Regarding Weekend effect

Hi team, @nithin @siva

Is weekend effect real? I mean do market participants manipulate vega of options on Friday or its natural?

@Sensibull Can you.

@nithin @siva @Sensibull
Any information please?

  1. This is real. People sell options on weekend to earn Theta
  2. There is no Vega manipulation. When options are sold, price decreases. That shows up as lower IV

You can read more about it here

Thank you @Sensibull team.
I assume this happens through out Friday or EOD?

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? :slight_smile:

@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.

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@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

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