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| Discuss Delta Neutral Strategy (Long Nifty @ Long Puts) at the Derivatives within the Traderji.com - Discussion forum for Stocks Commodities & Forex; Hi Wastej: Sorry have not been able to log on to the net due to ... |
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#111
15th September 2005, 01:38 PM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Hi Wastej:
Sorry have not been able to log on to the net due to bad connection. I am getting a better idea about the whole concept of "delta neutral" strategy and thanks to you. Here are the valuations as of close yesterday (14th September) Closed out profits on Futures = 67200 Valuations of open positions: 1) 2000 long puts (sp2340) = (4.5-46)x2000 = -83000 - loss 2) 200 short calls (sp2480) = (21.55-35.35)x200 = -2760 - loss 3) 400 short puts (sp2350) = (12.5-5.35)x400 = 2860 - profit 4) 1000 short puts(sp2400) = (11.50-10.46)x1000 = 1050 - profit 5) 200 long futures@2455 = (2483-2455)x200 = 5600 - profit Total p/l = (67200+2860+1050+5600-83000-2760) = -9050 (loss) Open positions: 1) 2000 long puts (sp2340) 2) 200 short calls (sp2480) 3) 400 short puts (sp2350) 4) 1000 short puts(sp2400) 5) 200 long futures@2455 Regards Nautilus 
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#112
15th September 2005, 07:40 PM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Hi Wastej:
Here are the valuations for today: Closed out profits on futures = 67200 Open positions valuation: 1) Long puts (sp2340) = (4.5-46)x2000 = 83000 (loss) 2) Short calls(sp2480) = (53.60-21.55)x200 = 6410 (loss) 3) short puts(sp2350) = (12.5-4.15)x400 = 3340 (profit) 4) short puts(sp2400) = (11.5-6.55)x1000 = 4950 (profit) 5) Long futures = (2516.15-2455)x200 = 12630 (profit) Total p/l = (67200+3340+4950+12630-83000-6410) = (1290) Loss Open positions: 1) 2000 Long puts (sp2340) @46 2) 200 Short calls(sp2480) @21.55 3) 400 short puts(sp2350) @12.5 4) 1000 short puts(sp2400) @11.50 5) 200 Long futures @ 2455 Regards Nautilus
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#113
15th September 2005, 08:45 PM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Hi Nautilus,
It seems the Nifty is surprising us every day, making bulls feel very happy and on top of this world. In our trade, if we had not bought back the 200 Long futures at 2455, we would have suffered much deeper losses. Though at the time we took this action, it seemed that we are extra protective, especially with your bias. This is the reason; we try not to assume risk, as we can never predict what market will do. Now that market has moved north again and the put premiums will dry up in the options specially getting close to the expiry date, therefore we have to take a decision to sell some thing fast against our 600 puts (Uncommitted) of SP2340. I will be aggressive in my approach, which normally I don't do that, in order to steer the trade from here towards breakeven or even profits. Let us sell 300 put options for strike price 2480. Once the order is executed you have to place a stop loss order also. The stop loss order is going to be equivalent to the premium we collect when we sell Put options for SP2480. The remaining uncommitted 300 puts we will hold for few more days and see how market reacts. As a rule, I like to start the question answer session only after the trade is completed, but for you and Harish this rule is completely relaxed. I encourage to both of you to ask questions pertaining not only to your trade, but also to each other’s trade. The whole purpose of starting this thread was to make you guys understand as how to implement delta neutral strategy. Regards, Wastej
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#114
15th September 2005, 08:49 PM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Quote:
