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.

Daily Action Plan

Friday, 14 August 2015

KRX closed today (Temporary Holiday).

Daily Action Plan

Thursday, 13 August 2015

K200 closed at 237.24 -0.67 (-0.28%) on Aug12, IV 13.6660%, HV 12.934%, IV/HV 107.4%.

1. September 227.5/230 Put Spread

- DTE 29 days

- Delta 23.28 (3 points down move will hit above Delta 30)

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

- 227.5/230 Put bid/ask 1.52/1.53 (3 points down move might  hit > 3.00)

- 7.24 points away

- 1SD (248.15/226.33)

- 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 57 days

- 1SD (252.54/221.94)

- Action : accumulate if Entry guidelines met

Daily Action Plan

Tuesday, 11 August 2015

K200 closed at 239.18 -0.61 (-0.25%) on Aug10, IV was 12.8480%.

1. September 227.5/230 Put Spread

- DTE 31 days

- Delta 16.45

- Loss 21%

- 9.18 points away

- 1SD (249.9/228.49)

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

2. October position

- DTE 59 days

- 1SD (255.7/225.2)

- Action : accumulate if Entry guidelines met

Daily Action Plan

Monday, 10 August 2015

K200 closed at 239.79 -0.25 (-0.10%) on Aug07, IV was 12.6339%. 

1. September 227.5/230 Put Spread

- DTE 32 days

- Delta 14.16

- Loss 34%

- 9.98 points away

- 1SD (250.50/229.08)

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

2. October position

- DTE 60 days

- 1SD (254.46/225.12)

- Action : accumulate if Entry guidelines met

Weekly Market Review K200

Daily : Downtrend.  Lower High Lower Low.  

• K200 ended slightly lower than previous low, in fact, lower than previous previous low 239.09 in January 2015.  These 239-240 has been a strong support area in the past 1.5-2 years.  We have a small pin bar on Friday.  Thus, the next bars are important to see if this level holds.
• MACD are still heading down.  

Weekly :Sideway.  Short-term Downtrend.

• This week bar is a bullish bar, resting just around the 239-240 support area.
• MACD continues to head down and widening.  
• Weekly remains bearish.

Monthly : Sideway.  

• 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.  

Daily Action Plan

Friday, 7 August 2015

K200 closed at 240.04 -3.08 (-1.27%) on Aug06, IV was 13.1432%. 

1. September 227.5/230 Put Spread

- DTE 35 days

- Delta 16.35

- Loss 20%

- 9.98 points away

- 1SD (251.71/228.37)

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

2. October position

- DTE 63 days

- 1SD (255.69/224.39)

- Action : accumulate if Entry guidelines met

Daily Action Plan

Thursday, 6 August 2015

K200 closed at 243.12 -0.43 (-0.18%) on Aug05, IV was 12.0773%.

1. September 227.5/230 Put Spread

- DTE 36 days

- Delta 9.97

- Profit 37%

- 13.12 points away

- 1SD (254.13/232.11)

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

Daily Action Plan

Wednesday, 5 August 2015

K200 closed at 243.55 +2.07 (+0.86%) on Aug04, IV was 12.4801%.

1. September 227.5/230 Put Spread

- DTE 37 days

- Delta 11.56

- Profit 13%

- 13.56 points away

- 1SD (255.41/231.69)

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

Daily Action Plan

Tuesday, 4 August 2015

K200 closed at 241.48 -2.82 (-1.15%) on Aug03, IV was 13.2640%. 

1. September 227.5/230 Put Spread

- DTE 38 days

- Delta 14.29

- Loss 13%

- 11.48 points away

- 1SD (253.82/229.14)

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

Daily Action Plan

Monday, 3 August 2015

K200 closed at 244.30 +0.69 (+0.28%) on Jul31, IV was 12.8138%.

1. September 227.5/230 Put Spread

- DTE 39 days

- Delta 13.04

- Profit 17%

- 14.3 points away

- 1SD (256.517/232.09)

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

Weekly Market Review K200

Daily : Downtrend.  Lower High Lower Low.  

• K200 ended slightly higher, still above 244, after a small retracement or short-term uptrend move.  A break below previous low of 241.49 will confirm its continuation of downtrend move.
• K200 is currently between 1st downtrend line and 2nd downtrend line.  Also, below its parallel projection of 1st downtrend line.  Unless strong indication of strength in retracement/recover, the bias is in the continuation of the current motion, downtrend move.
• Friday is a long pin bar, almost touching the previous low of 241.49.  This is bullish provided Monday support it.
• MACD are still heading down.  However, with the pin bar formed, if the next few days were up days, MACD may turn upwards, still validating the divergence.  

Weekly :Sideway.  Short-term Downtrend.

• This week bar is still a inside bar for the long bar 3 weeks ago.  There is no other sign different from last weeks.  It is still downtrend until positive sign is shown on the chart.
• MACD continues to head down and widening.  
• Weekly remains bearish.

Monthly : Sideway.  

• This month bar is bearish.  Short-term is downtrend continues.  Until we get a positive sign, it is still short-term downtrend.  Big picture is sideway.  The crucial support 240 and 230 will determine if we still have sideway market.