Properties of Indian stock market: Evidence using strap option strategy

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 [Formula: see text]). 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 [Formula: see text] 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.