Nifty iron condor options strategy for feb 2010

V

vinpiper

New Member
#1
#1
Hi Friends,

No Buy/Sell/Hold recommendations. This example is for study and constructive comments so that we can enhance our knowledge.

As per my understanding:

1) Buy Call - We Profit when stock/index goes up
2) Sell Call - We profit when stock/index goes down

3) Buy Put - We profit when stock/index goes down
4) Sell Put - We profit when stock/index goes up.


I have worked out an example for Nifty Iron Condor
Today (9-Feb-2010) closed at 4792

Buy 1 5200 Feb 25th Call at Rs -740.00
Sell 1 5100 Feb 25th Call at Rs +1500.00

Sell 1 4500 Feb 25th Put at Rs +2645.00
Buy 1 4400 Feb 25th Put at Rs -1545.00
============
Net Credit Received Rs +1860.00
============

I expect Nifty to stay within the range of 4500 to 5100 for Feb which will allow us to keep the full premium and give us a max profit of Rs 1860.00

Here is some further Analysis

Max Reward = Credit Revcd = 1860

Max Risk = (Difference between long and short strike price) X 100 - Net Credit
= (5200-5100) * 100 - 1860
= 10,000 - 1860 = 8140

Downside breakeven = Short put strike price - net credit
= 4500 - 1860 = 2640

Upside breakeven = Short call strike price + net credit
= 5100 + 1860 = 6860


Range of profit = Nifty between 2640 and 6860



Return on Risk = (Max Reward / Max Risk) X 100
= (1860 / 8140) * 100
= 23%


Based on the Range of profit, The probability of this trade being in the profit is 99% :clap:

Comments welcome.

Note: This is a paper trade at the moment. I am studying option strategies that provide a monthly return with a safety net.

Regards,
Vinpiper
 
A

anuragmunjal

Well-Known Member
#2
#2
hi
some error in ur calculations it seems.

"Downside breakeven = Short put strike price - net credit
= 4500 - 1860 = 2640"

ur downside breakeven wd b 4481.4


"Upside breakeven = Short call strike price + net credit
= 5100 + 1860 = 6860"

ur upside breakeven wd b 5118.6


"Range of profit = Nifty between 2640 and 6860"

range of profit= Nifty bet. 4481.4 and 5118.6
 
V

vinpiper

New Member
#3
#3
You are correct Anurag,

range of profit= Nifty bet. 4481.4 and 5118.6

as

Downside breakeven = Short put strike price - net credit
= 4500 - 18.60
= 4481.40

Upside breakeven = Short call strike price + net credit
= 5100 + 18.60
= 5118.6

Thanks for correcting me.

Regards,
Vinpiper
 
R

rkkarnani

Well-Known Member
#5
#5
9th Feb 2010 Option Prices for Nifty Futures:

