Banknifty Weekly Zero Cost Collar Strategy

#1
Hi Friends,

My new experiment for 30th march Expiry in my real trading account.
Banknifty Spot @ 21091

Buy Banknifty MAR Future
Sell 30th MAR 21200 CE @ 108
Buy 30th MAR 21200 PE @ 155

So, at 30 MAR expiry my profit will be around +62 points. Id doesn't matter where the banknifty is trading



One thing to note here is I calculated this profit based on Spot banknifty pricing. Because BankNifty Future is not going to be equal to Spot BankNifty in one week. It may be equal in current week because of monthly expiry. So, we can long APR future for this week.


Total Margin Used : 60K


What do you say?
 

travi

Well-Known Member
#3
This is a good strategy bcos of Put-Call parity.

Ideally you'd want to enter with more days into expiry.

I'm not sure whether 62 pts is before or after overheads but generally if traded around five days to expiry you'll get loss with overheads.

Try calculating for 20-40 days and you'll get a good return.

Two very imp things to note here:
1. Flipping the positions will not work (put-call parity), so don't short future and reverse the options

2. Take the loss in futures premium into account.

generally, ppl will think,
Futures also loose premium over time so why not short, but that is why calls will always be more expensive than puts for same IV, underlying and strike.

Its a good strategy, but not bulletproof. However, its secure from changes in volatility as well underlying.
It makes money from Theta and looses money from the Futures premium which shrinks as expiry nears.
 
#4
This is a good strategy bcos of Put-Call parity.

Ideally you'd want to enter with more days into expiry.

I'm not sure whether 62 pts is before or after overheads but generally if traded around five days to expiry you'll get loss with overheads.

Try calculating for 20-40 days and you'll get a good return.

Two very imp things to note here:
1. Flipping the positions will not work (put-call parity), so don't short future and reverse the options

2. Take the loss in futures premium into account.

generally, ppl will think,
Futures also loose premium over time so why not short, but that is why calls will always be more expensive than puts for same IV, underlying and strike.

Its a good strategy, but not bulletproof. However, its secure from changes in volatility as well underlying.
It makes money from Theta and looses money from the Futures premium which shrinks as expiry nears.
Thanks,

Yes, I also calculated the Profit/loss by shorting the future but it always shows a loss of 40 points.

I also tried to calculate P/L for next month expiry but it returned the same result which is around 100 points only. That's why I think to test it for this week first.

I know this week future premium will come near to Spot and that will give some points of loss. But let's test it for this week also..:thumb::thumb:
 
#7
Hi Friends,

My new experiment for 30th march Expiry in my real trading account.
Banknifty Spot @ 21091

Buy Banknifty MAR Future
Sell 30th MAR 21200 CE @ 108
Buy 30th MAR 21200 PE @ 155

So, at 30 MAR expiry my profit will be around +62 points. Id doesn't matter where the banknifty is trading



One thing to note here is I calculated this profit based on Spot banknifty pricing. Because BankNifty Future is not going to be equal to Spot BankNifty in one week. It may be equal in current week because of monthly expiry. So, we can long APR future for this week.


Total Margin Used : 60K


What do you say?
Sir I am new to options can u please explain the calculation please

Sent from my Lenovo A2010-a using Tapatalk
 
#8
This is a good strategy bcos of Put-Call parity.

Ideally you'd want to enter with more days into expiry.

I'm not sure whether 62 pts is before or after overheads but generally if traded around five days to expiry you'll get loss with overheads.

Try calculating for 20-40 days and you'll get a good return.

Two very imp things to note here:
1. Flipping the positions will not work (put-call parity), so don't short future and reverse the options

2. Take the loss in futures premium into account.

generally, ppl will think,
Futures also loose premium over time so why not short, but that is why calls will always be more expensive than puts for same IV, underlying and strike.

Its a good strategy, but not bulletproof. However, its secure from changes in volatility as well underlying.
It makes money from Theta and looses money from the Futures premium which shrinks as expiry nears.
Hi Ravi

Why don't you start a thread with a simple workable strategy (all weather:)) for trading options. :thumb:

Edit: Although we know why you don't trade them for now.

Happy :)
 

pannet1

Well-Known Member
#10
Hi Ravi

Why don't you start a thread with a simple workable strategy (all weather:)) for trading options. :thumb:

Edit: Although we know why you don't trade them for now.

Happy :)
travi IMHO is the most active and knowledgeable (wo)man in a wide range of trading related subjects. I think if (s)he starts a thread (s)he will be married to it. May be (s)he thinks this way (s)he is more useful. :D
 

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