Hello,
We started the trade with the following short strangle
-600 Nifty Calls SP3700 @ 53.85
-600 Nifty Puts SP3550 @ 47.90
We decided to buy back the options to balance the delta and to protect the position by buying/selling of NF if the markets threatens to take away the premium we collected.
Accordingly, we bot
100 Nifty Calls SP3700 @ 35
100 Nifty Calls SP3700 @ 28
100 Nifty Calls SP3700 @ 20
The stop loss order for selling 600 Nfs would have triggered
at 3550 (Hopefully, the markets would give us this trade, because on day like today, a stoploss order could have easily jumped)
We consider the order to be executed with an avg rate of 3547.50
So, the current position is
-300 Nifty Calls SP3700 @ 53.85 CMP 22
-600 Nifty Puts SP3550 @ 47.90 CMP 137.65
-600 Nifty Futures @ 3547.50 CMP 3446
Realized gain
Bot back 300 Calls SP3700 at avg price of 27.67 - 1.5 = 26.17 = Rs 7,850/-
Gain/Drawdown in open positions
- 53,850/- in puts and
+ 60,900/- in NFs
+ 9,555/- in Calls
Here we also had an option, of covering all the NFs and balance 300 calls SP 3700 and Selling 600 Calls SP3550/SP3600/SP3650
Closing prices for Calls
SP3550 is 41.60
SP3600 is 36.95
SP3650 is 30.00
SP3700 is 22.00
I do not regard Rs 6/7 reward enough in taking additional risk of nearer strike price for the calls.
Another option i am being tempted to take is to close out the entire position and take home the gains we r getting now, remember a bird in hand......
Regards
Sanjay