Delta Neutral Strategy (Long Nifty @ Long Puts)

[chheda]

Thanks Alok and 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 : 2560.00 - 2565.00 - 2502.75 - 2558.85
Nifty Put SP 2340 : No Trade (prev. close 4.50)
Nifty Put SP 2350 : 2.75 - 5.05 - 2.40 - 2.85
Nifty Put SP 2360 : 4.00 - 4.00 - 4.00 - 4.00
Nifty Put SP 2380 : 2.00 - 2.00 - 2.00 - 2.00
Nifty Put SP 2400 : 4.20 - 8.00 - 3.05 - 3.50
Nifty Call SP 2380 : 125.00 - 143.00 - 125.00 - 143.00
Nifty Call SP 2460: 107.00 - 107.00 - 105.00 - 106.00

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2558.85 - 2347) = 84740.00
Total Profit (closed) 32000.00 + (open) 84740.00 = 116740.00

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

Short Nifty Put SP 2350
200 * (6.50 - 2.85) = 730.00

Short Nifty Put SP 2360
200 * (26 - 4) = 4400.00

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

Short Nifty Put SP 2400
1300 * (4.65 - 3.50) = 1495.00

Short Nifty call SP 2380
200 * (104 - 143) = (Loss) 7800.00

Short Nifty call SP 2460
200 * (29 - 106) = (Loss) 15400.00

Total Profit = 116740.00 - 83000.00 + 730.00 + 4400.00 + 5700.00 + 1495.00 - 7800.00 - 15400.00 = 22865.00

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 * (2558.85 - 2347) = 84740.00
Total Profit (closed) 32000.00 + (open) 84740.00 = 116740.00
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+104-2558.85) = loss (14970.00)
Minus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2558.85) = loss (13970.00)

Total Profit = 116740 - 92000 + 1300 + 5200 + 6300 + 6045 - 14970 - 13970 = 14645.00


Thanks & Regards

Harish Chheda

 

[chheda]

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 : 2560.00 - 2565.00 - 2502.75 - 2558.85
Nifty Put SP 2340 : No Trade (prev. close 4.50)
Nifty Put SP 2350 : 2.75 - 5.05 - 2.40 - 2.85
Nifty Put SP 2360 : 4.00 - 4.00 - 4.00 - 4.00
Nifty Put SP 2380 : 2.00 - 2.00 - 2.00 - 2.00
Nifty Put SP 2400 : 4.20 - 8.00 - 3.05 - 3.50
Nifty Call SP 2480 : 86.80 - 90.00 - 59.90 - 86.50
Nifty Call SP 2460: 107.00 - 107.00 - 105.00 - 106.00

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2558.85 - 2347) = 84740.00
Total Profit (closed) 32000.00 + (open) 84740.00 = 116740.00

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

Short Nifty Put SP 2350
200 * (6.50 - 2.85) = 730.00

Short Nifty Put SP 2360
200 * (26 - 4) = 4400.00

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

Short Nifty Put SP 2400
700 * (4.65 - 3.50) = 805.00

Short Nifty Put SP 2400
600 * (4.80 - 3.50) = 780.00

Short Nifty call SP 2480
200 * (33.85 - 86.50) = (Loss) 10530.00

Short Nifty call SP 2460
200 * (29 - 106.00) = (Loss) 15400.00

Total Profit = 116740.00 - 83000.00 + 730.00 + 4400.00 + 5700.00 + 805.00 + 780.00 - 10530.00 - 15400.00 = 20225.00

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 * (2558.85 - 2347) = 84740.00
Total Profit (closed) 32000.00 + (open) 84740.00 = 116740.00
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+33.85-2558.85) = loss (9000.00)
Minus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2558.85) = loss (13970.00)

Total Profit = 116740 - 92000 + 1300 + 5200 + 6300 + 3255 +2880 - 9000 - 13970 = 20705.00


Thanks & Regards

Harish Chheda

 

[[email protected]]

HI Nautilus,

Thanks for your idea of starting a new thread for Option Strategies; I think it is excellent idea.

I will request traderji to take that action for us and move the posting so far into the new thread for the benefit of all traders.

Regards,

Wastej

 

[[email protected]]

Hi Nautilus & Harish,

As far your trades, both of you are in good shape. Nautilus, has one order pending, make sure that this order is working at all times.

