Low Risk Low Returns- Target 50 NF per month per NF Lot
- Thread starter jamit_05
- Start date
Re: NF Lot
Portfolio - 1 has boiled down to this
Aug 76PE 1500 Units
Aug 7750 NF 750 Units (paid additional 25K)
Total that I have paid is : 170*50*30=255k
Nf Rollover cost: 25k;
Gains: -55k
===========
Net liability: 225k
Will have to strategize to recover 225k in the month of Aug, with 1500 Units of 76PE and 750 Units of NF.
Portfolio - 1 has boiled down to this
Aug 76PE 1500 Units
Aug 7750 NF 750 Units (paid additional 25K)
Total that I have paid is : 170*50*30=255k
Nf Rollover cost: 25k;
Gains: -55k
===========
Net liability: 225k
Will have to strategize to recover 225k in the month of Aug, with 1500 Units of 76PE and 750 Units of NF.
Last edited:
Re: FnO Portfolio - II
Long 75PE DEC @ 184*30*50 = Cash target to recover: 280;
Long NF Aug @7570 *15*50; M2M = +170k;
Adjustments:
--------------
*75PE Aug Gain 15k;
*Covered 79CE Aug @112 (65) 100u; Gain: 4.5;
*Covered 78CE Aug @133 (105) 100u; Gain 3k;
*Covered 78CE Aug @146 (105) 100u; Gain 4k;
*Covered 78CE Aug @139 (105) 100u; Gain 3.5k;
*BUY 77 PE JULY @10 200u; PAID 2k; (OPEN);
SOLD 76CE Aug @197 (225) 50u: Collected 9k;
SOLD 77CE Aug @148 (160) 50u: Collected 7.4k;
Coverted to Sep 78CE @174 300u; Collected 52k;
Coverted to Sep 79CE @126 100u; Collected: 12.5k;
(logic for conversion: Sept gives lower Theta than Aug, but more pts will be gained if Spot falls another 200 pts).
Long 75PE DEC @ 184*30*50 = Cash target to recover: 280;
Long NF Aug @7570 *15*50; M2M = +170k;
Adjustments:
--------------
*75PE Aug Gain 15k;
*Covered 79CE Aug @112 (65) 100u; Gain: 4.5;
*Covered 78CE Aug @133 (105) 100u; Gain 3k;
*Covered 78CE Aug @146 (105) 100u; Gain 4k;
*Covered 78CE Aug @139 (105) 100u; Gain 3.5k;
*BUY 77 PE JULY @10 200u; PAID 2k; (OPEN);
SOLD 76CE Aug @197 (225) 50u: Collected 9k;
SOLD 77CE Aug @148 (160) 50u: Collected 7.4k;
Coverted to Sep 78CE @174 300u; Collected 52k;
Coverted to Sep 79CE @126 100u; Collected: 12.5k;
(logic for conversion: Sept gives lower Theta than Aug, but more pts will be gained if Spot falls another 200 pts).
Re: FnO Portfolio - II
Long 75PE DEC @ 184*30*50 = Cash target to recover: 280;
Long NF Aug @7570 *15*50; M2M = +170k;
Adjustments:
--------------
*75PE Aug Gain 15k;
*Covered 79CE Aug @112 (65) 100u; Gain: 4.5;
*Covered 78CE Aug @133 (105) 100u; Gain 3k;
*Covered 78CE Aug @146 (105) 100u; Gain 4k;
*Covered 78CE Aug @139 (105) 100u; Gain 3.5k;
*BUY 77 PE JULY @10 200u; PAID 2k; (OPEN);
Total 600u Sold
SOLD 76CE Aug @197 (257) 50u: Collected 9k;
SOLD 77CE Aug @148 (182) 50u: Collected 7.4k;
SOLD 78CE Sep @ 182 (193) 100u: Collected 18k
SOLD Sep 78CE @174 (193) 300u; Collected 52k;
SOLD Sep 79CE @126 100u; Collected: 12.5k;
(logic for conversion: Sept gives lower Theta than Aug, but more pts will be gained if Spot falls another 200 pts).
Long 75PE DEC @ 184*30*50 = Cash target to recover: 280;
Long NF Aug @7570 *15*50; M2M = +170k;
Adjustments:
--------------
*75PE Aug Gain 15k;
*Covered 79CE Aug @112 (65) 100u; Gain: 4.5;
*Covered 78CE Aug @133 (105) 100u; Gain 3k;
*Covered 78CE Aug @146 (105) 100u; Gain 4k;
*Covered 78CE Aug @139 (105) 100u; Gain 3.5k;
*BUY 77 PE JULY @10 200u; PAID 2k; (OPEN);
Total 600u Sold
SOLD 76CE Aug @197 (257) 50u: Collected 9k;
SOLD 77CE Aug @148 (182) 50u: Collected 7.4k;
SOLD 78CE Sep @ 182 (193) 100u: Collected 18k
SOLD Sep 78CE @174 (193) 300u; Collected 52k;
SOLD Sep 79CE @126 100u; Collected: 12.5k;
(logic for conversion: Sept gives lower Theta than Aug, but more pts will be gained if Spot falls another 200 pts).
