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

[jamit_05]

ATMs: Sell 04th July 11800 CE + PE 99 + 62 = 161 cmp 65+40 = 105 gain 56
Wings: Buy 25th July 12000 CE + 11600 PE 107 + 93 = 200 cmp 101+82 = 183 loss 17

Squared off 11900 CE bough at 57 CMP 35 LOSS 22 !!

NetGain: 56-17-22 = 17 points.
The Hedge proved expensive.

 

[jamit_05]

ATMs: Sell 04th July 11800 CE + PE 99 + 62 = 161 cmp 113+8 gain 40
Wings: Buy 25th July 12000 CE + 11600 PE 107 + 93 = 200 cmp 127+58 = 185 loss 15

Squared off 11900 CE bough at 57 CMP 35 LOSS 22 !!
Squared off 11800PE at Rs.8

40-15-22-8 = 5 Loss

 

[jamit_05]

ATMs: Sell 04th July 11800 CE + PE 99 + 62 = 161 cmp 132+8 gain 21
Wings: Buy 25th July 12000 CE + 11600 PE 107 + 93 = 200 cmp 133+xx loss 22

Squared off 11900 CE bough at 57 CMP 35 LOSS 22 !!
Squared off 11800PE at Rs.8

21-22-22-8 = 35 Loss

Market displaces atleast a 120 points each week, therefore with decay of wings, 160 points is not enough collection. For this method to work, I will have to keep selling more options, and collect more premium, like I did the first three times.


Sold 11July12000Ce at 77, to cover for this loss.

 

[jamit_05]

Sold 11July 12000CE 77*2 Squared off 20*2 (the idea is to benefit from time decay. Gains from delta often go back, but gains from theta will remain)

Sold 11July 11900Ce 65 Covered 35
Sold 11July 11950Ce 44 Covered 22

Will Sell More CEs when price goes 50 points up.

Sold 11July 11800PE 70*2

 

[jamit_05]

Sold 18July 11600CE+PE 83+116=199

11600PE Covered... @ 118 Loss 2

and 11500PE Sold 69

Sold 18July 11600CE @ 83 + Sold 18July 11500PE @ 69 Cost: 152 CMP 60+72=132 :: Gain 20

The trend appears to be down, the Gap till 11400 is still unfilled. So, purchased a 100 point protection, and reduced profit.

 

[jamit_05]

Sold 18July 11600CE+PE 83+116=199

11600PE Covered... @ 118 Loss 2

and 11500PE Sold 69

Sold 18July 11600CE @ 83 + Sold 18July 11500PE @ 69 Cost: 152 CMP 60+72=132 :: Gain 20

The trend appears to be down, the Gap till 11400 is still unfilled. So, purchased a 100 point protection, and reduced profit.

This is so much more convenient. Now, shifting to 11500 has given me room for another 150 points from here, in between which the trend may reverse allowing me to completely pocket the 69 points.

Furthermore, now there is a gap of 100 points between 11600Ce and 11500PE. Such that if the week expires in the gap, i get complete premium of both sides.

So, now the fight is to discover this gap.

 

[jamit_05]

Sold 18July 11600CE+PE 83+116=199
11600PE Covered... @ 118 Loss 2
and 11500PE Sold 69

Sold 18July 11600CE @ 83 + Sold 18July 11500PE @ 69 Cost: 152 CMP 75+54=129 :: Gain 22

 

[jamit_05]

.......................

 

[against_tides]

Delta Neutral Setup (Paper Trades only):

BUY 10 Lots NF 11585 25July (No Premium)
Buy 20 Lots Aug 11600PE 194 (Estimated Exit Price: 124; 70 points lower)

Exit Period: 25th July
Target Gains: Need to recover Rs.1.5L to get minimum profit, and cover for time-decay.

Here the skill is in selling at turning points and having an eye for the trend.

how do you calculate option price for estimated strike price..
if call option is at 10 rs and nifty future @11000..how will you calculate the the target option price when nifty fut will be at 11075

 

[jamit_05]

how do you calculate option price for estimated strike price..
if call option is at 10 rs and nifty future @11000..how will you calculate the the target option price when nifty fut will be at 11075

I think one of the online option calculators will do that for you. However, I have not estimated option price in relation to Nifty value, but by days to expiration.

PS: Nice footnote. So true for most of us.