Flexibility is being compromised for two reasons
1) Apr PEs are not liquid, although very cheap.
2) Small quantity was taken to start with.
Therefore, am gonna make these two changes and start off a fresh deal
10 lots of Nf @ 5900
20 lots of Mar PEs @ 155
Total Investment:
3L for NF margin
20*50*155 = 1.55 L for PEs.
i.e. 4.55L + 10% for MtoM
Total comes to around 5L
Of this, 50*50*20 = 50K i.e. 10% of investment will be lost in the next 20 trading sessions due to time decay. This 50 point loss and 50 point profit, i.e. a total of 100 points will have to be extracted just to keep this method at the brink of success.
Had we stuck with APR PEs then this cost would be 25 points lesser. i.e. 75 points. But flexibility would be reduced. It is almost 10 am and only TWO contracts of APR 6000 PEs has been traded.... We'd miss out on gap moves !!