Last edited:
Re: FnO Portfolio - II
Long 75PE DEC @ 184*30*50 = Cash target to recover: 280;
Long NF Aug @7570 *15*50; (It'd be wise to sell NFs near 78+)
M2M = +50k;
Adjustments:
Covered Transactions:
-------------------------------
*75PE Aug Gain 15k;
*Covered 79CE Aug @112 (65) 100u; Gain: 4.5;
*Covered 78CE Aug @133 (105) 100u; Gain 3k;
*Covered 78CE Aug @146 (105) 100u; Gain 4k;
*Covered 78CE Aug @139 (105) 100u; Gain 3.5k;
*BUY 77 PE JULY @10 200u; Lost 2k;
*Covered 78CE Sep @182 @125 100u: Gain 5.5k;
*Covered 78CE Sep @174 @125 100u; Gain 5k;
*Covered Sep 79CE @126 @86 100u; Gain 4k;
*Covered 76CE Aug @197 @163 50u; Gain 3.5k;
*Covered 77CE Aug @148 @106 50u; Gain 2k;
-----------------------------
Total Gained: 48k
(To earn 5% monthly, target is of around 75k on each expiry)
Open Lots
Total PE 200u Sold
SOLD 200 76PE SEP@116;
Total CE 200u Sold
SOLD Sep 78CE @174 (193) 200u
-----------------------
Neutral Spread
-----------------------
I see 7700 as a median price, as long as 7400 is not convincingly broken, which will be an event in itself. Therefore, to make the best of time decay:
SOLD Aug 77CE 105 500u
SOLD Aug 77PE 119 500u
--------------------------
Collected: 110k
Have sold Aug, because the OTM will be very cheap in the last 15 days.
Long 75PE DEC @ 184*30*50 = Cash target to recover: 280;
Long NF Aug @7570 *15*50; (It'd be wise to sell NFs near 78+)
M2M = +50k;
Adjustments:
Covered Transactions:
-------------------------------
*75PE Aug Gain 15k;
*Covered 79CE Aug @112 (65) 100u; Gain: 4.5;
*Covered 78CE Aug @133 (105) 100u; Gain 3k;
*Covered 78CE Aug @146 (105) 100u; Gain 4k;
*Covered 78CE Aug @139 (105) 100u; Gain 3.5k;
*BUY 77 PE JULY @10 200u; Lost 2k;
*Covered 78CE Sep @182 @125 100u: Gain 5.5k;
*Covered 78CE Sep @174 @125 100u; Gain 5k;
*Covered Sep 79CE @126 @86 100u; Gain 4k;
*Covered 76CE Aug @197 @163 50u; Gain 3.5k;
*Covered 77CE Aug @148 @106 50u; Gain 2k;
-----------------------------
Total Gained: 48k
(To earn 5% monthly, target is of around 75k on each expiry)
Open Lots
Total PE 200u Sold
SOLD 200 76PE SEP@116;
Total CE 200u Sold
SOLD Sep 78CE @174 (193) 200u
-----------------------
Neutral Spread
-----------------------
I see 7700 as a median price, as long as 7400 is not convincingly broken, which will be an event in itself. Therefore, to make the best of time decay:
SOLD Aug 77CE 105 500u
SOLD Aug 77PE 119 500u
--------------------------
Collected: 110k
Have sold Aug, because the OTM will be very cheap in the last 15 days.
