Option strategy quarterly

[doonyadav]

Hi there,
I have a question. ..
Suppose market is right now @10150
So your positions will be like this:-
10500 put long
And 9900 pe,10000pe and 10100pe will b short...and if market falls then due to rise in vix and 1 put buy and 3put sell u r delta may b above 1 means positive delta..u may experience lose..correct me if I.m wrong....

You are right Arpit
That's why we have to make adjustments.

 

[doonyadav]

My lazyness paid again. didn't short 10000 pe today also.
Positions on 03.08.2017 :-
Sep 10000 Pe Long 130 today closed 136.15
Aug 9900 pe Short 62 Today closed 65

 

[doonyadav]

How about this :
Buy Nifty dec 10200 ce = 312.55 (1Lot)
Sell Nifty dec 10500 ce = 122.85 (2Lot)

Rationals behind this strategy
1. 10200ce has intristic value approx 255 (Dec Fut is 10455) which is hedged by premium received 245.70 by selling 10500ce.

Risk Management:
1. If nifty crosses 10500 buy back 1 lot 10500 ce shorted.
2. If nifty falls below 10200 exit 10200 ce buy.
3. Sideways - sit relaxed.

 

[Subhadip]

How about this :
Buy Nifty dec 10200 ce = 312.55 (1Lot)
Sell Nifty dec 10500 ce = 122.85 (2Lot)

Rationals behind this strategy
1. 10200ce has intristic value approx 255 (Dec Fut is 10455) which is hedged by premium received 245.70 by selling 10500ce.

Risk Management:
1. If nifty crosses 10500 buy back 1 lot 10500 ce shorted.
2. If nifty falls below 10200 exit 10200 ce buy.
3. Sideways - sit relaxed.

very risky......in bull market ur trading this strategy..strange....