Delta Neutral Strategy (Long Nifty @ Long Puts)

nautilus · #81 10th September 2005, 06:27 PM

Quote:

Originally Posted by joy_mitali

HI NAUTILUS,
the file for u--
Regards,
joy_mitali

Hi Joy:

Once again many thanks. Now for the good news Viratech people have informed me that they will be able to install Metastock with a database to support it by begining of next week.

I will let you know as soon as I get the data.

Thanks once again.

Regards

Nautilus

nautilus · #82 10th September 2005, 06:33 PM

Quote:

Originally Posted by wastej@cinci.rr.com

Hi Nautilus,

It seems due to not providing clear instructions; we are ended with an open call position, which is very risky. It is short 200 Calls (2 Contracts) SP2480. We should have not sold 200 Nifty futures at 2450. Anyhow mistake has been made and now it is time to correct it. Therefore, please buy 200 Nifty futures as soon as market opens and settles. Usually it takes about an hour for market to settle down. Your attempt should be to buy at the lowest possible price; in any case you should not go above 2450.

What is going on with position of Short 1000 put options SP2330, if you feel it was not executed, then please try to sell it now. You must get at least 10 rupees as premium per put option. If the premium is not there then we will wait and see how the trade develops.

In the mean while, should you have any question, please do not hesitate to contact me.

Thank you,

Regards,

Wastej

Hi Wastej:

Once again thanks for pointing out the errors. I will take the following actions on Monday:

1) Buy 200 Sep Nifty futures 2450 or better
2)Sell 1000 Sep Puts (sp 2330) at a premium of 10 or better

Please revert if anything needs doing.

Thanks.

Nautilus

nautilus · #83 10th September 2005, 07:01 PM

Hi Wastej:

Here are the Friday valuations.

Closed out profits on Long Sep Futures = Rs 67200

Open p/l on options Sep:
1) Long puts (sp 2340) = (9-46)x2000 = Rs - 74000
2) Short calls(sp 2480) = (21.40-21.55)x200 = Rs - 30
3) Short puts(sp 2350) = (12.70-12.50)x400 = Rs 80

Total P/l = 67000+80-74000-30 = Rs - 6750(loss)

Open positions:

No futures
2000 short puts (sp2340) @ 46
400 short puts (sp 2350) @ 12.50
200 short calls (sp 2480) @ 21.55

Nautilus

wastej@cinci.rr.com · #84 10th September 2005, 10:05 PM

Hi Nautilus,

You should have 2000 short puts (SP2340) @ 46.

Please correct your open positions.

Thank you,

Wastej

nautilus · #85 11th September 2005, 06:53 PM

Quote:

Originally Posted by wastej@cinci.rr.com

Hi Nautilus,

You should have 2000 short puts (SP2340) @ 46.

Please correct your open positions.

Thank you,

Wastej

Thanks for pointing out the error. Have corrected it. Learning much about options (slowly though!).

Regards

Nautilus

pras20054 · #86 12th September 2005, 04:15 PM

Good thread and education Wastej, Nifty trading one of my friends was telling me has a better risk -reward ratio than index scrips indiviual postions.

Pras20054

nautilus · #87 12th September 2005, 08:31 PM

Hi Wastej:

Here are the updates on new positions.

Long 200 Sep Futures @ 2455.00
Could not sell 1000 Sep puts(sp2330)

Here is the p/l summary:

Closed out profits on Sep futures = Rs 67200

Open position valuations:
Long 200 Sep Futures (2477-2455) = Rs 4420
2000 Long Sep puts (sp2340) @46 = Not traded today so no settlement price today. Based on friday (9th sep) close(Rs9) the open loss would be Rs(74000)

400 short puts (sp 2350) =(12.50-7.70)x400 = Rs(1920)
200 short calls (sp 2480) =(21.55-33.85)x200= loss (Rs 2460)

Total = (67200+4420+1920-74000-2460) = Rs (2920) Loss

Open positions:

Long 200 Sep Futures@ 2347
Long 2000 Sep puts (sp 2340) @ 46
Short 200 Sep calls (sp 2480) @ 21.55
Short 400 Sep puts (sp 2350) @ 12.50

No execution on 1000 Sep Puts(sp 2330) - not traded

Regards
Nautilus

wastej@cinci.rr.com · #88 12th September 2005, 10:07 PM

Hi Nautilus,

I think there is a mistake in calculating profit and loss of the trade.

1) You have to take in account the open position profit of 200 Nifty future contracts, which is 21600.00 (2455-2347=108x200=21600).

2) You should have profit instead of loss on your position of 400 short puts. You sold them at 12.50 and the current price is 7.70 (As per your posting) thus giving us profit and not loss.

3) You do not have profit from your short 200 Calls as you sold them at 21.55 and the current price is 33.85 (As per your posting). Thus giving us loss and not profit.

4) Please check your holdings also, there is a mistake there also, it seems it was typo error instead of puts you typed calls.

Please correct these mistakes and post the correct profit and Loss of the trade.

Regards,

Wastej

chheda · #89 12th September 2005, 10:13 PM

Quote:

Originally Posted by wastej@cinci.rr.com

Hi Harish,

You make me feel proud, you are indeed doing very good job, keeping the trade going on and posting in a manner that every one can understand, exactly what is going on.

No change in the trading plan, keep the plan as explained in yesterday's posting.

Thank you

Wastej

Hi WasteJ ,

Thanks for your complement

Trade Today :
Sold Nifty Call 200 SP 2380 At close Rs. 104.00
(As market was looking strong from morning so i sold Nifty Call at close rather then at Nifty Fut price 2468.00)

To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2453.00 - 2474.00 - 2452.15 - 2473.10
Nifty Put SP 2340 : No Trade (prev. close 9)
Nifty Put SP 2360 : 8.05 - 10.00 - 8.05 - 10.00
Nifty Put SP 2380 : 12.50 - 13.70 - 10.00 - 13.00
Nifty Call SP 2380 : 85.00 - 104.00 - 85.00 - 104.00
Nifty Call SP 2460: 35.00 - 45.00 - 33.50 - 45.00

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2473.10 - 2347) = 50440.00
Total Profit (closed) 32000.00 + (open) 50440.00 = 82440.00

Long Nifty Put SP 2340
2000 * (9 - 46) = (Loss) 74000.00

Short Nifty Put SP 2360
200 * (26 - 10) = 3200.00

Short Nifty Put SP 2380
300 * (21 - 13.00) = 2400.00

Short Nifty call SP 2380
200 * (104 - 104) = 0.00

Short Nifty call SP 2460
200 * (29 - 45.00) = (Loss) 3200.00

Total Profit = 82440.00 - 74000.00 + 3200.00 + 2400.00 + 0.00 - 3200.00 = 10840.00

Open Positions :
Long Nifty Future : 400
Long Put SP 2340 : 2000
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 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 : - 53900

Thanks & Regards ,

Harish Chheda

wastej@cinci.rr.com · #90 12th September 2005, 10:37 PM

Hi Harish,

You are getting even better than me.

I must admit mistake on my part. I meant 2480 and I typed 2380 in my last suggestion to you for the sale of 200 Nifty future Calls. Any way I wanted every one to know this fact, as this was the right way of handling the trade.

I still can steer the trade you executed, though it will make a difference of at least 5 to 8 thousand rupees of profit.

I will post the direction from here soon.

Keep coming back.

Regards,

Wastej

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