Delta Neutral Strategy (Long Nifty @ Long Puts)

[nautilus]

Hi Nautilus,

You have done a commendable job by turning your losses into decent profits. I hope in the process you have learned few things. Your profit should increase further by the end of expiry day. This will be close to Rs.37,000.00. Not bad for one month of work despite the fact that market behaved like a roller coaster and we were wrong not only once, but have been wrong constantly.

Now you believe, that to a good trader the market is nothing but a regular source of income. In such strategies the candles, TA, rumors, hot tips have no room and all. More over one should not have any bias at all. One should go into the trade with the open mind.

One comment I would like to offer here that the profitability would have at least four times more, if Nifty had orderly move, up, pause, correction and than up, pause and correction etc., --in this fashion.

For the time being we are happy with what ever the market gives us.

I would like you to let all the readers no the total outlay on this trade and the percentage of profit you were able to make. Use 10% margin requirement figure while calculating return percentage, please.

Thank you

Regards,


Wastej

Hi Wastej:

Never having traded options before in my professional carreer as a trader; both the options startegies that you have so far demonstarted have been an eye opener for me personally - being a directional and an out right trader. The idea of regular source of income also appeals to me as a professional - to me trading is a business - and during that business I can see how options can minimise my risks if I am alert enough - and risk management is all I want to learn about from the markets. I also think we (Harish and I, I am sure Harish will agree) have been very lucky since the market has been most volatile as well as violent - and we have managed to test out a concept in raw and shake it around vigourously enough - that has as yet has not fallen apart!

I particularly like your concept of going into the market with no bias and simply respond appropriately to the market's vagaries.

On a personal note there were times initially, unable to get the appropriate daily data (being new to Indian market) that I was frustrated and a stage had arrived where I was falling behind and almost gave up on the excercise - thanks to both Harish and Joy Mitali for their support. But most importantly you persisted and carried on Mentoring and guiding a novice like me - and thank you for that!

Regards

Nautilus

 

[nautilus]

Hi Nautilus,

You can sell ATM nifty future call (200) and collection some extra money. If there is still premium at 2570 or 2580 than you can go at higher strikes. By doing this you are not going to loose the profit your futures have already made. On the down side you will be protected to the extent of premium collected.

So go for it.

Happy Trading,

Wastej

Hi Wastej:

On the trading side I have sold 200 sep calls(sp2580)@26.00

Will summarise the whole position this evening after the market closes.

Regards

Nautilus

 

[nautilus]

Hi Wastej:

Here is the daily open/closed positions and p/l summary

Todays trade:

Sold 200 calls(sp2580)@26.00

P/l calculations:

Closed out profits on futures = (67200+19000+6000) = 92200 (profit)
Closed losses on options = (-3000-2490) = (5490) loss

Open positions p/l

1) 200 long futures@2490 = (2577.60-2490)x200 = 17520 profit
2) 400 short puts(sp2350)@12.50 = (12.50-0.90)x400 = 4640 profit
3) 1000 short puts(sp2400)@11.50 = (11.50-1.00)x1000 = 10500 profit
4) 300 short puts(sp2480)@21.50 = (11.50-2.85)x300 = 5595 profit
5) 200 short calls(sp2580)@26.00 = (26.00-18.85)x200 = 1430 profit
6)2000 long puts(sp2340)@46 = 92000 loss

Total p/l = (92200+17520+4640+10500+5595+1430-5490-92000) = 34395 Profit

Open Positions:

1) 200 long futures@2490
2) 400 short puts(sp2350)@12.50
3) 1000 short puts(sp2400)@11.50
4) 300 short puts(sp2480)@21.50
5) 200 short calls(sp2580)@26.00
6)2000 long puts(sp2340)@46

Regards

Nautilus

 

[chheda]

Hi WasteJ ,

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

Trade Today :
Sell 200 Nifty Call SP 2580 at 25
Buy 200 Nifty Call SP 2580 at 12.95

To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2562.05,2594.7,2553,2577.6
Nifty Put SP 2340 : No Trade Today (Prev. close 2.15)
Nifty Put SP 2350 : 0.55,1,0.55,0.90
Nifty Put SP 2360 : No Trade Today (Prev. close 4.50)
Nifty Put SP 2380 : 2,2,1.25,1.25
Nifty Put SP 2400 : 0.9,1.5,0.8,1
Nifty Call SP 2380: No Trade Today (Prev. close 50.00)
Nifty Call SP 2460: 116,132,116,132
Nifty Call SP 2580: 15,28.75,10.05,18.85

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2577.60 - 2347) = 92240.00
Total Profit (closed) 32000.00 + (open) 92240.00 = 124240.00

Long Nifty Put SP 2340
2000 * (2.15 - 46.00) = (Loss) 87700.00

Short Nifty Put SP 2350
200 * (6.50 - 0.90) = 1120.00

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

Short Nifty Put SP 2380
300 * (21 - 1.25) = 5925.00

Short Nifty Put SP 2400
1300 * (4.65 - 1) = 4745.00

Short Nifty call SP 2380
200 * (104 - 50) = 10800.00

Short Nifty call SP 2460
200 * (29 - 132) = (Loss) 20600.00

Nifty Call SP 2580
200 * (25 - 12.95) = 2410 (Trade closed)

