context with auction theory to make sense of the information and avoid bias opinion. I have some limitations to back test those trading ideas 'cuz of limitations of hystorical option related data (IEOD). I wonder if that data is available for other exchanges and some one backtested ?

[Kojak]

That is a an interesting line.

There is enough evidence to show that in some markets -especially the newer emerging markets like the one you trade in the underlying cash markets actually lags the derivatives market.
See this study:An econometric analysis of the lead-lag relationship between India's NSE Nifty and its derivative contracts

So looking at the market action in the derivatives markets are probably the best form of market internals. I would look at volumes and open interest in the ATM options and see how they are doing. What is your opinion?

The other approach I would look at seriously would be to look at forecasting volatility. Volatility forms predictable trends and if we are able to forecast volatility reliably it is a very good input for trading. Volatility is far more predictable than prices.

Jose

[alex_laxya]

Thats the point, derivatives in emerging markets is really in nascent stage, ATM open interest has one more substitution which i practice, average out oi of 10 most active contracts for puts and calls for current series and divide. Instead of volume if bid - ask data analysed then picture will get more clear provided data is pure tick data & not snapshot.

[Kojak]

For the Indian markets eSignal has no options data and I am using the Futures OI - the tick Bid/Ask data. It seems to be an excellent predictor.

I am as you suggested looking at deriving a look at the market internals by analysing the Call and Put OI - the Bid/Ask ticks. What data source do you use for that?

Jose

Originally Posted by alex_laxya »

Thats the point, derivatives in emerging markets is really in nascent stage, ATM open interest has one more substitution which i practice, average out oi of 10 most active contracts for puts and calls for current series and divide. Instead of volume if bid - ask data analysed then picture will get more clear provided data is pure tick data & not snapshot.

[dales]

I'd suggest that you learn to spell Baruch. None of these are Ivy League schools; the common thread seems to be that they're located in big cities. All can give you a good education, but you'll pay dearly for the privilege; they're expensive.Ivy League schools usually aren't enthusiastic about transfers except in very unusual circumstances; they like to have you there from the beginning.

[grace2010]

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[alex_laxya]

There is very good software ' option oracle'
SamoaSky*|*option analysis software
It's totally free and I have no vested interest in the software, I found it very useful especially option pain and voltility smile are built in indicators which are useful for option writers like me.
Kojak I use one custom software which fetch data from my terminal to multicharts.