def rollover(DF, expiry_date): ''' This function takes the futures data, expiry date and returns an estimate of rollover percent ''' df = data.loc[expiry_date] Near_month_oi = df[df['ticker']=='NIFTY-I']['oi'].mean() Next_month_oi = df[df['ticker']=='NIFTY-II']['oi']...
Bali and Hite (1998) predicted that a next-day stock price drop (∆P) would be less than the dividend (D), but greater than equal to the dividend minus one tick. They found that the ratioΔP/Dwas significantly less than 1, where prices were constrained to the multiples of the tick...
I feel this is done because, on the expiry day, the option premiums are just too volatile to offset the risk by buying an option expiring on a later date. Traders sell the options expiring the same day and to reduce the risk buy an option expiring in the next week or month. But the...
I feel this is done because, on the expiry day, the option premiums are just too volatile to offset the risk by buying an option expiring on a later date. Traders sell the options expiring the same day and to reduce the risk buy an option expiring in the next week or month. But the...