Is weekend effect real? I mean do market participants manipulate vega of options on Friday or its natural?
- This is real. People sell options on weekend to earn Theta
- There is no Vega manipulation. When options are sold, price decreases. That shows up as lower IV
You can read more about it here
Its true that index management happens - especially in markets like this it might need very low volume to move prices to forcibly hit known pivots/ integer price stoploss etc.
@traderight.co
We do not know honestly. Let me put it this way, if there is money to be made by the collusion of a few market participants, it is highly likely that they will do it if the chance of getting caught by a regulator is low.
I am not saying this, but just what happened in the markets for the last 100 odd years. Remember the LIBOR scam by Barclays?
@Sensibull: I am not saying its scams - though like you said it cant be ruled out either.
This is more game theory: Upfront you dont know the stop loss etc volume, its a conjecture. My limited point is that people might be able to trigger domino effects given past investor behaviour trends.
@traderight.co
Ah that, yes. At a very simple level, if someone realizes that most retail individuals keep stops at numbers ending with 90 (8090, 8190, 8290 etc) that itself can be exploited. I can easily find such patterns looking at the ticks from NSE trade data. Just giving a very basic example, pretty sure the game is played at much more advanced levels.
And like you said, a lot of people doing this, will lead to game theory, and this eventually hitting the (Nash?) equilibrium