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Optionalysis: An Option Strangle That Took Advantage of Post-RBI-Policy Time Decay for 2%


In our attempt to use option markets for less frequent, but risk controlled trades, we had taken a trade on tuesday: Shorting the 17000-17500 BANKNIFTY Straddle at Rs. 600 each. Why Tuesday? That was the day of the RBI policy, and we wanted to avoid the event risk. Immediately after, at around 11:30 AM we went short on the straddle at 600. This involved writing a Put option (at 17000) and a Call options (at 17500) You can even chart this in the

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