Delta Neutral Strategy (Long Nifty @ Long Puts)

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W

[email protected]

Member
#151
#151
Hi Nautilus,

In the light of crude price gaining over four dollars today, it seems the market will correct. If you find the market is correcting than be ready to sell 300 uncommitted put options. If you want to be very aggressive you can sell 300 put options SP2500. Just keep in minds that as soon as the order is executed enter another order. This order will be to go short 300 Nifty futures at a stop limit price of 2500 with a stop loss of 2510.

Happy Trading,

Wastej
 
W

[email protected]

Member
#152
#152
Bear Spread: Any spread in which a decline in the price of the underlying will increase the value of the spread. Bear spreads can be traded at a debit or credit to the trader: With Calls: Net credit transaction; Maximum loss= difference between the strike prices less credit; Maximum gain = credit; requires margin. With Puts: Net debit transaction; Maximum loss = difference between strike prices less the debit; no margin

It is not delta neutral.

Wastej
 
N

nautilus

Member
#153
#153
Hi Wastej:

Here is the summary for today:

We executed 300 short puts(sp 2500)@17.50

Closed out profits from long futures = 62200

Open position p/l

1)2000 long puts(sp2340)@46 = -92000 (loss)
2)200 short calls(sp2480)@21.55 = (21.55-92)x200 = -14090 (loss)
3)400 short puts(sp2350)@12.50 = (12.50-3.25)x400 = 3700 (profit)
4)1000short puts(sp2400)@11.50 = (11.50-4.20)x1000 = 7300 (profit)
5)300 short puts(sp2480)@21.50 = (21.50-11.50)x300 = 3000 (profit)
6)300 short puts(sp2500)@17.50 = (17.50-11.25)x300 = 1875 (profit)
7)200 long futures@2455 = (2566-2455)x200 = 22200 (profit)

Total p/l = (62200+22200+1875+3000+7300+3700-14090-92000) =-5815 loss

Open positions:

1)2000 long puts(sp2340
2)200 short calls(sp2480)@21.55
3)400 short puts(sp2350)@12.50
4)1000short puts(sp2400)@11.50
5)300 short puts(sp2480)@21.50
6)300 short puts(sp2500)@17.50
7)200 long futures@2455

Orders working in the market:

Sell 300 Nifty futures @ 2500 on a stop with a buy stop @2510

Regards

Nautilus
 
C

chheda

Member
#154
#154
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 : 2555.00 - 2568.95 - 2543.00 - 2562.45
Nifty Put SP 2340 : No Trade (prev. close 4.50)
Nifty Put SP 2350 : 3.00 - 3.35 - 2.70 - 3.25
Nifty Put SP 2360 : No Trade (prev. close 5.00)
Nifty Put SP 2380 : No Trade (prev. close 2.00)
Nifty Put SP 2400 : 4.50 - 4.95 - 3.85 - 4.20
Nifty Call SP 2380 : No Trade (prev. close 136.90)
Nifty Call SP 2460: No Trade (prev. close109.20 )

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2562.45 - 2347) = 86180.00
Total Profit (closed) 32000.00 + (open) 86180.00 = 118180.00

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

Short Nifty Put SP 2350
200 * (6.50 - 3.25) = 650.00

Short Nifty Put SP 2360
200 * (26 - 5) = 4200.00

Short Nifty Put SP 2380
300 * (21 - 2) = 5700.00

Short Nifty Put SP 2400
1300 * (4.65 - 4.20) = 585.00

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

Short Nifty call SP 2460
200 * (29 - 109.20) = (Loss) 16040.00

Total Profit = 118180.00 - 83000.00 + 650.00 + 4200.00 + 5700.00 + 585.00 - 6580.00 - 16040.00 = 23695.00

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 Put SP 2400 : 1300
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 Put SP 2400 : 1300 @ 4.65 : +6045
Short Call SP 2380 : 200 @104 : + 20800
Short Call sp 2460 : 200 @29 : + 5800
Total : - 46555.00

The calculation of profit/loss ( i.e. if fut and options expired today )

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2562.45 - 2347) = 86180.00
Total Profit (closed) 32000.00 + (open) 86180.00 = 118180.00
minus
Long Nifty Put 2000 SP 2340 at 46 = loss (92000.00)
plus
Short Nifty put 200 SP 2350 at 6.50 = 1300.00
plus
Short Nifty put 200 SP 2360 at 26.00 = 5200.00
plus
Short Nifty put 300 SP 2380 at 21.00 = 6300.00
plus
Short Nifty put 1300 SP 2400 at 4.65 = 6045.00
Minus
Short Nifty call 200 sp 2380 at 104.00 = 200 * (2380+104-2562.45) = loss (15690.00)
Minus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2562.45) = loss (14690.00)

