IRON CONDOR-option trading strategy

[lokanathpai]

June series
max open int 9700-9000
initial position-19.05.17
8900 put buy 75 17.35 -1301.25
9000 put sell 75 24.75 1856.25
9700 call sell 75 30.00 2250.00
9800 call buy 75 14.20 -1065.00
net 1740.00

max profit 1740.00
max loss 5760.00 (100*75)-1740
retained profit
from earlier trades 3704.00
net max loss 2056.00

 

[lokanathpai]

In highly trending market iron condor makes less money.
Hence i planned a new strategy-directional credit spread

 

[lokanathpai]

As on 26/05/17 status

MAX OPEN INT MODIFIED TO: 9600-9400
I WILL TAKE RANGE AS 9700-9300 JUST TO BE SAFE

I AM REPLACING 9000 PUT WITH 9300 PUT

9200 PUT BUY 75 24.75 -1856.25
9300 PUT SELL 75 36.95 2771.25
ADDL INCOME 915.00
REPLACEMENT COST FOR 9000/8900 PUT -213.75
701.25
ADDREV INCOME 1740.00
RESULTANT NEW PRFT 2441.25

 

[lokanathpai]

Reversal position-03.06.17
9200 put sell 75 13.55 1016.25
9300 put buy 75 20.40 -1530.00
9700 call buy 75 66.30 -4972.50
9800 call sell 75 31.05 2328.75
net -3157.50

result -716.25

 

[lokanathpai]

Reversal position-09.06.17
9200 put sell 75 8.00 600.00
9300 put buy 75 14.60 -1095.00
9700 call buy 75 68.90 -5167.50
9800 call sell 75 30.25 2268.75
net -3393.75

result -952.50

 

[lokanathpai]

Max open int for put moved to 9500 from 9300. Hence I replaced 9300 put with 9500

Closed following spread
9200 PUT SELL 75 9.85 738.75
9300 PUT BUY 75 15.50 -1162.50
Cost -423.75
12/06/17
9400 PUT BUY 75 25.50 -1912.50
9500 PUT SELL 75 43.00 3225.00
Additional Income 1312.50

Extra income 888.75
prev income 2441.25
New total income 3330.00

 

[lokanathpai]

Reversal position-16.06.17
9400 put sell 75 18.55 1391.25
9500 put buy 75 35.35 -2651.25
9700 call buy 75 22.45 -1683.75
9800 call sell 75 6.80 510.00
net -2433.75

result 896.25

 

[lokanathpai]

Reversal position-23.06.17
9400 put sell 75 6.25 468.75
9500 put buy 75 16.50 -1237.50
9700 call buy 75 11.70 -877.50
9800 call sell 75 3.30 247.50
net -1398.75

result 1931.25

 

[lokanathpai]

Closure of position-29.06.17
9400 put sell 75 1.60 120.00
9500 put buy 75 14.80 -1110.00
9700 call buy 75 0.15 -11.25
9800 call sell 75 0.05 3.75
net -997.50

retained profit 2332.50
retained profit from earlier trade 3704.00
total profit 6036.50

 

[lokanathpai]

I have brought in Rs.20,00,000.00. I am adopting money management by considering my risk money as 5% of my this capital. That means I can loss maximum Rs 1o,ooo.oo in a trade. So max loss in a trade is limited to Rs 10,000.00 which will limit my trading lots.

CAPITAL 2000000
RISK AMOUNT 5% 100000
INVESTIBLE AMOUNT 1900000

MAX OPEN INT JULY 17 SERIES
CALL 9700 33.70
PUT 9400 69.00
102.70 --A

HEDGE 200 POINTS AWAY
CALL 9900 7.80
PUT 9200 29.25
37.05 --B

INCOME: (A-B) PER POSITION 65.65
MAX LOSS PER POSITION (200-INCOME) 134.35

TRADEABLE POSITIONS(RISK AMT/MAX LOSS) 10
ON 30/06/17
JUL9900 CALL BUY 750 7.80 -5850.00
JUL9700 CALL SELL 750 33.70 25275.00
JUL9400 PUT SELL 750 69.00 51750.00
JUL9200 PUT BUY 750 29.25 -21937.50
MAX PROFIT 49237.50
TARGET RETAIN PROFIT(50%) 24618.75

I REQUIRE AROUND Rs 5,00,000.00 for maintaining margin.
REMAINING Rs 14,00,000.00 will be kept in Reliance ETF Long Term Gilt.
RRSLGETF(NSE) 81000 x 17.25 = 1397000.00