Trade 2380 (i.e Trade where we Sold Nifty call option SP 2380 on 12th Sep. ) No Trade Today : To Day's prices (Name : open - high - low - LTP ) Nifty Fut : 2490.00 - 2519.25 - 2485.00 - 2516.15 Nifty Put SP 2340 : No Trade (prev. close 4.50) Nifty Put SP 2350 : 6.20 - 6.20 - 4.05 - 4.15 Nifty Put SP 2360 : 5.00 - 5.00 - 3.10 - 3.10 Nifty Put SP 2380 : 7.00 - 7.10 - 3.15 - 3.35 Nifty Call SP 2380 : 120.00 - 137.80 - 120.00 - 136.90 Nifty Call SP 2460: 54.00 - 69.50 - 52.50 - 68.15 Profit / Loss calc. Long Nifty Fut Closed out profit of 32000.00 Plus open profit 400 * (2516.15 - 2347) = 67660.00 Total Profit (closed) 32000.00 + (open) 67660.00 = 99660.00 Long Nifty Put SP 2340 2000 * (4.50 - 46.00) = (Loss) 83000.00 Short Nifty Put SP 2350 200 * (6.50 - 4.15) = 470.00 Short Nifty Put SP 2360 200 * (26 - 3.10) = 4580.00 Short Nifty Put SP 2380 300 * (21 - 3.35) = 5295.00 Short Nifty call SP 2380 200 * (104 - 136.90) = (Loss) 6580.00 Short Nifty call SP 2460 200 * (29 - 68.15) = (Loss) 7830.00 Total Profit = 99660.00 - 83000.00 + 470.00 + 4580.00 + 5295.00 - 6580.00 - 7830.00 = 12595.00 Open Positions : Long Nifty Future : 400 Long Put SP 2340 : 2000 Short Put SP 2350 : 200 Short Put SP 2360 : 200 Short Put SP 2380 : 300 Short Call SP 2380: 200 Short Call sp 2460: 200 Paid / Collected Primium in options Long Put SP 2340 : 2000@ 46 : - 92000 Short Put SP 2350 : 200 @ 6.50: + 1300 Short Put SP 2360 : 200 @ 26 : + 5200 Short Put SP 2380 : 300 @ 21 : + 6300 Short Call SP 2380 : 200 @104 : + 20800 Short Call sp 2460 : 200 @29 : + 5800 Total : - 52600 Thanks & Regards Harish Chheda
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#115
15th September 2005, 08:59 PM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Hi WasteJ ,
Trade 2480 (i.e Trade where we Sold Nifty call option SP 2480 on 12th Sep. ) No Trade Today. To Day's prices (Name : open - high - low - LTP ) Nifty Fut : 2490.00 - 2519.25 - 2485.00 - 2516.15 Nifty Put SP 2340 : No Trade (prev. close 4.50) Nifty Put SP 2350 : 6.20 - 6.20 - 4.05 - 4.15 Nifty Put SP 2360 : 5.00 - 5.00 - 3.10 - 3.10 Nifty Put SP 2380 : 7.00 - 7.10 - 3.15 - 3.35 Nifty Call SP 2480 : 37.35 - 55.00 - 36.00 - 53.60 Nifty Call SP 2460: 54.00 - 69.50 - 52.50 - 68.15 Profit / Loss calc. Long Nifty Fut Closed out profit of 32000.00 Plus open profit 400 * (2516.15 - 2347) = 67660.00 Total Profit (closed) 32000.00 + (open) 67660.00 = 99660.00 Long Nifty Put SP 2340 2000 * (4.50 - 46.00) = (Loss) 83000.00 Short Nifty Put SP 2350 200 * (6.50 - 4.15) = 470.00 Short Nifty Put SP 2360 200 * (26 - 3.10) = 4580.00 Short Nifty Put SP 2380 300 * (21 - 3.35) = 5295.00 Short Nifty call SP 2480 200 * (33.85 - 53.60) = (Loss) 3950.00 Short Nifty call SP 2460 200 * (29 - 68.15) = (Loss) 7830.00 Total Profit = 99660.00 - 83000.00 + 470.00 + 4580.00 + 5295.00 - 3950.00 - 7830.00 = 15225.00 Open Positions : Long Nifty Future : 400 Long Put SP 2340 : 2000 Short Put SP 2350 : 200 Short Put SP 2360 : 200 Short Put SP 2380 : 300 Short Call SP 2480: 200 Short Call sp 2460: 200 Paid / Collected Primium in options Long Put SP 2340 : 2000 @ 46 : - 92000 Short Put SP 2350 : 200 @ 6.50 : + 1300 Short Put SP 2360 : 200 @ 26 : + 5200 Short Put SP 2380 : 300 @ 21 : + 6300 Short Call SP 2480: 200 @ 33.85 : + 6770 Short Call sp 2460: 200 @ 29 : + 5800 Total : - 66630 Thanks & Regards Harish Chheda
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#116
15th September 2005, 09:01 PM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Hi Harish Chheda,
What would you like from here, DOUBLE OR NOTHING? Wastej
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#117
15th September 2005, 09:15 PM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Quote:
Will watch with great interest. Nautilus
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#118
16th September 2005, 09:19 AM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Hi Harish and Natilus,
For a great learning, I would like both of you to do one small exercise and post it here, please. Figure out the trade position in terms of profit and loss assuming options expired today. This exercise may be difficult one, I don't know, you will find out. I encourage all the readers to do this exercise also, of their own, and they are welcome to post it here too, if they so desire. It is very essential to do this exercise, without which no one can tell where the trade will lead you. If you know in advance where the trade will lead you, than you can take corrective steps now, while the time is still in hand. Good Luck, Wastej
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#119
16th September 2005, 10:30 AM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Quote:
Definately Double Thanks & Regards Harish Chheda
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#120
16th September 2005, 10:37 AM
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Re: Delta Neutral Strategy (Long Nifty @ Long Puts)
Hi Harish,
Please keep selling puts on every dip, as explained to you earlier. Regards, Wastej
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