IRON CONDOR-option trading strategy

[lokanathpai]

REVERSAL ON 04/08/17
AUG 10600 CALL SELL 1125 3.75 4218.75
AUG 10400 CALL BUY 1125 16.00 -18000.00
AUG9800 PUT BUY 1125 28.25 -31781.25
AUG9600 PUT SELL 1125 13.35 15018.75
-30543.75
RESULT 225.00

MAX OPEN INT IN PUT MOVED TO 10000
HENCE I REPLACED 9800/9600 PUT WITH 9900/9700 PUT
I COULD ADD ADDL INCOME WITH THIS

AUG9900 PUT SELL 1125 42.95 48318.75
AUG9700 PUT BUY 1125 19 -21375.00
INCOME 26943.75
COST FOR EXISTING PUT POSITION -16762.50
ADDL INCOME 10181.25

 

[lokanathpai]

I PLACED A STOP LOSS BUY FOR 1125 NIFTY FUTURE OF AUG EXPIRY.
WITH TRIGGER AT 9880. I WAS FILLED IN AT 9875.
I CLOSED THIS POSITION AT 9720.
MY HEDGE OF 9700 PUT WILL TAKEOVER ANY DOWNFALL BELOW 9700.
INCOME DERIVED ON THIS FUTURE TRADE
9875 - 9720 = 155 X 1125 = 174375

I REPLACED 10600/10400 WITH 10100/9900 AND EARNED ADDITIONAL INCOME

AUG10100 CALL BUY 1125 13.55 -15243.75
AUG9900 CALL SELL 1125 48.8 54900.00
AUG10600 CALL SELL 1125 1.55 1743.75
AUG 10400 CALL BUY 1125 3.15 -3543.75
ADDL INCOME 37856.25

TOTL INCOME
INITIAL 30768.75
REPLACEMENT OF PUT 10181.25
FUTURES TRADE 174375
REPLACEMENT OF CALL 37856.25
TOTAL 253181.25

POSITIONAL VALUE ON 11.08.17
AUG10100 CALL SELL 1125 13.55 15243.75
AUG9900 CALL BUY 1125 48.8 -54900.00
AUG9900 PUT BUY 1125 205.5 -231187.50
AUG9700 PUT SELL 1125 105.8 119025.00
-151818.75
RESULT 101362.50


FUTURES TRADE WAS UNDERTAKEN TO REDUCE LOSS
WHIPSAW PREVENT FUTURES TRADE FROM GIVING DESIRED OUTCOME

 

[lokanathpai]

POSITIONAL VALUE ON 18.08.17
AUG10100 CALL SELL 1125 11.60 13050.00
AUG9900 CALL BUY 1125 61.25 -68906.25
AUG9900 PUT BUY 1125 109.00 -122625.00
AUG9700 PUT SELL 1125 41.55 46743.75
-131737.50
RESULT 121443.75

 

[lokanathpai]

POSITIONAL VALUE ON 24.08.17
CLOSED MY POSITION AT THIS
AUG10100 CALL SELL 1125 2.60 2925.00
AUG9900 CALL BUY 1125 42.15 -47418.75
AUG9900 PUT BUY 1125 57.50 -64687.50
AUG9700 PUT SELL 1125 11.85 13331.25
-95850.00
TOTL INCOME 253181.25
POSITIONAL VALUE -95850.00
PROFIT 157331.25

CAPITAL 1870175.00
ADDROFIT 157331.25
TOTAL 2027506.25

 

[lokanathpai]

CAPITAL 2027506
RISK AMOUNT 10% 202751
INVESTIBLE AMOUNT 1824755

IRON CONDOR PAIR FOR SEP 17 SEREIS
MAX OPEN
CALL 9700
PUT 10000

MAX RANGE FORNIFTY SINCE LAST 5 MONTHS 572
RANGE FOR NIFTY DURING AUG 17
10137 - 9685 452
AS NIFTY DID NOT BREACH 9700 UPTREND IS MAINTAINED
9700 + 572 = 10272