Total Profit = 118180 - 92000 + 1300 + 5200 + 6300 + 6045 - 15690 - 14690 = 14645.00


Thanks & Regards

Harish Chheda
 
C

chheda

Member
#155
#155
Hi WasteJ ,

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

Trade Today :
Sold 600 Nifty Put SP 2400 at 4.80
(As market dip , Nifty Fut price make intraday low 2543 and start rising )


To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2555.00 - 2568.95 - 2543.00 - 2562.45
Nifty Put SP 2340 : No Trade (prev. close 4.50)
Nifty Put SP 2350 : 3.00 - 3.35 - 2.70 - 3.25
Nifty Put SP 2360 : No Trade (prev. close 5.00)
Nifty Put SP 2380 : No Trade (prev. close 2.00)
Nifty Put SP 2400 : 4.50 - 4.95 - 3.85 - 4.20
Nifty Call SP 2480 : 84.00 - 92.00 - 78.00 - 92.00
Nifty Call SP 2460: No Trade (prev. close109.20 )

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2562.45 - 2347) = 86180.00
Total Profit (closed) 32000.00 + (open) 86180.00 = 118180.00

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

Short Nifty Put SP 2350
200 * (6.50 - 3.25) = 650.00

Short Nifty Put SP 2360
200 * (26 - 5) = 4200.00

Short Nifty Put SP 2380
300 * (21 - 2) = 5700.00

Short Nifty Put SP 2400
700 * (4.65 - 4.20) = 315.00

Short Nifty Put SP 2400
600 * (4.80 - 4.20) = 360.00

Short Nifty call SP 2480
200 * (33.85 - 92) = (Loss) 11630.00

Short Nifty call SP 2460
200 * (29 - 109.20) = (Loss) 16040.00

Total Profit = 118180.00 - 83000.00 + 650.00 + 4200.00 + 5700.00 + 315.00 + 360.00 - 11630.00 - 16040.00 = 18735.00

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 Put SP 2400 : 1300
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 Put SP 2400 : 700 @ 4.65 : +3255
Short Put SP 2400 : 600 @ 4.80 : +2880
Short Call SP 2480: 200 @ 33.85 : + 6770
Short Call sp 2460: 200 @ 29 : + 5800
Total : - 60495

The calculation of profit/loss ( i.e. if fut and options expired today )

Closed out profit of 32000.00
Plus open profit 400 * (2562.45 - 2347) = 86180.00
Total Profit (closed) 32000.00 + (open) 86180.00 = 118180.00
minus
Long Nifty Put 2000 SP 2340 at 46 = loss (92000.00)
plus
Short Nifty put 200 SP 2350 at 6.50 = 1300.00
plus
Short Nifty put 200 SP 2360 at 26.00 = 5200.00
plus
Short Nifty put 300 SP 2380 at 21.00 = 6300.00
Plus
Short Nifty Put 700 SP 2400 at 4.65 = 3255.00
Plus
Short Nifty Put 600 SP 2400 at 4.80 = 2880.00
Minus
Short Nifty call 200 sp 2480 at 33.85 = 200 * (2480+33.85-2562.45) = loss (9720.00)
Minus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2562.45) = loss (14690.00)

Total Profit = 118180 - 92000 + 1300 + 5200 + 6300 + 3255 +2880 - 9720 - 14690 = 20705.00


Thanks & Regards

Harish Chheda
 
A

alokdaga

Active Member
#156
#156
Gr8work Harishji

Keep it up !!

Alok

chheda said:
Hi WasteJ ,


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

Trade Today :
Sold 600 Nifty Put SP 2400 at 4.80
(As market dip , Nifty Fut price make intraday low 2543 and start rising )


To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2555.00 - 2568.95 - 2543.00 - 2562.45
Nifty Put SP 2340 : No Trade (prev. close 4.50)
Nifty Put SP 2350 : 3.00 - 3.35 - 2.70 - 3.25
Nifty Put SP 2360 : No Trade (prev. close 5.00)
Nifty Put SP 2380 : No Trade (prev. close 2.00)
Nifty Put SP 2400 : 4.50 - 4.95 - 3.85 - 4.20
Nifty Call SP 2480 : 84.00 - 92.00 - 78.00 - 92.00
Nifty Call SP 2460: No Trade (prev. close109.20 )

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2562.45 - 2347) = 86180.00
Total Profit (closed) 32000.00 + (open) 86180.00 = 118180.00