Total Profit = 124240.00 - 87700.00 + 1120.00 + 4300.00 + 5925.00 + 4745.00 + 10800.00 - 20600.00 + 2410.00
= 45240.00

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
Nifty Call SP 2580 : 200 @ (25 - 12.95) : +2410
Total : - 46145.00

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 * (2577.60 - 2347) = 92240.00
Total Profit (closed) 32000.00 + (open) 92240.00 = 124240.00
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+104-2577.6) = (loss) 18720.00
plus
Short Nifty call 200 SP 2460 at 29.00 = 200 * (2460+29-2577.6) = (loss)17720.00
plus
Nifty call SP 2580 = 200 * (25 - 12.95) = 2410

Total Profit = 124240 - 92000 + 1300 + 5200 + 6300 + 6045 -18720 - 17720 + 2410 = 17055.00


Thanks & Regards

Harish Chheda

 

[chheda]

Hi WasteJ ,

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

Trade Today :
Sell 200 Nifty Fut at 2580
Buy 200 Nifty Fut at 2565

To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2562.05,2594.7,2553,2577.6
Nifty Put SP 2340 : No Trade Today (Prev. close 2.15)
Nifty Put SP 2350 : 0.55,1,0.55,0.90
Nifty Put SP 2360 : No Trade Today (Prev. close 4.50)
Nifty Put SP 2380 : 2,2,1.25,1.25
Nifty Put SP 2400 : 0.9,1.5,0.8,1
Nifty Call SP 2460: 116,132,116,132
Nifty Call SP 2480: 100,100,81,81.1


Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus 200 * (2580 - 2565) = 3000.00
Plus open profit 400 * (2577.60 - 2347) = 92240.00
Total Profit (closed) 32000.00 + 3000.00 + (open) 92240.00 = 127240.00

Long Nifty Put SP 2340
2000 * (2.15 - 46.00) = (Loss) 87700.00

Short Nifty Put SP 2350
200 * (6.50 - 0.90) = 1120.00

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

Short Nifty Put SP 2380
300 * (21 - 1.25) = 5925.00

Short Nifty Put SP 2400
700 * (4.65 - 1) = 2555.00

Short Nifty Put SP 2400
600 * (4.80 - 1) = 2280.00

Short Nifty call SP 2480
200 * (33.85 - 18) = 3170.00 (trade closed out)

Short Nifty call SP 2460
200 * (29 - 132) = (Loss) 20600.00

Total Profit = 127240.00 - 87700.00 + 1120.00 + 4300.00 + 5925.00 + 2555.00 + 2280.00 + 3170.00 - 20600.00 = 38290.00

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
Long 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
Long Call SP 2480: 200 @18.00 : -3600
Short Call SP 2460: 200 @ 29 : + 5800
Total : - 64095

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

Closed out profit of 32000.00
Plus 200 * (2580 - 2565) = 3000.00
Plus open profit 400 * (2577.60 - 2347) = 92240.00
Total Profit (closed) 32000.00 + 3000.00 + (open) 92240.00 = 127240.00
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 2460 at 29.00 = 200 * (2460+29-2577.60) = (loss) 17720.00
plus
Short Nifty call 200 sp 2480 at 33.85 +Long Nifty Call SP 2480 at 18= 200 * (33.85 - 18) = 3170.00

Total Profit = 127240 - 92000 + 1300 + 5200 + 6300 + 3255 + 2880 - 17720 + 3170 = 39625.00

Thanks & Regards

Harish Chheda

 

[[email protected]]

Hi Nautilus,

Looking at your holdings, you can get some extra money without taking any additional risk. Why don't you sell 200 put options SP2580. Please do so and try to get the maximum possible premium. Only one more trading day left before the option expires, after today's trading, so go for it.

Good Luck

Wastej

 

[[email protected]]

Hi Harish,

Your trade is in good shape; at this stage it is not wise to take any further step as yet. Let us see how market behaves today.

Good Luck

Wastej

 

[nautilus]

Hi Wastej:

Here is the summary for today:

Action taken today:

Sold 200 puts(sp2580)@27.00

P/l Summary:

Closed out profits on futures = (67200+19000+6000) = 87200 profit
Closed out losses on options = (-3000-2490) = 5490 loss

Open position valuations:

1) 200 long futures@2490 = (2607.90-2490)x200 = 23580 profit
2) 400 short puts(sp2350)@12.50 = (12.50-0.40)x400 = 4840 profit
3)1000 short puts(sp2400)@11.50 = (11.50-0.05)x1000 = 11450 profit
4)300 short puts(sp2480)@21.50 = (21.50-1.25)x300 = 6075 profit
5) 200 short puts(sp2580)@27.00 =(27.00-5.20)x200 = 4360 profit
6) 200 short calls(sp2580)@26.00 = (26.00-28.50)x200 = 500 loss
7) 2000 long puts(sp2340)@46 = 92000 loss