Last edited:
Re: NF Lot
Portfolio - 1
Aug 76PE 1500 Units
Aug 7750 NF 750 Units (paid additional 25K)
Total that I have paid is : 170*50*30=255k
Nf Rollover cost: 25k;
Gains: -55k
===========
Net liability: 225k
*Covered AUG 78CE @121 @65 100u; Gain 5500;
SOLD 200u 76PE Aug@ 75
<The only way, to recover from the mess, that comes to mind is to sell Puts in this down leg and if there is an upleg get out of NFs>
Portfolio - 1
Aug 76PE 1500 Units
Aug 7750 NF 750 Units (paid additional 25K)
Total that I have paid is : 170*50*30=255k
Nf Rollover cost: 25k;
Gains: -55k
===========
Net liability: 225k
*Covered AUG 78CE @121 @65 100u; Gain 5500;
SOLD 200u 76PE Aug@ 75
<The only way, to recover from the mess, that comes to mind is to sell Puts in this down leg and if there is an upleg get out of NFs>
Re: NF Lot
Portfolio - 1
Aug 76PE 1500 Units
Aug 7750 NF 750 Units (paid additional 25K)
Total that I have paid is : 170*50*30=255k
Nf Rollover cost: 25k;
Gains: -55k
===========
Net liability: 225k
*Covered AUG 78CE @121 @65 100u; Gain 5500;
SOLD 200u 76PE Aug@75
SOLD 200u 76PE Aug@110 * 200 = 22k
<The only way, to recover from the mess, that comes to mind is to sell Puts in this down leg and if there is an upleg get out of NFs>
Neutral Spread: (Expect to extract 50K in 15 days from this)
SOLD Aug 77CE 105 500u
SOLD Aug 77PE 119 500u
--------------------------
Collected: 110k
Portfolio - 1
Aug 76PE 1500 Units
Aug 7750 NF 750 Units (paid additional 25K)
Total that I have paid is : 170*50*30=255k
Nf Rollover cost: 25k;
Gains: -55k
===========
Net liability: 225k
*Covered AUG 78CE @121 @65 100u; Gain 5500;
SOLD 200u 76PE Aug@75
SOLD 200u 76PE Aug@110 * 200 = 22k
<The only way, to recover from the mess, that comes to mind is to sell Puts in this down leg and if there is an upleg get out of NFs>
Neutral Spread: (Expect to extract 50K in 15 days from this)
SOLD Aug 77CE 105 500u
SOLD Aug 77PE 119 500u
--------------------------
Collected: 110k
Last edited:
Re: FnO Portfolio - II
Long 75PE DEC @ 184*30*50 = Cash target to recover: 280;
Long NF Aug @7570 *15*50; (It'd be wise to sell NFs near 78+)
M2M = +50k;
Adjustments:
Covered Transactions:
-------------------------------
Total Gained: 48k (To earn 5% monthly, target is of around 75k on each expiry)
Covered Sep 78CE @174 @104 = 70*200=14k;
Open Lots
SOLD 200 76PE SEP@116;
SOLD 50 76PE SEP@130;
-----------------------
Neutral Spread
-----------------------
I see 7700 as a median price, as long as 7400 is not convincingly broken, which will be an event in itself. Therefore, to make the best of time decay:
SOLD Aug 77CE 105 500u
SOLD Aug 77PE 119 500u
--------------------------
Collected: 110k
Have sold Aug, because the OTM will be very cheap in the last 15 days.
PS: It makes sense to always have a current month sold strangle to absorb theta-damage.
Long 75PE DEC @ 184*30*50 = Cash target to recover: 280;
Long NF Aug @7570 *15*50; (It'd be wise to sell NFs near 78+)
M2M = +50k;
Adjustments:
Covered Transactions:
-------------------------------
Total Gained: 48k (To earn 5% monthly, target is of around 75k on each expiry)
Covered Sep 78CE @174 @104 = 70*200=14k;
Open Lots
SOLD 200 76PE SEP@116;
SOLD 50 76PE SEP@130;
-----------------------
Neutral Spread
-----------------------
I see 7700 as a median price, as long as 7400 is not convincingly broken, which will be an event in itself. Therefore, to make the best of time decay:
SOLD Aug 77CE 105 500u
SOLD Aug 77PE 119 500u
--------------------------
Collected: 110k
Have sold Aug, because the OTM will be very cheap in the last 15 days.
PS: It makes sense to always have a current month sold strangle to absorb theta-damage.
Last edited:
Re: FnO Portfolio - II
Adjustments:
Covered Transactions:
-------------------------------
Total Gained: 77k
Covered 50 76PE SEP@130 @ 100 = 1500;
Open Lots
Initial: (15-2) lots NF and 30 lots 75PE DEC.
SOLD 200 76PE SEP@116;
SOLD 100 78CE SEP@150;
SOLD 100 79CE OCT@170;
-----------------------
Neutral Spread
-----------------------
Aug premiums will start falling fast in 2nd week. By that time if there are any sharp moves, then I will use them to square off one leg at sub-20 prices.
SOLD Aug 77CE 105 500u
SOLD Aug 77PE 119 500u
--------------------------
Collected: 110k
Have sold Aug, because the OTM will be very cheap in the last 15 days.
PS: It makes sense to always have a current month sold strangle to absorb theta-damage.
Adjustments:
Covered Transactions:
-------------------------------
Total Gained: 77k
Covered 50 76PE SEP@130 @ 100 = 1500;
Open Lots
Initial: (15-2) lots NF and 30 lots 75PE DEC.
SOLD 200 76PE SEP@116;
SOLD 100 78CE SEP@150;
SOLD 100 79CE OCT@170;
-----------------------
Neutral Spread
-----------------------
Aug premiums will start falling fast in 2nd week. By that time if there are any sharp moves, then I will use them to square off one leg at sub-20 prices.
SOLD Aug 77CE 105 500u
SOLD Aug 77PE 119 500u
--------------------------
Collected: 110k
Have sold Aug, because the OTM will be very cheap in the last 15 days.
PS: It makes sense to always have a current month sold strangle to absorb theta-damage.
Last edited:
Similar threads
-
How do you follow risk management strategy?
- Started by ReggieFx
- Replies: 1
-
-
-
Pair Trading - Exploring The Low Risk Statistical Arbitrage Trading Concepts
- Started by ncube
- Replies: 472
-