Hello
Today the Market gave us 3 trades
1. Sold 100 NF @ 3692
2. Bot 100 NF @ 3645
3. Sold NF @ 3695
Current Position (Day end May 09, 2006)
- 500 Long Nifty Futures (25th May, 2006) @ 3600
- 1600 Long Nifty SP3600 Puts (25th May, 2006) @ 81.00
Realized Gains
Sold 100 NF @ 3600 at 3624.50 = Rs. 2,350 (net aftr brokerage)
Sold 100 NF @ 3600 at 3655.00 = Rs. 5,400 (net aftr brokerage)
Sold 100 NF @ 3618.50 at 3675.00 = Rs. 5,500 (net aftr brokerage)
Sold 100 NF @ 3600 at 3692.00 = Rs. 9,100 (net aftr brokerage)
Sold 100 NF @ 3645 at 3695.00 = Rs. 4,900 (net aftr brokerage)
Gain in Equity
500 Nifty Futures @ 3600 current 3715 = Rs. 57,500/-
Draw down in Equity
1600 Nifty SP3600 Puts (81 - 35.10) = Rs. – 73, 440/-
Notional Gain: Rs 11, 310/-
Delta Caclulation
Strike Price 3600
Spot Price 3719.60
% Volatility 27.5%
Delta (Put) -0.2696
Total Delta = -0.2696 * 1600 + 500 (1 * 500 NF) = 68.64
Next Orders
1. Sell 200 Calls SP 3750 @ Rs. 75-90 (Spot around 3725-30)
2. Sell 200 Calls SP 3750 @ Rs. 90-110 (Spot around 3760-70)
3. Buy 100 NF @ 3665
4. Buy 100 NF @ 3625
5. Buy 100 NF @ 3590
Regards
Sanjay
Today the Market gave us 3 trades
1. Sold 100 NF @ 3692
2. Bot 100 NF @ 3645
3. Sold NF @ 3695
Current Position (Day end May 09, 2006)
- 500 Long Nifty Futures (25th May, 2006) @ 3600
- 1600 Long Nifty SP3600 Puts (25th May, 2006) @ 81.00
Realized Gains
Sold 100 NF @ 3600 at 3624.50 = Rs. 2,350 (net aftr brokerage)
Sold 100 NF @ 3600 at 3655.00 = Rs. 5,400 (net aftr brokerage)
Sold 100 NF @ 3618.50 at 3675.00 = Rs. 5,500 (net aftr brokerage)
Sold 100 NF @ 3600 at 3692.00 = Rs. 9,100 (net aftr brokerage)
Sold 100 NF @ 3645 at 3695.00 = Rs. 4,900 (net aftr brokerage)
Gain in Equity
500 Nifty Futures @ 3600 current 3715 = Rs. 57,500/-
Draw down in Equity
1600 Nifty SP3600 Puts (81 - 35.10) = Rs. – 73, 440/-
Notional Gain: Rs 11, 310/-
Delta Caclulation
Strike Price 3600
Spot Price 3719.60
% Volatility 27.5%
Delta (Put) -0.2696
Total Delta = -0.2696 * 1600 + 500 (1 * 500 NF) = 68.64
Next Orders
1. Sell 200 Calls SP 3750 @ Rs. 75-90 (Spot around 3725-30)
2. Sell 200 Calls SP 3750 @ Rs. 90-110 (Spot around 3760-70)
3. Buy 100 NF @ 3665
4. Buy 100 NF @ 3625
5. Buy 100 NF @ 3590
Regards
Sanjay
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