Total p/l = (87200+23580+4840+11450+6075+4360-500-5490-92000) = 39515 profit

Open positions:

1) 200 long futures@2490
2) 400 short puts(sp2350)@12.50
3)1000 short puts(sp2400)@11.50
4)300 short puts(sp2480)@21.50
5) 200 short puts(sp2580)@27.00
6) 200 short calls(sp2580)@26.00
7) 2000 long puts(sp2340)@46

Regards

Nautilus

 

[chheda]

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 : 2578,2607.9,2558.35,2601.8
Nifty Put SP 2340 : 0.5,0.5,0.5,0.5
Nifty Put SP 2350 : 1,1,0.4,0.45
Nifty Put SP 2360 : No Trade Today (Prev. close 4.50)
Nifty Put SP 2380 : No Trade Today (Prev. close 1.25)
Nifty Put SP 2400 : 0.8,1.1,0.5,0.6
Nifty Call SP 2380: No Trade Today (Prev. close 50.00)
Nifty Call SP 2460: 115,115,115,115
Nifty Call SP 2580: 20,30,11.5,28.1

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2601.80 - 2347) = 101920.00
Total Profit (closed) 32000.00 + (open) 101920.00 = 133920.00

Long Nifty Put SP 2340
2000 * (0.50 - 46.00) = (Loss) 91000.00

Short Nifty Put SP 2350
200 * (6.50 - 0.45) = 1210.00

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

Short Nifty Put SP 2380
300 * (21 - 1.25) = 5925.00

Short Nifty Put SP 2400
1300 * (4.65 - 0.60) = 5265.00

Short Nifty call SP 2380
200 * (104 - 50) = 10800.00

Short Nifty call SP 2460
200 * (29 - 115) = (Loss) 17200.00

Nifty Call SP 2580
200 * (25 - 12.95) = 2410 (Trade closed)

Total Profit = 133920.00 - 91000.00 + 1210.00 + 4300.00 + 5925.00 + 5265.00 + 10800.00 - 17200.00 + 2410.00 = 55630.00

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
Nifty Call SP 2580 : 200 @ (25 - 12.95) : +2410
Total : - 46145.00

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 * (2601.8 - 2347) = 101920.00
Total Profit (closed) 32000.00 + (open) 101920.00 = 133920.00
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+104-2601.80) = (loss) 23560.00
plus
Short Nifty call 200 SP 2460 at 29.00 = 200 * (2460+29-2601.8) = (loss) 22560.00
plus
Nifty call SP 2580 = 200 * (25 - 12.95) = 2410

Total Profit = 133920 - 92000 + 1300 + 5200 + 6300 + 6045 -23560 - 22560 + 2410 = 17055.00


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 : 2578,2607.9,2558.35,2601.8
Nifty Put SP 2340 : 0.5,0.5,0.5,0.5
Nifty Put SP 2350 : 1,1,0.4,0.45
Nifty Put SP 2360 : No Trade Today (Prev. close 4.50)
Nifty Put SP 2380 : No Trade Today (Prev. close 1.25)
Nifty Put SP 2400 : 0.8,1.1,0.5,0.6
Nifty Call SP 2460: 115,115,115,115
Nifty Call SP 2480: 99,110,99,110

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 35000.00
Plus open profit 400 * (2601.80 - 2347) = 101920.00
Total Profit (closed) 35000.00 + (open) 101920.00 = 136920.00

Long Nifty Put SP 2340
2000 * (0.50 - 46.00) = (Loss) 91000.00

Short Nifty Put SP 2350
200 * (6.50 - 0.45) = 1210.00

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

Short Nifty Put SP 2380
300 * (21 - 1.25) = 5925.00

Short Nifty Put SP 2400
700 * (4.65 - 0.60) = 2835.00

Short Nifty Put SP 2400
600 * (4.80 - 0.60) = 2520.00

Short Nifty call SP 2480
200 * (33.85 - 18) = 3170.00 (trade closed out)

Short Nifty call SP 2460
200 * (29 - 115) = (Loss) 17200.00

Total Profit = 136920.00 - 91000.00 + 1210.00 + 4300.00 + 5925.00 + 2835.00 + 2520.00 + 3170.00 - 17200.00 = 48680.00

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
Long 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
Long Call SP 2480: 200 @18.00 : -3600
Short Call SP 2460: 200 @ 29 : + 5800
Total : - 64095

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

Closed out profit of 35000.00
Plus open profit 400 * (2601.80 - 2347) = 101920.00
Total Profit (closed) 35000.00 + (open) 101920.00 = 136920.00
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 2460 at 29.00 = 200 * (2460+29-2601.8) = (loss) 22560.00
plus
Short Nifty call 200 sp 2480 at 33.85 +Long Nifty Call SP 2480 at 18= 200 * (33.85 - 18) = 3170.00

Total Profit = 136920 - 92000 + 1300 + 5200 + 6300 + 3255 + 2880 - 22560 + 3170 = 44465.00

Thanks & Regards

Harish Chheda