IRON CONDOR PAIR FOR SEP 17 SEREIS 10300 - 9700
HEDGE 100 POINTS AWAY
HENCE 10400 - 9600
CALL 10300 16.00
PUT 9700 67.95
83.95 --A
HEDGE 100 POINTS AWAY
CALL 10400 9.35
PUT 9600 48.60
57.95 --B
INCOMEA-B) 26.00
MAX LOSS (100-INCOME) 74.00
TRADEABLE POSITIONS(RISK AMT/MAX LOSS) 37
PER LOT Rs 50000/- MARGIN AMOUNT REQUIRED.
ON TRADEABLE AMOUNT I CAN SELL TOTAL 36 LOTS
MEANS 18 LOT CALLS AND 18 LOTS PUT

SEP10400 CALL BUY 1350 9.35 -12622.50
SEP10300CALL SELL 1350 16.00 21600.00
SEP9700 PUT SELL 1350 67.95 91732.50
SEP 9600 PUT BUY 1350 48.60 -65610.00
MAX PROFIT 35100.00

 

[Subhadip]

Best of luck.

 

[avshake]

CAPITAL 2027506
RISK AMOUNT 10% 202751
INVESTIBLE AMOUNT 1824755

IRON CONDOR PAIR FOR SEP 17 SEREIS
MAX OPEN
CALL 9700
PUT 10000

MAX RANGE FORNIFTY SINCE LAST 5 MONTHS 572
RANGE FOR NIFTY DURING AUG 17
10137 - 9685 452
AS NIFTY DID NOT BREACH 9700 UPTREND IS MAINTAINED
9700 + 572 = 10272

IRON CONDOR PAIR FOR SEP 17 SEREIS 10300 - 9700
HEDGE 100 POINTS AWAY
HENCE 10400 - 9600
CALL 10300 16.00
PUT 9700 67.95
83.95 --A
HEDGE 100 POINTS AWAY
CALL 10400 9.35
PUT 9600 48.60
57.95 --B
INCOMEA-B) 26.00
MAX LOSS (100-INCOME) 74.00
TRADEABLE POSITIONS(RISK AMT/MAX LOSS) 37
PER LOT Rs 50000/- MARGIN AMOUNT REQUIRED.
ON TRADEABLE AMOUNT I CAN SELL TOTAL 36 LOTS
MEANS 18 LOT CALLS AND 18 LOTS PUT

SEP10400 CALL BUY 1350 9.35 -12622.50
SEP10300CALL SELL 1350 16.00 21600.00
SEP9700 PUT SELL 1350 67.95 91732.50
SEP 9600 PUT BUY 1350 48.60 -65610.00
MAX PROFIT 35100.00

Are you open to discussing this IC? I would like to know a few points -

1. Why are you just adding the last 5 months range?
2. The chances of you retaining the IC credit is only 29.19% by September 28 (this can be better if vol drops). NIFTY's daily volatility is at .62% only. .62% Implies that NIFTY can be anywhere between 10171.3 and 9482.3 by September's expiry by 1 standard deviation.

I am not questioning your trade here, but just want to understand your reasoning behind it.

 

[lokanathpai]

Honestly it is only my hunch to take max range of last 5 months,no other reason.
I am trying to arrive at right strike price to play IC, so that I can consistently make profit, without going through technicalities.
Ofcourse, Shubhdeep, I was lucky with future trade. I have to see, whether this type of future hedging works always or not. My presumption, it will not.

 

[Subhadip]

Honestly it is only my hunch to take max range of last 5 months,no other reason.
I am trying to arrive at right strike price to play IC, so that I can consistently make profit, without going through technicalities.
Ofcourse, Shubhdeep, I was lucky with future trade. I have to see, whether this type of future hedging works always or not. My presumption, it will not.

Sideways hitting upside and downside within two or three days during sideways phase will hurt....be aware....as that time your future was not hedged....

Also u have increased position size....

 

[lokanathpai]

AS ON 01.09.17 POSITION VALUE
SEP10400 CALL SELL 1350 7.20 9720.00
SEP10300CALL BUY 1350 15.40 -20790.00
SEP9700 PUT BUY 1350 35.25 -47587.50
SEP 9600 PUT SELL 1350 23.70 31995.00
-26662.50
INCOME 35100.00
POSITIONAL VALUE VALUE -26662.50
NET 8437.50