Banknifty Weekly Strategy

#1
Hi Friends,

This strategy is for banknifty weekly options. Hold it till expiry.

1. Buy 1 Lot future
2. Sell 2 Lot ATM Call

Using this strategy we will be in profit between 19700 - 20300

And banknifty got 600 points wide range to move.
Our max profit will be 368 points in one week.
Check all profits here: http://prntscr.com/e9c9ux

I know this srategy can give unlimited loss if market open more than 300 point away. For this we can hedge our strategy by buying current/next month Call & put of our breakeven strike price.
 
#2
I modified this strategy from weekly to monthly. And now its completly hedged without a single point of loss. And we can close our complete Trade anytime in profit.

#Never Close losing position. Book profitable position and create a hedge for the losing one and wait for the market reverse.#

What I have done is:

Buy Future
Sell 2 ATM Call Current month
Buy current week Call & Put at breakeven (See attachment)

So, as per my sheet:
Bought Banknifty March Future @ 20863
Sold 20800 Call @ 426 x 2

My upper Breakeven: 21500
My Lower Breakeven : 20100

So, I bought 2nd march expiry
21300 Call @ 22
20300 Put @ 18

These prices are from today closing.



Now let's calculate pofit/loss

We will still make good if there is a big gap opening of around 500- 700 points.
OR market goes above/below 1000 points we will make at least 250 points in every condition.

Market conditions each week:

1. Banknifty is range bound:
If market remain rangebound for this week then we will only loss premium paid for current week expiry but will make more from 2 call sold.
At the end of current week expiry we will buy net week Call & Put at our breakeven points. this will not cost you more than 40 points for both.

2. Banknifty is at our lower Breakeven
Our current week Put will make money for us + 2 Call Sold will be in a great profit.
Close all these 3 positions and now sell another 2 current Month ATM Calls. And Calculate your breakeven. At breakeven buy next week Call & Put.

3. Banknifty is at our Upper Breakeven
Banknifty Future + Current Week Call will make more for us
Exit Banknfity and Current week Call.

And buy next week 2 ATM Call. and wait for the market to reverse.

=========================

We are giving 1000 points space for banknifty movement. Let it move...
 

travi

Well-Known Member
#7
These are intrensic values at expiry for call sell, call buy, put buy resp.
Oh good.
I was thinking implied volatility change but the math didn't add up.

Now your excel sheet takes into a/c change in strike but how do you address change in volatility?
 
#9
Hi suryaammeet sir much impressed by your strategy.going to give a try without paper trading. Will get back after a week
Thanks Sundrams,

There may be some drawbacks of this strategy. So, I would like to suggest you to do some paper trading over this. I am also doing the same.

The best way to do paper trading is NSE Pathsaala..Best for testing any strategy like a real trading account. :clapping:
 
#10
Good think,

But option selling 20800 at 426 is how to 0 or only instructive value at week end. It have some time value.

Example this week end Banknifty spot close-21300.

20800 ce minimum=670,(-244*2=-488 point)
Future= +437 Points
Buy call and put= -40 Points

Totally loose around 90 Points.

The IV calculated for 20800 calls is 7. This is very very low. It increase, loose more points.

Please find out my point, I hope you will improve the strategy. I will follow your strategy after improve.

Thank you
 
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