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

Short Nifty Put SP 2350
200 * (6.50 - 3.25) = 650.00

Short Nifty Put SP 2360
200 * (26 - 5) = 4200.00

Short Nifty Put SP 2380
300 * (21 - 2) = 5700.00

Short Nifty Put SP 2400
700 * (4.65 - 4.20) = 315.00

Short Nifty Put SP 2400
600 * (4.80 - 4.20) = 360.00

Short Nifty call SP 2480
200 * (33.85 - 92) = (Loss) 11630.00

Short Nifty call SP 2460
200 * (29 - 109.20) = (Loss) 16040.00

Total Profit = 118180.00 - 83000.00 + 650.00 + 4200.00 + 5700.00 + 315.00 + 360.00 - 11630.00 - 16040.00 = 18735.00

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 Put SP 2400 : 1300
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 Put SP 2400 : 700 @ 4.65 : +3255
Short Put SP 2400 : 600 @ 4.80 : +2880
Short Call SP 2480: 200 @ 33.85 : + 6770
Short Call sp 2460: 200 @ 29 : + 5800
Total : - 60495

The calculation of profit/loss ( i.e. if fut and options expired today )

Closed out profit of 32000.00
Plus open profit 400 * (2562.45 - 2347) = 86180.00
Total Profit (closed) 32000.00 + (open) 86180.00 = 118180.00
minus
Long Nifty Put 2000 SP 2340 at 46 = loss (92000.00)
plus
Short Nifty put 200 SP 2350 at 6.50 = 1300.00
plus
Short Nifty put 200 SP 2360 at 26.00 = 5200.00
plus
Short Nifty put 300 SP 2380 at 21.00 = 6300.00
Plus
Short Nifty Put 700 SP 2400 at 4.65 = 3255.00
Plus
Short Nifty Put 600 SP 2400 at 4.80 = 2880.00
Minus
Short Nifty call 200 sp 2480 at 33.85 = 200 * (2480+33.85-2562.45) = loss (9720.00)
Minus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2562.45) = loss (14690.00)

Total Profit = 118180 - 92000 + 1300 + 5200 + 6300 + 3255 +2880 - 9720 - 14690 = 20705.00


Thanks & Regards

Harish Chheda
Click to expand...
 
W

[email protected]

Member
#158
#158
OPTIO STRATEGY DEFINATION FOR TODAY.

Bear Spread: Any spread in which a decline in the price of the underlying will increase the value of the spread. Bear spreads can be traded at a debit or credit to the trader: With Calls: Net credit transaction; Maximum loss= difference between the strike prices less credit; Maximum gain = credit; requires margin. With Puts: Net debit transaction; Maximum loss = difference between strike prices less the debit; no margin.
 
N

nautilus

Member
#159
#159
[email protected] said:
OPTIO STRATEGY DEFINATION FOR TODAY.

Bear Spread: Any spread in which a decline in the price of the underlying will increase the value of the spread. Bear spreads can be traded at a debit or credit to the trader: With Calls: Net credit transaction; Maximum loss= difference between the strike prices less credit; Maximum gain = credit; requires margin. With Puts: Net debit transaction; Maximum loss = difference between strike prices less the debit; no margin.
Click to expand...
Hi Wastej:

I am just wondering whether you could post these options strategies as an entirely new thread such as Options Strategy or such like? It would then almost act like a reference library thread for people interested in options in the future.

Thanks

Nautilus
 
N

nautilus

Member
#160
#160
Hi Wastej:

Here are the updates on p/l:

Closed out profits on futures = 67200

Open positions p/l

1) 2000 long puts(sp2340)@46 = -92000 (loss)
2) 200 short calls(sp2480)@21.55 = (21.55-80.10)x200 = -11710 (loss)
3) 400 short puts(sp2350)@12.50 = (12.50-2.85)x400 = 3860 (profit)
4)1000short puts(sp2400)@11.50 = (11.50-3.20)x1000= 8300 (profit)
5)300 short puts(sp2480)@21.50 = (21.50-8.00)x300 = 4050 (profit)
6)300 short puts(sp2500)@17.50 = (17.50-13.00)x300 = 1350 (profit)
7)200 long futures@2455 = (2554-2455)x200 = 19800 (profit)

Total p/l = (67200+19800+1350+4050+8300+3860-11710-92000) = +850 (profit)

Open positions:

1) 2000 long puts(sp2340)
2) 200 short calls(sp2480)
3) 400 short puts(sp2350)
4)1000short puts(sp2400)
5)300 short puts(sp2480)
6)300 short puts(sp2500)
7)200 long futures@2455

We are working to sell 300 sep futures @2500 on a stop after which a buy-stop will be placed at 2510

Regards

Nautilus
 
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