It seems the NIFTY is likely to pull back again today, as the USA market has pulled down due to the interest rate increase and Rita's concerns.

Please look at your trades and do what if analysis. Just think that nifty can drop 100 to 150 points in a day. If this happens, what effect will it have on your trade? If you find your trade is exposed to risk, evaluate that risk and see what steps can be taken and when they can be taken to plug in these risks.

If you can't figure out the corrective steps, I will help you out. But it is for you to figure out the risks.

Happy Trading

Wastej

 

[[email protected]]

OPTION STRATEGY FOR TODAY:

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

Wastej

 

[chheda]

Hi WasteJ ,

From today I think market has become bearish .

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 : 2554.00 - 2557.30 - 2464.20 - 2472.00
Nifty Put SP 2340 : 6.85 - 6.85 - 6.85 - 6.85
Nifty Put SP 2350 : 3.50 - 5.00 - 1.90 - 4.20
Nifty Put SP 2360 : 4.10 - 4.50 - 4.00 - 4.50
Nifty Put SP 2380 : 2.00 - 6.00 - 2.00 - 6.00
Nifty Put SP 2400 : 3.70 - 10.50 - 3.10 - 9.00
Nifty Call SP 2380 : 110.00 - 110.00 - 110.00 - 110.00
Nifty Call SP 2460: 40.00 - 40.00 - 40.00 - 40.00

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2472 - 2347) = 50000.00
Total Profit (closed) 32000.00 + (open) 50000.00 = 82000.00

Long Nifty Put SP 2340
2000 * (6.85 - 46.00) = (Loss) 78300.00

Short Nifty Put SP 2350
200 * (6.50 - 4.20) = 460.00

Short Nifty Put SP 2360
200 * (26 - 4.50) = 4300.00

Short Nifty Put SP 2380
300 * (21 - 6) = 4500.00

Short Nifty Put SP 2400
1300 * (4.65 - 9.00) = (loss) 5655.00

Short Nifty call SP 2380
200 * (104 - 110) = (Loss) 1200.00

Short Nifty call SP 2460
200 * (29 - 40) = (Loss) 2200.00

Total Profit = 82000.00 - 78300.00 + 460.00 + 4300.00 + 4500.00 - 5655.00 - 1200.00 - 2200.00 = 3905.00

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 * (2572 - 2347) = 50000.00
Total Profit (closed) 32000.00 + (open) 50000.00 = 82000.00
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
plus
Short Nifty call 200 sp 2380 at 104.00 = 200 * (2380+104-2472) = 2400.00
plus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2472) = 3400.00

Total Profit = 82000 - 92000 + 1300 + 5200 + 6300 + 6045 + 2400 + 3400 = 14645.00


Thanks & Regards

Harish Chheda

 

[[email protected]]

Hi Harish,

You need to watch like hock, the short call SP2460 as this can change your so-called profit into loss. Although you are long 400 Nifty futures, which are counter acting the loss which can be created by this short position, but still be careful and watch your total risk.

Again I will recommend you to evaluate the trade with what if scenario. Consider that Nifty can again drop 100 points or more in a day. Considering this, you need to know what action, if any, you will take in order to protect your profits and avoid losses.

Good Luck

 

[chheda]

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 : 2554.00 - 2557.30 - 2464.20 - 2472.00
Nifty Put SP 2340 : 6.85 - 6.85 - 6.85 - 6.85
Nifty Put SP 2350 : 3.50 - 5.00 - 1.90 - 4.20
Nifty Put SP 2360 : 4.10 - 4.50 - 4.00 - 4.50
Nifty Put SP 2380 : 2.00 - 6.00 - 2.00 - 6.00
Nifty Put SP 2400 : 3.70 - 10.50 - 3.10 - 9.00
Nifty Call SP 2480 : 66.50 - 80.00 - 23.00 - 25.00
Nifty Call SP 2460: 40.00 - 40.00 - 40.00 - 40.00

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2472 - 2347) = 50000.00
Total Profit (closed) 32000.00 + (open) 50000.00 = 82000.00