Code: 
OPTIDX	NIFTY	25-Feb-10	4100	CE	714	714	714	714	714	1	2.4	100	50	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4200	CE	545	601.75	545	601.75	601.75	10	23.91	2400	500	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4300	CE	450	524	450	491.5	491.5	315	754.71	222600	-3700	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4400	CE	358.5	425	358.5	405	405	59	141.65	14200	-350	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4500	CE	276	335	272.45	316.55	316.55	548	1318.09	166250	800	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4600	CE	203	252	192	235.6	235.6	6236	15064.53	824950	-124950	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4700	CE	139.95	177.9	127.5	159.65	159.65	65011	157790.75	2106950	-83700	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4800	CE	85.1	115.7	80.1	101.35	101.35	240926	590123.15	3948900	498200	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4900	CE	50	67.7	44.6	58.9	58.9	202777	502661.05	5347100	-39200	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5000	CE	26.6	36	23.05	31.45	31.45	130876	329178.31	5592900	-340050	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5100	CE	12.95	17.75	11.5	15.7	15.7	68085	174124.59	4276000	29950	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5200	CE	5.9	8.3	5.4	7.45	7.45	33973	88449.77	4379600	-109500	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5300	CE	3.95	4.7	3.15	4.25	4.25	12460	33044.25	3732700	67650	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5400	CE	2	2.65	1.85	2.45	2.45	4659	12584.74	1811650	-1950	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5500	CE	1.6	1.95	1.5	1.9	1.9	2809	7727.23	1589500	-23250	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5600	CE	1.4	1.65	1.3	1.6	1.6	1120	3136.86	534350	-1700	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5700	CE	1.15	1.5	1.15	1.3	1.3	687	1958.37	658400	-5400	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5800	CE	0.7	0.95	0.7	0.85	0.85	108	313.24	199150	900	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5900	CE	0.5	0.8	0.5	0.8	0.8	2346	6921.59	181500	-10400	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4100	PE	4	5.45	3.5	3.7	3.7	3917	8038.31	237850	47150	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4200	PE	8.5	9.9	5.6	6.05	6.05	7942	16705.81	932200	42400	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4300	PE	13.8	14.2	8.6	9.45	9.45	17694	38135.81	2501450	2500	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4400	PE	19.1	24	14.25	15.35	15.35	38917	85957.33	2957350	180950	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4500	PE	38.8	51.8	24.8	26.25	26.25	68213	154494.21	4160600	228450	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4600	PE	56	62.85	40.3	42.65	42.65	122417	284503.63	5452200	508450	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4700	PE	87	96.95	63	67.65	67.65	237788	567768.72	5871000	487750	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4800	PE	130.3	145.8	100.1	108.15	108.15	123900	304502.96	5527850	526050	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	4900	PE	199.85	210.1	150	163.7	163.7	20646	52322.59	2824700	8550	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5000	PE	271.95	286	218.15	235.65	235.65	4150	10888.58	2655000	-51050	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5100	PE	358.45	371.95	300	317.6	317.6	896	2431.91	1276400	-14250	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5200	PE	460.95	464.9	392	411.05	411.05	278	781.34	657900	-4500	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5300	PE	555	558.9	488	507.8	507.8	304	885.07	294500	-2250	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5400	PE	641.65	645	589.55	603.2	603.2	127	381.95	63400	-400	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5500	PE	744	744	683.05	705.65	705.65	132	409.63	76850	-2400	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5600	PE	784	814.15	784	814.15	814.15	132	421.61	52700	-6600	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5700	PE	935	935	880.45	892.8	892.8	154	507.89	78500	-5050	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5800	PE	1012.65	1031.15	982	995	995	39	132.72	45500	400	9-Feb-10
OPTIDX	NIFTY	25-Feb-10	5900	PE	1100	1100	1100	1100	1100	4	14	17100	-150	9-Feb-10
 
T

trader.trends

Well-Known Member
#6
#6
rkkarnani said:
At first glance there seems to be some "error" in the Rates mentioned here for various Calls and Puts!!!

Buy 1 5200 Feb 25th Call at Rs -740.00
Sell 1 5100 Feb 25th Call at Rs +1500.00

Sell 1 4500 Feb 25th Put at Rs +2645.00
Buy 1 4400 Feb 25th Put at Rs -1545.00
============
Net Credit Received Rs +1860.00
============
If you Buy a February NF 5200 Call at 740.00 there is no way you can Sell a 5100 Call at 1500.00!!! For a Rs.100.00 difference a Price difference of Rs.760.00 in Call and Rs.1100.00 in Put!!!!
There has to be an error...Please check and kindly Post again!!!
Click to expand...
RKK
The rates are correct
As of close on 9 Feb
5100CE 15.70
5200CE 7.45
4500PE 26.25
4400PE 15.30

With the market being bearish, the puts are more expensive than the calls. The market today closed at 4750 levels. Calls 150 points away 4900Ce @ 45 and puts 150 points away 4600 @ 53. Difference of 9/-.
 
R

rkkarnani

Well-Known Member
#7
#7
trader.trends said:
RKK
The rates are correct
As of close on 9 Feb
5100CE 15.70
5200CE 7.45
4500PE 26.25
4400PE 15.30

With the market being bearish, the puts are more expensive than the calls. The market today closed at 4750 levels. Calls 150 points away 4900Ce @ 45 and puts 150 points away 4600 @ 53. Difference of 9/-.
Click to expand...
Okay, the error was jumping to hasty conclusion!!! :D Was confused reading the figures 740 and 1500!!!
My apologies to vinpiper!!!!
 
R

rkkarnani

Well-Known Member
#10
#10
Well another hasty post!!! Now when I saw other posts it seems the error was duly pointed out and acknowledged!!!
Sorry for the unneccessary posts!!!! Have deleted them!!!!
 
Last edited:
You must log in or register to reply here.
Thread starter Similar threads Forum Replies Date
S EOD data for Nifty 50 with volume Introductions 0
V Banknifty expiry date change Options 7
kthakker0 Bank Nifty - Support / Resistance Options 13
jamit_05 Iron Butterfly -Nifty Options 10
R iron condor nifty Options 9

Similar threads