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Commentary

Nifty options dated 25 Dec 2008?

Why has the NSE created Nifty options for an expiry dated 25 Dec 08? That is Christmas, a holiday!

Don’t tell me they didn’t know. October 30 is the last thursday for Oct 08, but the exchange is closed because it’s Diwali – but the October options are dated 29 Oct, which is a working day. So someone bothered to correct October, but not December? Someone fire the December person or get him/her trained by the October person, please.

This kind of stuff destroys computer algorithms designed to back test based on data. If the data says 25th, I would expect some trading to happen on the 25th. Otherwise it throws my algos out of whack. But this kinda thing is important to note.

I have an idea for a “clean data” project. Something that does all adjustments, cleans out data for spikes in the open/close and also adjusts for bonuses and splits, going back to say 2000. Just end of day data, for stocks, futures and options. But I’ll need help, in the whole process. If anyone’s interested talk to me.

  • Ganesh says:

    >Let me know if you ever go commercial with your systems trading.. i have been following your blog for the past year or so and could see your analysis for real (not that i took it or believed it!!) Yeah, but to the point, i guess our markets have not yet matured or cannot be considered mature yet to be fool proof!!

    A great fan of your blog and market analysis…