Hi, This is a data analysis of Nitfy 50 data from the past 20 years till Feb 26 2020.
I have tried to calculate percentage changes weekly, monthly, daily, friday to thursday, monday to thursday, wednesday to thursday and friday to thursday.
I believe this can help us to make better option expiry calls and puts writing.
This is by no means an exhaustive study, so be careful if you use the results for trading
Results can also be found in the results.txt page
WEEKLY = 2.45%
FRI TO THU = 1.97%
MON TO THU = 1.71%
TUE TO THU = 1.44%
WED TO THU = 1.07%
MONTHLY = 5.29%
UNDER 1 = 65.36%
UNDER 2 = 23.40%
UNDER 3 = 6.80%
UNDER 4 = 2.54%
UNDER 5 = 0.82%
UNDER 7.5 = 0.88%
UNDER 10 = 0.12%
ABOVE 10 = 0.08%
SWEET SPOT UNDER 2 = 88.76%
SWEET SPOT ABOVE 2 = 11.24%
UNDER 1 = 29.52%
UNDER 2 = 26.51%
UNDER 3 = 17.27%
UNDER 4 = 11.24%
UNDER 5 = 5.82%
UNDER 6 = 4.22%
UNDER 7 = 2.21%
UNDER 8 = 0.70%
UNDER 10 = 1.10%
UNDER 15 = 0.80%
ABOVE 15 = 0.50%
SWEET SPOT UNDER 5 = 90.36%
SWEET SPOT ABOVE 5 = 9.64%
UNDER 1 = 42.33%
UNDER 2 = 27.51%
UNDER 3 = 15.77%
UNDER 4 = 6.77%
UNDER 5 = 2.96%
UNDER 6 = 1.48%
UNDER 7 = 1.06%
UNDER 8 = 0.63%
UNDER 10 = 0.63%
UNDER 15 = 0.63%
ABOVE 15 = 0.21%
SWEET SPOT UNDER 4 = 92.38%
SWEET SPOT ABOVE 4 = 7.62%
</b
UNDER 1 = 50.16%
UNDER 2 = 27.82%
UNDER 3 = 11.70%
UNDER 4 = 4.43%
UNDER 5 = 2.32%
UNDER 6 = 1.37%
UNDER 7 = 0.63%
UNDER 8 = 0.74%
UNDER 10 = 0.32%
UNDER 15 = 0.42%
ABOVE 15 = 0.11%
SWEET SPOT UNDER 3 = 89.67%
SWEET SPOT ABOVE 3 = 10.33%
UNDER 1 = 62.59%
UNDER 2 = 25.08%
UNDER 3 = 6.85%
UNDER 4 = 2.95%
UNDER 5 = 0.63%
UNDER 6 = 0.63%
UNDER 7 = 0.63%
UNDER 8 = 0.11%
UNDER 10 = 0.21%
UNDER 15 = 0.21%
ABOVE 15 = 0.11%
SWEET SPOT UNDER 3 = 94.52%
SWEET SPOT ABOVE 3 = 5.48%
UNDER 1 = 34.89%
UNDER 2 = 28.83%
UNDER 3 = 16.28%
UNDER 4 = 10.32%
UNDER 5 = 4.04%
UNDER 6 = 1.70%
UNDER 7 = 1.17%
UNDER 8 = 1.06%
UNDER 10 = 0.53%
UNDER 15 = 0.96%
ABOVE 15 = 0.21%
SWEET SPOT UNDER 5 = 94.36%
SWEET SPOT ABOVE 5 = 5.64%
UNDER 1 = 27.41%
UNDER 2 = 20.98%
UNDER 3 = 18.88%
UNDER 4 = 14.06%
UNDER 5 = 6.73%
UNDER 6 = 4.82%
UNDER 7 = 2.11%
UNDER 8 = 2.11%
UNDER 10 = 1.51%
UNDER 15 = 1.00%
ABOVE 15 = 0.30%
SWEET SPOT UNDER 5 = 88.05%
SWEET SPOT ABOVE 5 = 11.95%
UNDER 1 = 42.67%
UNDER 2 = 21.99%
UNDER 3 = 12.45%
UNDER 4 = 8.13%
UNDER 5 = 5.02%
UNDER 6 = 2.61%
UNDER 7 = 2.31%
UNDER 8 = 1.61%
UNDER 10 = 1.20%
UNDER 15 = 1.31%
ABOVE 15 = 0.60%
SWEET SPOT UNDER 5 = 90.26%
SWEET SPOT ABOVE 5 = 9.74%
</b
UNDER 2 = 23.68%
UNDER 4 = 21.93%
UNDER 6 = 20.18%
UNDER 8 = 15.79%
UNDER 10 = 8.33%
UNDER 12 = 4.39%
UNDER 14 = 2.19%
UNDER 16 = 0.88%
UNDER 18 = 0.00%
UNDER 20 = 0.88%
ABOVE 20 = 1.32%
SWEET SPOT UNDER 10 = 89.91%
SWEET SPOT ABOVE 10 = 10.09%
UNDER 2 = 25.00%
UNDER 4 = 17.98%
UNDER 6 = 14.47%
UNDER 8 = 17.11%
UNDER 10 = 10.09%
UNDER 12 = 7.02%
UNDER 14 = 3.95%
UNDER 16 = 1.32%
UNDER 18 = 0.88%
UNDER 20 = 0.88%
ABOVE 20 = 0.88%
SWEET SPOT UNDER 10 = 84.65%
SWEET SPOT ABOVE 10 = 15.35%
UNDER 2 = 42.11%
UNDER 4 = 19.74%
UNDER 6 = 10.96%
UNDER 8 = 8.33%
UNDER 10 = 9.65%
UNDER 12 = 3.95%
UNDER 14 = 0.88%
UNDER 16 = 0.88%
UNDER 18 = 0.88%
UNDER 20 = 0.44%
ABOVE 20 = 1.75%
SWEET SPOT UNDER 10 = 90.79%
SWEET SPOT ABOVE 10 = 9.21%