Closing Price of Nifty futures as of September 1, 2005 is Rs.2389.00
Closing Price of SP2340 Nifty future Put Option is 26.50
We are loosing on our Long Put position 46.00-26.50 = 19.50 x 2000 =39,000.00
On remaining Long Nifty futures 700 we are making profit 2389-2347 = 42 x 700 = 29,400.00
Alokdaga pointed out that our sell limit order of 100 Nifty futures at 2405 did not happen and he further points out that its high of the day was artificial. Keeping that in mind we have adjusted our numbers accordingly. Therefore, we have 700 Nifty futures in hand as oppose to 600.
So far we have sold three hundred Nifty futures:
1) 100 future got sold at 2392 against or order of 2361, 2392 being the opening price, which gives us profit of 2392-2347= 45 x 100 = 4500.00
2) 100 futures sold at 2375 which give us 2375-2347 =28 x 100 = 2800.00 as profit
3) 100 futures sold at 2390 which give us 2390-2347= 43 x 100 = 4300.00 as profit
Total profit realized so far 4500.00+2800.00+4300.00 = 11,600.00 by adding unrealized profit from our long Nifty position we will have 29,400.00 + 11,600.00 = 41,000.00 and deducting or loss from Our long put position 41,000.00 39,000.00 = we are still ahead of the game by merely Rs.2000.00
All previous orders stand cancelled. We will have the following orders put for the next trading day.
1) Sell 100 Nifty future at limit of 2405
2) Sell 100 Nifty future at limit of 2420
3) Sell 100 Nifty future at limit of 2435
4) Sell 100 Nifty future at limit of 2450
5) Sell 100 Nifty future at limit of 2465
6) Sell 100 Nifty future at limit of 2480
7) Sell 100 Nifty future at limit of 2495
Beside the sell order we will place buy limit orders also in the same manner as we have for sell orders. Now we want to capture every whiplash of 15 points. At any time we do not want to have more than 1000 open positions of Nifty futures, just keep this in mind. The first buy order will trigger when (a) either the sell order at a limit of 2405 has matured or (b) if nifty trades 15 points below todays closing price, i.e. 2374 and than on every 15 points up or down the orders will start executing. On every 15 points rise we will sell 100 futures and on every 15 points dip, we will buy 100 futures. If need be we will change the above orders to reflect this.
Due to the time difference, and also my traveling plans (Long Week End- Labor Day Week End) I may not have access to the Internet, therefore, will not be able of posting day-to-day progress.
I need some volunteers who should come forward and keep track of this trade. On my return I will catch up and take the trade further. Volunteer should be able to keep the track of all the trades as explained.
Good Luck
Wastej