Change in KOSPI 200 (K200) Options Contract Spec

There are some changes to KOSPI 200 (K200) Options contract spec.  It is a shame that I don't know when it had been changed, how to get alerted when such changes happened.  Fortunately, the changes are good changes.

These are the changes:
1. Tick Size & Value
0.01 point (KRW 5,000) for less than 3 10 point of premium
0.05 point (KRW 25,000) for 3 10 point or more of premium

2. Strike Price Interval
At newly listing date:
① The nearest 3 6 contract month : 13 25 strike prices with 2.5p interval
(6 12 are in-the-money, 1 is at-the-money and 6 12 are out-of-the-money)
② The next quarterly month : 7 strike prices with 5.0p interval
(3 are in-the-money, 1 is at-the-money and 3 are out-of-the-money)
② The 7th and 8th nearest contract month : 13 strike prices with 5p interval
(6 are in-the-money, 1 is at-the-money and 6 are out-of-the-money)
③ The farthest 3 contract month : 7 strike prices with 10p interval
(3 are in-the-money, 1 is at-the-money and 3 are out-of-the-money)

Strike price shall be additionally set to maintain the number of strike price described as below
① The nearest 6 contract month : 25 strike prices with 2.5p interval
② The 7th and 8th nearest contract month : 13 strike prices with 5p interval
③ The farthest 3 contract month : 7 strike prices with 10p interval

Daily Action Plan

Thursday, 20 August 2015

K200 closed at 234.27 -0.93 (-0.40%) on Aug19, IV 13.733%, HV 12.312%, IV/HV 111.5%.

1. September 227.5/230 Put Spread

- DTE 22 days

- Delta 30.17 

- Loss 180% (1 points down move will hit > 200%)

- 4.27 points away

- 227.5/230 Put bid/ask 1.88/1.89 (1 points down move will hit > 3.00)

- 1SD (244.57/225.83)

 Action : Cut loss if Delta > 30, Loss > 200%, before 237.5 put get close to 3.00.

2. October position

- DTE 50 days

- 1SD (249.51/221.23)

- Action : accumulate if Entry guidelines met

Daily Action Plan

Wednesday, 19 August 2015

K200 closed at 235.20 -0.17 (-0.07%) on Aug18, IV 13.295%, HV 13.079%, IV/HV 101.6%.

1. September 227.5/230 Put Spread

- DTE 23 days

- Delta 24.39 (2 points down move will hit above Delta 30)

- Loss 111% (3 points down move might hit > 200%)

- 5.20 points away

- 227.5/230 Put bid/ask 1.39/1.40 (3 points down move might  hit > 3.00)

- 1SD (244.57/225.83)

 Action : Monitor closely on the Delta, Loss% and the price of 237.5 Put.  Cut loss if Delta > 30, Loss > 200%, before 237.5 put get close to 3.00.

2. October position

- DTE 51 days

- 1SD (249.16/221.24)

- Action : accumulate if Entry guidelines met

Entry Guideline updated

To expand on my previous post Two Out of Three, I have updated my Entry Guideline with more details.

Entry Guidelines
A. Position

B. Price

C. Time

Conditions for Entry

1. Implied Volatility (IV) is higher than Historical Volatility (HV)

2. When the volatility is spiking up (that is, a down day)

3. Sell put on a down market; Sell call on a up market

A. Position

1. Strike outside Straddle range

2. Strike outside One Standard Deviation

3. Strike outside previous highs and lows

4. Delta 10 or lower (not more than 12)

B. Price

- minimum of 0.20 credit or greater

- minimum 12% return on margin

C. Time

- Days To Expiration (DTE) 6-8 weeks (42-56 days)

- DTE not lesser than 49 (consider if volatility takes a huge jump before day 42)

This is also updated in the Trading Plan.

Daily Action Plan

Tuesday, 18 August 2015

K200 closed at 235.37 -1.95 (-0.82%) on Aug17, IV 13.327%, HV 13.112%, IV/HV 101.6%.

1. September 227.5/230 Put Spread

- DTE 24 days

- Delta 25.88 (2 points down move will hit above Delta 30)

- Loss 100% (3 points down move might hit > 200%)

- 5.37 points away

- 227.5/230 Put bid/ask 1.30/1.31 (3 points down move might  hit > 3.00)

- 1SD (244.97/225.77)

 Action : Monitor closely on the Delta, Loss% and the price of 237.5 Put.  Cut loss if Delta > 30, Loss > 200%, before 237.5 put get close to 3.00.

2. October position

- DTE 52 days

- 1SD (249.51/221.23)

- Action : accumulate if Entry guidelines met

Daily Action Plan

Monday, 17 August 2015

K200 closed at 237.32 +0.08 (+0.03%) on Aug13, IV 13.200%, HV 13.163%, IV/HV 101.9%.

1. September 227.5/230 Put Spread

- DTE 25 days

- Delta 19.13

- Loss 50% 

- 7.32 points away

- 1SD (247.68/226.96)

- Action : No action required if K200 stay within +/- 2 points.

2. October position

- DTE 53 days

- 1SD (251.97/222.67)

- Action : accumulate if Entry guidelines met

Weekly Market Review K200

Daily : Downtrend.  Lower High Lower Low.  

K200 ended slightly lower this short week (4 trading days), with a pause at last 2 trading days.

MACD are still heading down.  

Daily remains bearish, with a small probability of retracement up.

Weekly :Sideway.  Short-term Downtrend.

This week bar reflect the same pause as in daily.

MACD continues to head down and widening.  

Weekly remains bearish.

Monthly : Sideway.    Short-term Downtrend.

240 support is broken.  Next support 230.  This new month bar is bearish for now.  Until we get a positive sign, it is still short-term downtrend.