Delta Neutral Strategy (Long Nifty @ Long Puts)

[SGM]

Hello,

2:10 PM

Trade Report (05/05/06, 02:10 PM)

1. Bot 1 lot NF at 3618.50

Orders Placed (05/05/06, 02:10 PM)

1. Order placed to Sell 1 lot NF at 3657.50
2. Order placed to Sell 1 lot NF at 3692.50

3. Order placed to buy 1 lot NF at 3593.50


Current Position: (05/05/06)
- 600 Long Nifty Futures (25th May, 2006) @ 3600
- 100 Long Nifty Futures (25th May, 2006) @ 3618.50
- 1600 Long Nifty SP3600 Puts (25th May, 2006) @ 81.00


Regards
Sanjay

 

[SGM]

Hello

Today the Market gave us 2 trades

1. Sold 1 lot NF at 3655
2. Bot back 1 lot of NF at 3618.50

Current Position (Day end 05/05/06)

- 600 Long Nifty Futures (25th May, 2006) @ 3600
- 100 Long Nifty Futures (25th May, 2006) @ 3618.50
- 1600 Long Nifty SP3600 Puts (25th May, 2006) @ 81.00

Realized Gains
Sold 100 NF @ 3600 at 3624.50 = Rs. 2,350 (net aftr brokerage)
Sold 100 NF @ 3600 at 3655.00 = Rs. 5,400 (net aftr brokerage)


Gain in Equity
600 Nifty Futures @ 3600 current 3651 = Rs. 30,600/-
100 Nifty Futures @ 3618.50 current 3651 = Rs. 3,250/-

Draw down in Equity
1600 Nifty SP3600 Puts (81 - 60) = Rs. – 33, 600/-

Notional Gain: Rs 8, 000/-

Good Day!

Regards
Sanjay

 

[SGM]

Hello

Tomorrows Trades will be on similar pattern

Market closed at NF 3651, our next orders will be as follows

1) Sell 100 NF at 3655 or above
2) Sell 100 NF at 3690

3) Buy 100 Nf at 3597.50
4) Sell 100 Nifty Puts SP 3600 at 90 or above (index about 3580-90)


Regards
Sanjay

 

[SGM]

Hello,

1. Sold 100 NF @ 3675

Mrkts opened gap up so we could sell at 3675 as our nxt tgt was abv 3655

Orders Placed

1. Buy 100 NF @ 3625
2. Sell 100 Nf @ 3695

Regards
Sanjay

 

[SGM]

Hello

Today the Market gave us 1 trade

1. Sold 1 lot NF at 3675

Current Position (Day end May 08, 2006)

- 600 Long Nifty Futures (25th May, 2006) @ 3600
- 1600 Long Nifty SP3600 Puts (25th May, 2006) @ 81.00

Realized Gains
Sold 100 NF @ 3600 at 3624.50 = Rs. 2,350 (net aftr brokerage)
Sold 100 NF @ 3600 at 3655.00 = Rs. 5,400 (net aftr brokerage)
Sold 100 NF @ 3618.50 at 3675.00 = Rs. 5,500 (net aftr brokerage)


Gain in Equity
600 Nifty Futures @ 3600 current 3688 = Rs. 52,800/-

Draw down in Equity
1600 Nifty SP3600 Puts (81 - 41.60) = Rs. – 63, 040/-

Notional Gain: Rs 3, 010/-

Delta Caclulation

Strike Price 3600
Spot Price 3690
% Volatility 27.5%
Delta (Put) -0.3236

Total Delta = -0.3236 * 1600 + 600 (1 * 600 NF) = 82.24

Next Orders

1. Sell 100 NF around 3695-3700

2. Buy 100 NF @ 3625



Regards
Sanjay

 

[joy_mitali]

Interesting going!!
Regards,
joy_mitali

 

[SGM]

Interesting going!!
Regards,
joy_mitali

Hello Joy,

Yes Interesting, but the unanswered question for me is "would it also be profitable?".

Either way its definately a worthwhile exercise!

Regards
Sanjay

 

[SGM]

Hello,

Nifty ftrs opened at 3700, as of now the day's high is 3700, don't know if could have got 3695 as did not see it on screen. So, considering our sale at 3692

Trade Taken

1. Sold 100 NF @ 3692

Orders Placed

1. Sell 100 NF @ 3745

2. Buy 100 NF @ 3645
3. Buy 100 NF @ 3618

Regards
Sanjay

 

[SGM]

Hello,

Second trade of the day

1. Bot 100 NF @ 3645

Current Orders

1. Sell 100 NF @ 3695
2. Sell 100 NF @ 3745

3. Buy 100 NF @ 3618

Regards
Sanjay

 

[SGM]

Hello,

The market gave us third trade today (first time)

1. Sold NF @ 3695

Orders:

1. Buy 100 NF @ 3645
Others, No change

Buying Nifty Puts SP 3650 @ 45-47 may be a good idea, instead of selling more NFs.... or maybe selling Nifty Calls SP 3750 @ 80+

Regards
Sanjay