Multi-leg Options Strategies by Sensibull - Feedback and Feature Requests


We launched Multileg Options on Nifty and Bank Nifty today. Would love to hear feedback, feature requests, and usability issues from our usual suspects.

Here are some pointers:

  1. We have call and put spreads, straddles, strangles, Iron Butterflies and Iron Condors for now. We would love to know what are your favourite strategies. Please let us know, we will add them next.
  2. In Under the hood feature (left menu bar bottom) you can go and examine things like calculations, prices of options, Greeks etc.

Upcoming features in the next 2 week or so

  1. A custom strategy builder is on the way, so that will take care of things not covered in one.
  2. We will add single stock options to this feature soon
  3. Pay-Off Diagrams

Tagging some power users for their attention:
@Ram_mohan @Aditya_Bhat @maddy_Des @Neha_Raghuraman @portfolioplus911 @VelmuruganSengottai @DA3110 @KarthikNarayan @PS7 @Subhadip

Thanks Guys!


Add Calendar spread

I observed most of the times only selling of options is shown and rarely buying… Option selling requires huge margin… :grinning:

Hello @vgopalbk

Could you please tell me more about this.
Why do you trade calendar spreads?
What calendar spreads do you trade most often?
What exact conditions do you look for?
When do you enter and exit?
In which stocks.

I would like to think through the entire flow, and understand the mind of a calendar spread trader. Thanks!

Hey! Missed you.

How have you been.

Yes, the observation is right. Because unless the move is big and quick, it is always a sell option over a buy option.

Yes, the margin requirements are heavy. And sadly the sell options win more. One more conspiracy theory explanation to the rich get richer and the poor get poorer, right? :smiley:

If you have feedback, or anything you want, let me know. We will add it to the roadmap.

Have a great weekend!

i just started calendar spreads like Put calendar, call calendar & double calendar on Nifty & Bank nifty index options.
Selling in Baknifty weekly & buying in monthly Expiry with same strike price.
time decay works as long as the market stays within the spread range.
Can be traded as either a bullish or bearish strategy.Benefits from an increase in volatility.
Losses are limited if the index price moves drastically.

If you add calendar Spread strategies in your portal with graphical chart (attached for reference), it will be helpful us to trade through your system.

Which platform?

Just a basic or naive question:

The website states that Sensibull will be free till Aug 2018. I want to ask what we can expect in terms of charges in the future for such services? Have you decided upon the pricing of the platform?

Hey @maddy_Des
That’s Stratoptions by Deepak Shenoy’s Capitalmind

Hey Ashok!
We are still figuring out the charges. The general thought process is, at least for the basic version, we will keep it less than the STT of a single lot of a Nifty option. So assuming you make money on at least one buy option trade, pay us less money than what you give the taxman who does nothing for us anyway :smiley:

Hi Team,
I feel the calculations are not right out here in the screen print,

LTP,Target price,Max profit and Max loss how it is being arrived for multi leg strategies ?
Also If you could have a link from here and show us , if nifty expires in so and so strike - what would be the premium values for each strike and cumulative profit/loss.

Ram mohan

Hey @Ram_mohan Thanks for the post.

The numbers you see here are max loss and max profit for expiry day.

The profit you see is for the target day.

We should have added that extra piece of info clearing saying this max numbers are for expiry. Missed out on saying that in text.

Here is the math for max profit, max loss, profit and P&L.

Your trade has an entry price of 202.3., which is all net premium in.
Your Max profit will happen if you make the whole premium in on expiry, which is 202.3*75 = 15172.5
Max loss will happen if the spot ends either extremely down , or extremely up, in which case you will lose a maximum of 300 - Premium In. The 300 comes from the difference in strikes, which is 10800 - 10500, OR 11100-10800

*So Max Loss = (300-202.3)75 = 7300.

This is not where it ends. You will end up losing STT on one of your protection legs, so add around 1000 (10800X.125%) . So the loss comes to around 8300+ with STT buffer. Actually we do not calculate STT at 10800, we assume a really bad movement and calculate the worst STT which turns out to be around 500 rs extra than your reall STT loss. Just playing safe and pessimistic.

