Delta Netural Strategy (short Strangle)

[SGM]

Hello,

Bot 1 lot (100) Nifty Call SP3700 options @ 36
Bid for 1 more lot @ 28

Regards
Sanjay

 

[VICKY_SEEKINGINR]

Hello,

Bot 1 lot (100) Nifty Call SP3700 options @ 36
Bid for 1 more lot @ 28

Regards
Sanjay

wHICH ONE MAY OR JUNE

THANKS

[email protected]

 

[SGM]

wHICH ONE MAY OR JUNE

Hello Vicky

Current month i.e MAY

We were buying back the ones sold previously.

Regards
Sanjay

 

[SGM]

Hello,

We started the trade with the following short strangle

-600 Nifty Calls SP3700 @ 53.85
-600 Nifty Puts SP3550 @ 47.90

We decided to buy back the options to balance the delta and to protect the position by buying/selling of NF if the markets threatens to take away the premium we collected.

Accordingly, we bot

100 Nifty Calls SP3700 @ 35
100 Nifty Calls SP3700 @ 28
100 Nifty Calls SP3700 @ 20

The stop loss order for selling 600 Nfs would have triggered
at 3550 (Hopefully, the markets would give us this trade, because on day like today, a stoploss order could have easily jumped)

We consider the order to be executed with an avg rate of 3547.50

So, the current position is

-300 Nifty Calls SP3700 @ 53.85 CMP 22
-600 Nifty Puts SP3550 @ 47.90 CMP 137.65
-600 Nifty Futures @ 3547.50 CMP 3446

Realized gain

Bot back 300 Calls SP3700 at avg price of 27.67 - 1.5 = 26.17 = Rs 7,850/-

Gain/Drawdown in open positions

- 53,850/- in puts and
+ 60,900/- in NFs
+ 9,555/- in Calls



Here we also had an option, of covering all the NFs and balance 300 calls SP 3700 and Selling 600 Calls SP3550/SP3600/SP3650

Closing prices for Calls

SP3550 is 41.60
SP3600 is 36.95
SP3650 is 30.00
SP3700 is 22.00

I do not regard Rs 6/7 reward enough in taking additional risk of nearer strike price for the calls.

Another option i am being tempted to take is to close out the entire position and take home the gains we r getting now, remember a bird in hand......

Regards
Sanjay

 

[sandhuks]

Hi Sanjay ,All,

Could anyone in the forum advise what margins would be reqd. for -

1. Selling call or put options .

..am trying to get a hang of the ROI etc.

Regards,

 

[SGM]

Hi Sanjay ,All,

Could anyone in the forum advise what margins would be reqd. for -

1. Selling call or put options .

..am trying to get a hang of the ROI etc.

Regards,

Hi,
Plz chk i have posted a reply to u r quires on long put, long futures thread.

Regards
Sanjay

 

[lakish80]

hi, i am doing short in the money strangel and i want to do with delta so any body can help me out with this

 

[Capricorn]

How can a strangle be in the money to begin with??

 

[DanPickUp]

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[munde_77]

some of you have asked about "delta netural strategy" of trading futures and options. Well it is beyond my capabilities to explain here in detail. However i would like to walk you through this strategy. This strategy can be implemented no matter what you think the market is going to do. Let us play the mock trade here and learn and understand the strategy. Our mock trade is going to be on future and options on nifty index expires on august 25, 2005

the last trade on nifty index futures expires 25 august, 2005 rs.2362.00 on
friday 12th august, 2005.

Action:

1) we will sell five calls options on the future of nifty index with strike price of 2380 which will give us rs.12000.00 (the denominator is 100) the last traded price on friday 12th august 2005 was rs.24.00
24x500=12000.00.

2) we will also sell five put options on the future of nifty index with strike price of 2340 at rs.22.95 (the last traded price on friday 12th august 2005 thus will collect premium of 22.95x500= 11475.00.

By taking the above action we have collected total premium of rs.23475.00.all we have to do is to keep this premium until expiry of the options i.e., august 25, 2005.

Note: The options call and put are usually sold at the resistance and support levels. This strategy is suitable for well-funded accounts only as the margin requirements could be high. We will watch from here what the market is going to do and will adjust our trade accordingly. Those of you who would like to know more about this trade and this trading strategy should read about the greeks of options and at the end of this trade i will answer any questions you may have. Please hold your horses until the trade is over which will end after 9 trading days only.

r u still here