Delta Neutral Strategy (Long Nifty @ Long Puts)

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nautilus

Member
#111
#111
Hi Wastej:

Sorry have not been able to log on to the net due to bad connection.

I am getting a better idea about the whole concept of "delta neutral" strategy and thanks to you.

Here are the valuations as of close yesterday (14th September)

Closed out profits on Futures = 67200

Valuations of open positions:

1) 2000 long puts (sp2340) = (4.5-46)x2000 = -83000 - loss
2) 200 short calls (sp2480) = (21.55-35.35)x200 = -2760 - loss
3) 400 short puts (sp2350) = (12.5-5.35)x400 = 2860 - profit
4) 1000 short puts(sp2400) = (11.50-10.46)x1000 = 1050 - profit
5) 200 long futures@2455 = (2483-2455)x200 = 5600 - profit

Total p/l = (67200+2860+1050+5600-83000-2760) = -9050 (loss)

Open positions:

1) 2000 long puts (sp2340)
2) 200 short calls (sp2480)
3) 400 short puts (sp2350)
4) 1000 short puts(sp2400)
5) 200 long futures@2455

Regards

Nautilus
 
N

nautilus

Member
#112
#112
Hi Wastej:

Here are the valuations for today:

Closed out profits on futures = 67200

Open positions valuation:

1) Long puts (sp2340) = (4.5-46)x2000 = 83000 (loss)
2) Short calls(sp2480) = (53.60-21.55)x200 = 6410 (loss)
3) short puts(sp2350) = (12.5-4.15)x400 = 3340 (profit)
4) short puts(sp2400) = (11.5-6.55)x1000 = 4950 (profit)
5) Long futures = (2516.15-2455)x200 = 12630 (profit)

Total p/l = (67200+3340+4950+12630-83000-6410) = (1290) Loss

Open positions:

1) 2000 Long puts (sp2340) @46
2) 200 Short calls(sp2480) @21.55
3) 400 short puts(sp2350) @12.5
4) 1000 short puts(sp2400) @11.50
5) 200 Long futures @ 2455

Regards

Nautilus
 
W

[email protected]

Member
#113
#113
Hi Nautilus,

It seems the Nifty is surprising us every day, making bulls feel very happy and on top of this world.

In our trade, if we had not bought back the 200 Long futures at 2455, we would have suffered much deeper losses. Though at the time we took this action, it seemed that we are extra protective, especially with your bias. This is the reason; we try not to assume risk, as we can never predict what market will do.

Now that market has moved north again and the put premiums will dry up in the options specially getting close to the expiry date, therefore we have to take a decision to sell some thing fast against our 600 puts (Uncommitted) of SP2340.

I will be aggressive in my approach, which normally I don't do that, in order to steer the trade from here towards breakeven or even profits.

Let us sell 300 put options for strike price 2480. Once the order is executed you have to place a stop loss order also. The stop loss order is going to be equivalent to the premium we collect when we sell Put options for SP2480. The remaining uncommitted 300 puts we will hold for few more days and see how market reacts.

As a rule, I like to start the question answer session only after the trade is completed, but for you and Harish this rule is completely relaxed. I encourage to both of you to ask questions pertaining not only to your trade, but also to each others trade. The whole purpose of starting this thread was to make you guys understand as how to implement delta neutral strategy.

Regards,

Wastej
 
C

chheda

Member
#114
#114
[email protected] said:
It is very simple; you are short 2380 call, which is deep in the money. You will have to return some of the premium you have collected against this sale on the option expiry day. If you sell some puts and collect some premium then you will be returning only one premium either put premium or call premium the other side will be yours free and easy. If you get lucky, and nifty closes at 2380 then you will have both the premiums as your profits. I hope it makes sense for you.

Good Luck

Wastej
Click to expand...
Hi WAsteJ ,

Trade 2380 (i.e Trade where we Sold Nifty call option SP 2380 on 12th Sep. )

No Trade Today :


To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2490.00 - 2519.25 - 2485.00 - 2516.15
Nifty Put SP 2340 : No Trade (prev. close 4.50)
Nifty Put SP 2350 : 6.20 - 6.20 - 4.05 - 4.15
Nifty Put SP 2360 : 5.00 - 5.00 - 3.10 - 3.10
Nifty Put SP 2380 : 7.00 - 7.10 - 3.15 - 3.35
Nifty Call SP 2380 : 120.00 - 137.80 - 120.00 - 136.90
Nifty Call SP 2460: 54.00 - 69.50 - 52.50 - 68.15

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2516.15 - 2347) = 67660.00
Total Profit (closed) 32000.00 + (open) 67660.00 = 99660.00

Long Nifty Put SP 2340
2000 * (4.50 - 46.00) = (Loss) 83000.00

Short Nifty Put SP 2350
200 * (6.50 - 4.15) = 470.00

Short Nifty Put SP 2360
200 * (26 - 3.10) = 4580.00

Short Nifty Put SP 2380
300 * (21 - 3.35) = 5295.00

Short Nifty call SP 2380
200 * (104 - 136.90) = (Loss) 6580.00

Short Nifty call SP 2460
200 * (29 - 68.15) = (Loss) 7830.00

Total Profit = 99660.00 - 83000.00 + 470.00 + 4580.00 + 5295.00 - 6580.00 - 7830.00 = 12595.00

Open Positions :
Long Nifty Future : 400
Long Put SP 2340 : 2000
Short Put SP 2350 : 200
Short Put SP 2360 : 200
Short Put SP 2380 : 300
Short Call SP 2380: 200
Short Call sp 2460: 200

Paid / Collected Primium in options

Long Put SP 2340 : 2000@ 46 : - 92000
Short Put SP 2350 : 200 @ 6.50: + 1300
Short Put SP 2360 : 200 @ 26 : + 5200
Short Put SP 2380 : 300 @ 21 : + 6300
Short Call SP 2380 : 200 @104 : + 20800
Short Call sp 2460 : 200 @29 : + 5800
Total : - 52600

Thanks & Regards

Harish Chheda
 
C

chheda

Member
#115
#115
Hi WasteJ ,

Trade 2480 (i.e Trade where we Sold Nifty call option SP 2480 on 12th Sep. )

No Trade Today.


To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2490.00 - 2519.25 - 2485.00 - 2516.15
Nifty Put SP 2340 : No Trade (prev. close 4.50)
Nifty Put SP 2350 : 6.20 - 6.20 - 4.05 - 4.15
Nifty Put SP 2360 : 5.00 - 5.00 - 3.10 - 3.10
Nifty Put SP 2380 : 7.00 - 7.10 - 3.15 - 3.35
Nifty Call SP 2480 : 37.35 - 55.00 - 36.00 - 53.60
Nifty Call SP 2460: 54.00 - 69.50 - 52.50 - 68.15

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2516.15 - 2347) = 67660.00
Total Profit (closed) 32000.00 + (open) 67660.00 = 99660.00


Long Nifty Put SP 2340
2000 * (4.50 - 46.00) = (Loss) 83000.00

Short Nifty Put SP 2350
200 * (6.50 - 4.15) = 470.00

Short Nifty Put SP 2360
200 * (26 - 3.10) = 4580.00

Short Nifty Put SP 2380
300 * (21 - 3.35) = 5295.00

Short Nifty call SP 2480
200 * (33.85 - 53.60) = (Loss) 3950.00

Short Nifty call SP 2460
200 * (29 - 68.15) = (Loss) 7830.00

Total Profit = 99660.00 - 83000.00 + 470.00 + 4580.00 + 5295.00 - 3950.00 - 7830.00 = 15225.00

Open Positions :
Long Nifty Future : 400
Long Put SP 2340 : 2000
Short Put SP 2350 : 200
Short Put SP 2360 : 200
Short Put SP 2380 : 300
Short Call SP 2480: 200
Short Call sp 2460: 200

Paid / Collected Primium in options

Long Put SP 2340 : 2000 @ 46 : - 92000
Short Put SP 2350 : 200 @ 6.50 : + 1300
Short Put SP 2360 : 200 @ 26 : + 5200
Short Put SP 2380 : 300 @ 21 : + 6300
Short Call SP 2480: 200 @ 33.85 : + 6770
Short Call sp 2460: 200 @ 29 : + 5800
Total : - 66630


Thanks & Regards

Harish Chheda
 
W

[email protected]

Member
#118
#118
Hi Harish and Natilus,

For a great learning, I would like both of you to do one small exercise and post it here, please. Figure out the trade position in terms of profit and loss assuming options expired today. This exercise may be difficult one, I don't know, you will find out. I encourage all the readers to do this exercise also, of their own, and they are welcome to post it here too, if they so desire.

It is very essential to do this exercise, without which no one can tell where the trade will lead you. If you know in advance where the trade will lead you, than you can take corrective steps now, while the time is still in hand.

Good Luck,

Wastej
 
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