Hello Dan
I usually execute this with
I
1. Long Nifty Futures - 1000 and
2. Long ATM Puts - 2000
or
II.
1. Short Nifty Futures - 1000 and
2. Long ATM Calls - 2000
but using options on both side on this trade
I intend to keep booking 10% of the initial size where-ever the move comes, and at the end of the day if the delta is highly skewed adjust for it, but don't worry too much about making it neutral.
In theory i should be using greeks to make my decisions but I use the price of the options for that, i suppose all the greeks and every thing else would be factored in the price of these options.
As of now i want to book first five units of 10% each (i.e. 200) at gain of 15+20+25+30+35 points, but if this happens we will be about 250 points away from here and the remaining options (50% or 1000) from the winning side have already made money for both sides.
Time Value is the
enemy no one, so even if Nifty price keeps in the band what we need is, it to keep moving enough so that we can keep unwinding small portions at some profit without skewing the delta too much and making it a directional trade.
I am expecting the unwinding of major part of the position to take place in 3 weeks as last 2 weeks the time value depreciation will just kill us
By then if we are not able to wind-up then maybe we look at adjustments by shorting some options but for now hoping for some wild swings
Cheers
:thumb: