Concept behind the Trade.
Part 1:
Sold
27June 11700 CE+PE 98+90 = 188 CMP 85+90=175
Bought
4July 11800 Ce +11600 Pe 68+90 = 158 CMP 76+76=154
Ok, so what power does this spread have? Lets see:
27June options will completely be worthless, so I get 175. Furthermore, I assume, 40% of value of 4July options will be left over at 27June expiry; that is decay of 90 points and 10 points expense.
Therefore, if 27June expires at 11700 dot, then a total of 175-90-10 = 75 points will be my net profit in the best case scenario.
Now, the challenge is to leverage this profit to ensure that no matter what happens, we end up retaining a good portion of these 75 points.
Part 2:
If price breaks out of 11800, I will BUY a Bull Call spread.
Else if price breaks 11600, I will buy a Bear Put Spread.
Hence, ensuring that I either get profit from Part 1 or Part 2.
In past few weeks, the core approach has not changed, where we create win-win situations, while we are trying to do away with the unpleasant bits, which are High Volatility and High capital requirement.