Low Risk Low Returns- Target 50 NF per month per NF Lot

[jamit_05]

Jamit,

I Tried this type of delta neutral Strategies very Long ago. at One Stage I stopped. since we need good swing in price.

As You said we had very good swing (Fast also) This is ideal situation for this type of methods.

Eagar to watch how you going to trade in sideway(ie no Price movement) Period :thumb:

Even sideways is very profitable just like this month. The problem, is only when there is no movement, the range is very poor... like 150 points in a month. That will cause us to lose around 40 points per lot and that is not a huge problem... some smart speculation can take care of that too...

I am fairly confident of this method. In another 6 months time I see it becoming fairly big, at least for myself.

 

[SaravananKS]

Even sideways is very profitable just like this month. The problem, is only when there is no movement, the range is very poor... like 150 points in a month. That will cause us to lose around 40 points per lot and that is not a huge problem... some smart speculation can take care of that too...

I am fairly confident of this method. In another 6 months time I see it becoming fairly big, at least for myself.

I think you misunderstood my Point,

Yes,this month is some what sideways,But price swing was very fast....( with 20 Days 300 Pts Down and Up)

IMO if price moves slowly (whether it Trend or Trend Less) and VIX also decreases then the Time Values (3 to Pts Per Day ) is big Threat....

any way we have six months at the same time VIX is historically very low(So nothing worry to gamma Loss)....
So I hope this of strategy work atleast for short term

 

[jamit_05]

I think you misunderstood my Point,

Yes,this month is some what sideways,But price swing was very fast....( with 20 Days 300 Pts Down and Up)

IMO if price moves slowly (whether it Trend or Trend Less) and VIX also decreases then the Time Values (3 to Pts Per Day ) is big Threat....

any way we have six months at the same time VIX is historically very low(So nothing worry to gamma Loss)....
So I hope this of strategy work atleast for short term

I agree this month was easy. Also, agree that when price doesn't move like in months of April we will be in a soup. I cannot bear to lose 3 pts per day.. no way. I have a way to lose less than half of it... In due time...

 

[jamit_05]

Nifty is taking strong support, a good chance of a take off from here... it might be a good idea to take adv of the PEs that we have in stock... 800 Units.

SOLD 200 units of 5900 MAR PEs at 44;

5900 PEs because bulls have captured this ground... Tks OT.

 

[jamit_05]

Total profit collected thus far:


200*44 5900 MAR PEs = 8800 (4 pe)
200*22 5800 MAR PEs = 4400 (4 pe)
NF 6000-5700 = 300*100 = 30000 (2)
100*117 5900 APR CE = 11700 (2)
50*130 5800 APR CE = 6500 (1)

==========================

Total Gain = 61400

 

[jamit_05]

SOLD 200 units of 5900 PE MAR @ 64

 

[jamit_05]

Total profit collected thus far:

200*64 5900 MAR PEs = 12800 (4 pe)
200*44 5900 MAR PEs = 8800 (4 pe)
200*22 5800 MAR PEs = 4400 (4 pe)
NF 6000-5700 = 300*100 = 30000 (2)
100*117 5900 APR CE = 11700 (2)
50*130 5800 APR CE = 6500 (1)

==========================

Total Gain = 74200

8 Lots of 5700 PE and 5 lots of NF left.

 

[jamit_05]

Now that all cost has been covered and the hedge is now is good profits, let raise the heat up.

How about buying 5900 PEs APRs 20 Units, and 5 lots of NFs at 5900.

We have collected 72K from the last hedge and some risk, which we will settle probably at a cost, if trend reverses.

 

[jamit_05]

New trade. (will continue to follow the old one too)

Buying 10 APR NF lots @5936
Buying 20 APR 5900 PE Lots @ 90

Total Expense: 20*50*90 = 90K
Margin: 30K * 10 = 3L

Around 4 L of investment. Plus what we will need to sell covered options

 

[jamit_05]

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