Option strategy quarterly

#11
Let's analyse this strategy with Greeks :

So Long far month ITM Put with short ATM ..current month Put.

Basically...
Long Delta
Short volatility
Neutral time value. ( Since long put will have +I've tv ..n short AtM out would have -ive TV)

What's the rational for ITM long ...u can easily have long Sep futures ..at least u will save on the time value lapse of ITM !

Correct me if I m wrong.

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Subhadip

Well-Known Member
#12
Let's analyse this strategy with Greeks :

So Long far month ITM Put with short ATM ..current month Put.

Basically...
Long Delta
Short volatility
Neutral time value. ( Since long put will have +I've tv ..n short AtM out would have -ive TV)

What's the rational for ITM long ...u can easily have long Sep futures ..at least u will save on the time value lapse of ITM !

Correct me if I m wrong.

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that was Long ITM PUT.....

How come long delta..it has to be short Delta...
 

doonyadav

Active Member
#13
Adjustment made : shorted 9900 Aug pe 1 lot at 94 booked 9900 jul pe at 20.
Effective cost of buy 10000 sep pe = 130( adjusted profit of 9900 pe = 45 and adding expences)

Open Position Sep 10000 pe Long = 130(Effective Price after adjustments in July 9500pe,9600pe,9700pe,9800pe,9900pe shorted at mentioned above)
Aug 9900 pe short = 94
 
Last edited:

doonyadav

Active Member
#15
Reason for adjustment
1. Jul series is near expiry - only 3 more days.
2. Have a training session on wednesday.
3. 9900 level crossed convincingly by nifty.
4. Jul month profit 1.54% (Notional -not in hand)
 

doonyadav

Active Member
#17
Thanks Subhadip
I will sell 1 lot of Aug 10000 pe after expiry if Nifty close above 10000.
According to my style i generally short the strike close above/below 3 consecutive days.
It works mostly. Is it ok or is there something better style i can follow?
Yes I have to learn the option greeks and how to apply them.
Thanks again for your concern!
 

doonyadav

Active Member
#18
Dear Subhadip
1. I want to buy Dec 10500 pe = 450
2. I want to short Dec 10000 pe = 230
3. will keep shorting (ATM-100) on every 3th close above ATM strike.

Please tell is it good strategy in present scenario? or suggest something better.
 

Sidz

Well-Known Member
#19
How about this?

buy Dec 10500 pe = 450
short Dec 10000 pe = 230
buy Sept 10400 ce = 58

keep shorting (ATM-100) on every 3rd close above ATM strike.
 

doonyadav

Active Member
#20
Dear Sidz
I am not comfortable buying 400 point OTM option. That's why i have mentioned :- 3. will keep shorting (ATM-100) on every 3th close above ATM strike.
 

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