Now for profit, which is for target day and not expiry day, here is the math:
You started at 202.3, and your end is at 185.45 net premium
Which is giving a P&L of 202.3-185.45 16.85*75 = 1263.75

Now that we are here, I have a question. Would you like to see max profit or expiry, or a reasonable estimate of the max loss under some stress level condition on target day. Say spike in IV + spot?

Your second request already exists. You can add the strategy you want to analyze to compare, and see P&L under various scenarios.

Here is a demo video:

If u can show historical volatility and implied volatility side by side and show some notification or display on screen when there is a crossover. I think when historical volatility is higher than implied, option is considered cheaper (pls correct if wrong)… Then such a crossover can be taken as signal for entry - so say when iv just crosses over historical, say “Buy” option bcoz it’s about to move up… Something like that wud b very useful for naive option buyers as well as pro… :grinning:


That would be a trap. The relationship between IV and HV (we call it realized volatility) is not a simple as that.

And it is not a simple concept. It was complex enough to be asked in a quant interview I had with Deutsche London Structuring desk long back for exotic FX options, in which they asked this very question.

So HV> IV makes money if the HV> IV happens around the high gamma area of your option portfolio’s profile. That is, you have 10800 Calls bought, and while the index is around 10800, a lot of volatility happens to the left and right of your strike, where you have the highest gamma.

Also, if IV < HV, it is not really a good entry point. Example - you are in a run up to an event, the HV there will be high. After the event, IV will fall and will be lower than HV. Does not mean that you can buy IV, because after the event, obviously the realized vols after the event will fall and you will generally lose money if that happens.

Finally, all these rules about HV versus IV apply when you have the ability to do continuous delta hedging.

The practical way to look at this is, look at what the IV is, and figure out how much movement you need to break even on that option by recovering the Theta. We used to do this in our option trading desk - “If theta is X today, assuming vol is constant, I need Y% movement at least”. And if we think there will be a bigger move we go long gamma, or in non- Lehman’s (pun pun pun) terms, long options.

So the trick, IMHO is look at your estimate of future volatility/ movement versus the movement factored in the IV. HV will not help you there

No I just said option is perceived cheaper… We wait till it reverts to the hv or the base average. Entry cud be once it crosses over the hv. I feel it means something is brewing inside and volatility will rise due to this causing “cheaper” option to become costlier … May be it’s not as simple as I thought… :grinning:


I get what you mean. Slightly complicated :slight_smile:

You are trying to do technical analysis on IV :smiley: , which is not wrong IMO.

The only point then is you will have to do vega trades without much Theta play to capitalise on this IV up down view. Your gain or loss is vega has to be more than the Theta you pay or receive. Very very tricky stuff.

I am assuming that you are delta neutral in this trade, if not it opens another thread altogether.

TLDR, although not fully correct, will be IV rise view => buy put/ sell call
IV fall =>buy call/ sell put

To a large extent we will solve this problem when we have IV rank and percentile. So you can look for high IV and low IV.

Yes… In a way… It’s like hv is long-term avg, iv is short term… So while “buying” option lottery for directional trade, cud be 1 of d checklist point with due respect to Theta blackhole :slight_smile:
So I shall be wanting to buy say call atm or slight otm option if:

  1. Long-term price chart (weekly or monthly) of underlying is bullish
  2. Correction seems to be over as buying seems to be visible near major avg
  3. Min 15 days to expiry
  4. Iv has just given a crossover abv hv

Is it a good setup…??

IV above HV? Or IV below HV? I am guessing since you are planning to buy cheap options, you are looking for IV below HV.

  1. The stock is bullish - Normally when stock goes up, IV goes down. So IV decline on the cards.
  2. Correction seems to be over, and IV is now declined and below HV. There is further possibility of IV decline, because that what happens at the end of corrections.

The risk here is

  1. 15 days to go is decent Vega left. You can see that NIFTY ATM for instance has a Vega of 500 Per lot. Single stocks are higher typically, and the vols can move quite a bit. Like a 50 percent to 45 percent vol decline is 2500 per lot straight away if Vega per lot is 500.

  2. Theta is 350 bucks with 15 days to go on NIFTY per lot. Again, red flag. And it goes higher near the expiry.

If I were you, I would sell a put spread here. Theta positive, Vega negative, even if nothing happens and stock consolidates, I make some money.

Or am I missing something?