Long Nifty Put SP 2340
2000 * (6.85 - 46.00) = (Loss) 78300.00

Short Nifty Put SP 2350
200 * (6.50 - 4.20) = 460.00

Short Nifty Put SP 2360
200 * (26 - 4.50) = 4300.00

Short Nifty Put SP 2380
300 * (21 - 6) = 4500.00

Short Nifty Put SP 2400
700 * (4.65 - 9) = (loss) 3045 .00

Short Nifty Put SP 2400
600 * (4.80 - 9) = (loss) 2520.00

Short Nifty call SP 2480
200 * (33.85 - 25) = 1770.00

Short Nifty call SP 2460
200 * (29 - 40) = (Loss) 2200.00

Total Profit = 82000.00 - 78300.00 + 460.00 + 4300.00 + 4500.00 - 3045.00 - 2520.00 + 1770.00 - 2200.00 = 6965.00

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 Premium 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 * (2472 - 2347) = 50000.00
Total Profit (closed) 32000.00 + (open) 50000.00 = 82000.00
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
plus
Short Nifty call 200 sp 2480 at 33.85 = 6770.00
plus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2472) = 3400.00

Total Profit = 82000 - 92000 + 1300 + 5200 + 6300 + 3255 +2880 + 6770 + 3400 = 19105.00
(Below 2480 on every 1 Rs. decline we loss RS 200 and below 2460 on every 1 Rs. decline we loss Rs 400 in this trade)


Thanks & Regards

Harish Chheda

 

[[email protected]]

Hi Harish,

Thank you for posting profit and loss of the trade.

I don't know where you are coming from while stating that the trade will loose Rs.200 on every 1 Rupee. decline below 2480 etc.

(Below 2480 on every 1 Rs. decline we loss RS 200 and below 2460 on every 1 Rs. decline we loss Rs 400 in this trade)

As a matter of fact your trade will not loose any thing, as the call premium you have collected will protect you from this loss. You will not suffer any loss what so ever until Nifty moves below 2480-33.85=2446.15. Once it starts moving below this number it will reduce your profits from your long nifty futures.

You have to be preparing yourself for this eventuality by taking action. I suggest you to buy back the option at a fraction of price for which you sold, thus booking the profit from the short option. This way if Nifty rebounds again, you will have 400Nifty futures, which will participate fully in the Bull Run again, if not, you will sacrifice very small portion of your profits.

The other alternative is to go short with Nifty futures, by reducing your holdings. This could prove to be very risky and rewarding at the same time.

Third option is to buy put options at current levels.

Please think it thru and prepare your self, do consider permutation and combinations.

Profitable Trading,

Wastej

 

[nautilus]

Hi Wastej:

Sorry for the delay in these postings. I was out for the whole day however based on our previous discussions this is what happened:

Closed out profits on long futures = 67200

Actions triggered today:

1) sold 300 Nifty futures @ 2550 on a stop,which gives a net position of 100 short Nifty @ 2550. (we were previously long 200 nifty @2455) resulting in a closed out profit of (2550-2455)x200 = 19000 (profit)

2) our 300 short puts(sp2500)@17.50 were stopped out at 27.50 (10 Rs higher) resulting in a closed out loss of (17.50-27.50)x300 = 3000(loss).

Open positon p/l calculations:

1) 100 short futures@2550 = (2550-2474.85)x100 = 7515 (profit)
2) 2000long puts(sp2340)@46 = (6.85-46)x2000 = 78300 (loss)
3)200 short calls(sp2480)@21.55 = (21.55-27.75)x200 = 1240 (loss)
4)400 short puts(sp2350)@12.50 = (12.50-4.70)x400 = 3120 (profit)
5)1000 short puts(sp2400)@11.50 = (11.50-9.00)x1000 = 2500 (profit)
6) 300 short puts(sp2480)@21.50 = (21.50-27.90)x300 = 1920 (loss)

Total p/l = (67200+19000+7515+3120+2500-78300-3000-1240-1920) = 14875 (profit)

Open positions:

1) 100 short futures@2550
2) 2000long puts(sp2340)@46
3)200 short calls(sp2480)@21.55
4)400 short puts(sp2350)@12.50
5)1000 short puts(sp2400)@11.50
6) 300 short puts(sp2480)@21.50

Orders working in the market:

Buy 300 futures @ 2560 on a stop

I also feel that I should put a stop-loss of 10rs on the 1000 short puts(sp2400)@11.50 and on 300 short puts(sp2480)@21.50 - I don't know what you think. I think if the market continues its slide than the short puts should be watched carefully.

Thanks and regards.

Nautilus