ALT + Q

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USER MANUAL

Alt + Q - IV Trading & ITM Order Entry with Delta Hedging

Choose Your Exchange

and Pro/Cli with ID

Choose Order Type Normal Day 2 Leg IOC

(Opt+Delta)

Delta Hedging available with

various Parameters

Add/Update/Remove/

Clear/Start/Stop/Hide

Calculation Method:

IV Order

ITM Order

Fixed IV

Reference IV

IV Shifting Logic: Facilitates to define IV Jobbing

parameters to the user

User Defined Delta: Facilitates to define delta

hedging percentage by the user

All input parameters are explained below:

1. Exchange: Define the desired Exchange

2. Pro/Cli: Pro ID or Client ID

3. Symbol: Symbols listed on Exchange with respect to instrument selected

4. Opt Type: CE/PE

5. Expiry Date: Instrument Expiry Date

6. Strike: Exchange Available Strike Price for the Instrument.

7. Calculation Method: IV Order, ITM Order, Fixed IV, Refer IV.

a. IV Order Entry

Based on the Strategy devised, user can Buy/Sell/Both Option at a pre-defined IV along with/without delta

hedging in Equity/Future or Options at Market delta or User defined Delta.

Note: Shortcut key for Option Calculator in GATS Application is > Ctrl + Page Up

Strike Opt Type

Buy/Sell

Order Qty

User Defined IV

Premium Rate Delta %

Underlying Delta Hedging

5900 CE Buy 100 15% 83 50% -50 (Sell Underlying)

5900 CE Sell 100 16% 88.5 50% 50 (Buy Underlying)

b. ITM (In The Money) Order Entry

This strategy is to Buy/Sell ITM Options with or without delta hedging at a user defined time premium

over or below (plus or minus) the intrinsic value.

Strike Opt Type

Buy/Sell

Order Qty

User Defined Time Premium

Intrinsic value; if the underlying @ 5900

Premium Quoted (Intrinsic Value +/- User Defined Time Premium)

5700 CE Buy 100 -20 200 180

6100 PE Sell 100 20 200 220

c. Fixed IV Order Entry

This strategy is to Buy/Sell/Both Options with or without Delta hedging at a user defined Fixed Volatility

along with Vega Spread.

Strike Opt Type

Buy/Sell

User Defined Fixed IV

Value based on Fixed IV

Vega Spread

Order Price Generated

5700 CE Buy 20 190 4

190 - 2 = 188

5700 CE Sell 20 191 191 + 2 = 193

d. Reference IV Order Entry

This strategy is to Buy/Sell/Both Options with or without Delta hedging at a defined reference point along

with Vega Spread

Strike Opt Type

Buy/Sell

Current IV of

5700 CE Reference

Point Reference

Point IV Vega

Spread Ref IV. Diff

5700CE Order Price @ 19% 17 %( Ref. IV) +

2% (IV. Diff)

Order Price Generated (IV Based Price

+/- Vega Diff) 5700 CE Buy 20.00% 5700 PE 17% 2 2% 190 190 - 2 = 188

5700 CE Sell 20.50% 5700 PE 17% 2 2% 191 191 + 2 = 193

8. Quantity:

a. Order Quantity : Max Quantity to be placed per opportunity

b. Total Quantity : Total Quantity to be done for the specified side

9. Delta Hedging Parameter:

a. Yes/No : Option for Delta hedging or not

b. Equity/Future/Option : Choice for Hedge security

c. Expiry : Expiry of hedge security

d. Delta Price Type :

i. Market – Submit the hedging order as Limit order with price as LTP.

ii. Best Bid / Ask – Submit the hedging order at best bid / ask price.

iii. Best Buyer / Seller – Submit the hedging order at best buyer / seller price.

iv. Actual diff – Submit hedging order at the actual difference set by the user.

e. User Delta: User can define how much delta in terms of percentage needs to be hedged.

10. IV Shifting Logic

The IV Shifting logic window gets activated under Fixed IV & Reference IV methods and the

functionality works only if the user opts for both i.e. buy/sell.

Example: -

If the user has opted for Fixed IV method along with buy & sell order for the same underlying at

a fixed user defined IV of 14% along with Vega difference of 10. Also the user has inputted the

IV Shifting logic parameters as shown above: IV Shift to – 1.00%, Net Quantity – 100.

Based on the above parameters, the system will first generate buy and sell order both at 14% IV

and +(Sell) / -(Buy) 5.00 i.e. Average Vega difference(10/2) for the first order quantity of 100 as shown

above.

During the order generation process if 100 Qty of buy side gets executed at 14% IV (minus) -5

Vega Difference at Rs.100 (assuming that the option is priced at Rs.105 at 14% IV (minus) -5 Vega Difference). For the

next order quantity of 100, it will place a buy order considering the IV of 13% (minus) - 5, given the

IV shift parameter of 1.00% and net qty 100 i.e. { Fixed IV 14% - IV Shift 1% }.

During the order generation process if 100 Qty of sell side gets executed at 14% IV (plus) +5

Vega Difference at 110 (assuming that the option is priced at Rs.105 at 14% IV (plus) +5 Vega Difference). For the next

order quantity of 100, it will place a sell order considering the IV of 15% (plus) + 5, given the IV

shift parameter of 1.00% and net qty 100 i.e. {Fixed IV 14% + IV Shift 1%}.

Note: At any point the order quantity for buy side or sell side will not exceed the order quantity of 100 as mentioned in

above example.

Market Volatility Buy Order Buy Trade Status Sell Order Sell Trade Status

14% 100 100 Qty Traded FILL 110 No Trade CANCEL

13% 90 100 Qty Traded FILL 100 No Trade CANCEL

12% 80 100 Qty Traded FILL 90 No Trade CANCEL

13% 90 No Trade CANCEL 100 100 Qty Traded FILL

14% 100 No Trade CANCEL 110 100 Qty Traded FILL

11. Pending Order Leg Condition:

1. Bidding Upto is the defined amount by extent to which the order price generation will

be made better. .

2. Depth Upto which denotes the market depth level.

3. Threshold quantity percentage indicates the quantity availability in market depth.

12. Pending Against Order:

1. TimeOut which denotes the interval within which pending orders will be modified.

2. Modification Count denotes the number of modifications for the pending order.

12. Add: Adds the new arbitrage opportunity setting to the arbitrage Grid

13. Update: Modifies any previously added settings to the arbitrage Grid

14. Remove: Removes any previously added settings from the arbitrage Gird

15. Save File:This facilitates the user to create and save the order file

16. Load File: This facilitates the user to load the saved order file.

17. Clear All: Removes all arbitrage settings from the arbitrage Gird

18. Start: Starts calculating the opportunity and submission of the orders

19. Stop: Stops calculating the opportunity. Calling this will cancel all pending orders

from order book operated by the arbitrage module

20. Hide: Hide the active strategy window