ALT + S

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USER MANUAL

Alt + S - IV based Spread Order with Delta Hedging

Difference Type: IV Spread RS Spread ABS Spread VEGA Spread

Spread Quantity Ratio Method: Actual: User defined Qty position Delta: Delta neutral position Vega: Vega neutral position Gamma: Gamma neutral position

Delta Hedging Segments Equity Future Options

Choose Your Exchange

and Pro/Cli with ID

Leg Combo: Order Execution Sequence

QUOTE BASED L-1 L-2 L-3 L-2 L-1 L-3 L-3 L-1 L-2

2 LEG IOC [Opt L-1 + Opt L-2]

Delta Hedge L-3

3 LEG IOC [L-1 + L-2 + L-3)

Opportunity Check: Trigger Point for Algo Order Generation

Delta Hedging Methods Net Basis Gross Basis

All input parameters are explained below: -

1. Exchange: Define the desired Exchange

2. Pro/Cli: Pro ID or Client ID

3. Order Type: Normal DAY/ 2-Leg IOC/ 3-Leg IOC (for Opportunity)

4. Ratio Method: User can opt for a Ratio Method to determine the quantity for second Leg

from – Actual (user defined Qty for both leg), Delta Neutral Position, Vega Neutral

Position or Gamma Neutral Position. Based on the method chosen, application will

calculate the order Quantity & Total Quantity for Second leg.

5. Symbol: Symbols listed on Exchange with respect to instrument selected

6. Fields for Option Order (L1 & L2)

a. Expiry Date: Instrument Expiry Date

b. Strike: Exchange Available Strike Price for the Instrument.

c. Opt Type: CE/PE d. Buy/Sell

7. Base Order: Selection for first sequential order

8. Quantity:

a. Order Quantity : Max Quantity to be placed per opportunity

b. Total Quantity : Total Quantity to be done for the specified side

9. Difference Type: IV Difference, (Rs.) Difference based on user defined reference IV,

(ABS) Absolute Price Difference or Vega Difference.

IV Difference Method

Illustration for Call/Put Spread

Strike Opt Type Buy/Sell Order Qty Implied Vol 5500 CE Buy 100 13%

5600 CE Sell 200 11%

IV Method -2%

Illustration for Straddle/Strangle

Strike Opt Type Both Leg-Buy/Sell Order Qty Implied Volatility 5500 CE Buy Sell 100 13%

5500 PE Buy Sell 200 12%

IV Method -25(Buy)/25(Sell)

Absolute Difference Method

Illustration for Call/Put Spread

Strike Opt Type Buy/Sell Order Qty Market Price 5500 CE Buy 100 150

5600 CE Sell 200 100

Absolute Difference -50

Illustration for Straddle/Strangle

Strike Opt Type Both Leg-Buy/Sell Order Qty Market Price 5500 CE Buy Sell 100 150

5500 PE Buy Sell 200 100

Absolute Difference -250(Buy)/250(Sell)

Vega Difference Method

Illustration for Call/Put Spread

Strike Opt Type Buy/Sell Order Qty Implied Volatility Vega 5500 CE Buy 100 -13% 2.5

5600 CE Sell 200 12% 1.5

Vega Method [ IV Difference x Average Vega ] -2.00

Illustration for Straddle/Strangle

Strike Opt

Type Both Leg-Buy/Sell

Order Qty

Implied Volatility Vega

5500 CE Buy Sell 100 13% 2.5

5600 PE Buy Sell 200 12% 1.5

Vega Method [ Sum Total of IV x Average Vega ] 50(Buy)/50(Sell)

Theoretical IV Based Rs. Difference Method

Illustration for Call/Put Spread

Strike Opt Type Buy/Sell Order Qty Mkt. IV Mkt. Price Value Difference at

Theoretical IV of 15% Vega

5500 CE Buy 100 13% 150 10 5

5600 CE Sell 200 12% 100 -12 4

Theoretical IV Based Rs. Difference Method -2

Illustration for Straddle/Strangle

Strike Opt Type Both Leg-Buy/Sell Order

Qty Mkt.

IV Mkt. Price

Value Difference at Theoretical IV of 15% Vega

5500 CE Buy Sell 100 13% 150 10 5

5500 PE Buy Sell 200 12% 100 12 4

Theoretical IV Based Rs. Difference Method 22 (Buy)/-22(Sell)

10. 2nd Option order Condition:

a. Market Order – Price generation at a defined % greater than to less than LTP b. IV Based Order - Price generation at user defined difference.

11. Delta Hedging Parameter:

a. Yes/No : Option for Delta hedging or not

b. Equity/Future/Option : Choice for Hedge security

c. Expiry : Expiry of hedge security

d. Method : Hedging on Net/Gross basis

e. Delta Price Type :

i. Market – Submit the hedging order as Limit order with price as LTP.

ii. Best Bid / Ask – Submit the hedging order at best bid / ask price.

iii. Best Buyer / Seller – Submit the hedging order at best buyer / seller price.

iv. Actual diff – Submit hedging order at the actual difference set by the user.

12. Pending Against Order:

1. TimeOut which denotes the interval within which pending orders will be modified.

2. Modification Count denotes the number of modifications for the pending order.

3. Market Order Up to is the amount by extent to which the order price generation

will be made better than the last generated order price.

13. Pending Order Leg Condition:

1. Opportunity check: if opted for, Algo will trigger order generation if the

existing/present market difference is beyond or below the set Opportunity

Difference figure.

2. Opportunity Difference: Defined Difference trigger level for order generation.

3. Bidding Upto is the defined amount by extent to which the order price

generation will be made better.

4. Depth Upto which denotes the market depth level.

5. Threshold quantity percentage indicates the quantity availability in market

depth.

14. Add: Adds the new arbitrage opportunity setting to the arbitrage Grid

15. Update: Modifies any previously added settings to the arbitrage Grid

16. Remove: Removes any previously added settings from the arbitrage Gird

17. Save File:This facilitates the user to create and save the order file

18. Load File: This facilitates the user to load the saved order file.

19. Clear All: Removes all arbitrage settings from the arbitrage Gird

20. Start: Starts calculating the opportunity and submission of the orders

21. Stop: Stops calculating the opportunity. Calling this will cancel all pending

orders from order book operated by the arbitrage module

22. Hide: Hide the active strategy window