Delta Neutral Strategy (Long Nifty @ Long Puts)
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Hi Nautilus,
Since you are bearish on the market, you have to keep one thing is mind that you are holding (Atom Bomb) 2000 Puts worth Rs.92, 000.00 in your hand that will reduce to nothing come September expiry day. Each day you will be loosing money on this part of the trade. Your gains, as per you bias, have to be more than the time lost on the put options.
On the flip side you feel that the resistance Nifty can have at 2450 and than 2500.
I would like to take following actions,
Sell two third of your long future position at the current levels, and hold the balance for what, If you are wrong scenario. Balance to be sold at the upper resistance level 2450.
We will not do any thing to the Put option position, because of you bearish bias, if you are right than we have much larger position, which will make money for us.
Good Luck.
Wastej
Since you are bearish on the market, you have to keep one thing is mind that you are holding (Atom Bomb) 2000 Puts worth Rs.92, 000.00 in your hand that will reduce to nothing come September expiry day. Each day you will be loosing money on this part of the trade. Your gains, as per you bias, have to be more than the time lost on the put options.
On the flip side you feel that the resistance Nifty can have at 2450 and than 2500.
I would like to take following actions,
Sell two third of your long future position at the current levels, and hold the balance for what, If you are wrong scenario. Balance to be sold at the upper resistance level 2450.
We will not do any thing to the Put option position, because of you bearish bias, if you are right than we have much larger position, which will make money for us.
Good Luck.
Wastej
[email protected] said:
Hi Nautilus,
Since you are bearish on the market, you have to keep one thing is mind that you are holding (Atom Bomb) 2000 Puts worth Rs.92, 000.00 in your hand that will reduce to nothing come September expiry day. Each day you will be loosing money on this part of the trade. Your gains, as per you bias, have to be more than the time lost on the put options.
On the flip side you feel that the resistance Nifty can have at 2450 and than 2500.
I would like to take following actions,
Sell two third of your long future position at the current levels, and hold the balance for what, If you are wrong scenario. Balance to be sold at the upper resistance level 2450.
We will not do any thing to the Put option position, because of you bearish bias, if you are right than we have much larger position, which will make money for us.
Good Luck.
Wastej
Since you are bearish on the market, you have to keep one thing is mind that you are holding (Atom Bomb) 2000 Puts worth Rs.92, 000.00 in your hand that will reduce to nothing come September expiry day. Each day you will be loosing money on this part of the trade. Your gains, as per you bias, have to be more than the time lost on the put options.
On the flip side you feel that the resistance Nifty can have at 2450 and than 2500.
I would like to take following actions,
Sell two third of your long future position at the current levels, and hold the balance for what, If you are wrong scenario. Balance to be sold at the upper resistance level 2450.
We will not do any thing to the Put option position, because of you bearish bias, if you are right than we have much larger position, which will make money for us.
Good Luck.
Wastej
Just a couple of questions so that I know we are absolutely on the right wave length:
1) when you say sell two third of the long futures position - I assume that you are talking about the 600 open positions that we are still holding - am I assuming correctly? (selling 400 lot position leaving an open position of 200 long futures and 2000 long puts).
2) selling at current levels - does it mean tomorrows (Monday's) open or Friday's settlement?
The rest of the instructions are absolutely clear.
Thank you
Nautilus
Hi Chheda,
Since you have a bullish bias, therefore, it is imperative to reduce the put options risk. We have 20 contracts (2000 put options) in hand. We are facing two different risks, one due to your bias and the second due to the time decay of the put options
As our Long 600 Nifty futures have +1 delta each and the Long 2000 puts have -.20 deltas each. At present they are imbalanced.
Long Nifty positions delta is +600 and the 2000 puts options delta is negative -.20x2000=400
In order to bring it back in the delta neutral position we have to take some action. To sell 200 Nifty futures at the current levels is not an option because of your bias. The other option we have is to increase the put options, which is not very good idea again, just because of the time decay and your bias.
What I will like you to do is the followings:
1) Place sell order for 200 Long futures of Nifty at a limit of 2420 (Resistance Levels provided by you)
2) Place sell order for 200 Long futures of Nifty at a limit of 2445
3) Place sell order for 200 Long futures of Nifty at a limit of 2460.
4) Place sell order for 200 puts (2 Contracts) SP2460.
I would like you to think it thru, why we are taking these actions. Should you have any questions, please feel free to ask me any question.
I encourage all other members also to post their questions, comments etc., on this forum.
Regards,
Wastej
Since you have a bullish bias, therefore, it is imperative to reduce the put options risk. We have 20 contracts (2000 put options) in hand. We are facing two different risks, one due to your bias and the second due to the time decay of the put options
As our Long 600 Nifty futures have +1 delta each and the Long 2000 puts have -.20 deltas each. At present they are imbalanced.
Long Nifty positions delta is +600 and the 2000 puts options delta is negative -.20x2000=400
In order to bring it back in the delta neutral position we have to take some action. To sell 200 Nifty futures at the current levels is not an option because of your bias. The other option we have is to increase the put options, which is not very good idea again, just because of the time decay and your bias.
What I will like you to do is the followings:
1) Place sell order for 200 Long futures of Nifty at a limit of 2420 (Resistance Levels provided by you)
2) Place sell order for 200 Long futures of Nifty at a limit of 2445
3) Place sell order for 200 Long futures of Nifty at a limit of 2460.
4) Place sell order for 200 puts (2 Contracts) SP2460.
I would like you to think it thru, why we are taking these actions. Should you have any questions, please feel free to ask me any question.
I encourage all other members also to post their questions, comments etc., on this forum.
Regards,
Wastej
[email protected] said:
Hi Chheda,
Since you have a bullish bias, therefore, it is imperative to reduce the put options risk. We have 20 contracts (2000 put options) in hand. We are facing two different risks, one due to your bias and the second due to the time decay of the put options
As our Long 600 Nifty futures have +1 delta each and the Long 2000 puts have -.20 deltas each. At present they are imbalanced.
Long Nifty positions delta is +600 and the 2000 puts options delta is negative -.20x2000=400
In order to bring it back in the delta neutral position we have to take some action. To sell 200 Nifty futures at the current levels is not an option because of your bias. The other option we have is to increase the put options, which is not very good idea again, just because of the time decay and your bias.
What I will like you to do is the followings:
1) Place sell order for 200 Long futures of Nifty at a limit of 2420 (Resistance Levels provided by you)
2) Place sell order for 200 Long futures of Nifty at a limit of 2445
3) Place sell order for 200 Long futures of Nifty at a limit of 2460.
4) Place sell order for 200 puts (2 Contracts) SP2460.
I would like you to think it thru, why we are taking these actions. Should you have any questions, please feel free to ask me any question.
I encourage all other members also to post their questions, comments etc., on this forum.
Regards,
Wastej
Since you have a bullish bias, therefore, it is imperative to reduce the put options risk. We have 20 contracts (2000 put options) in hand. We are facing two different risks, one due to your bias and the second due to the time decay of the put options
As our Long 600 Nifty futures have +1 delta each and the Long 2000 puts have -.20 deltas each. At present they are imbalanced.
Long Nifty positions delta is +600 and the 2000 puts options delta is negative -.20x2000=400
In order to bring it back in the delta neutral position we have to take some action. To sell 200 Nifty futures at the current levels is not an option because of your bias. The other option we have is to increase the put options, which is not very good idea again, just because of the time decay and your bias.
What I will like you to do is the followings:
1) Place sell order for 200 Long futures of Nifty at a limit of 2420 (Resistance Levels provided by you)
2) Place sell order for 200 Long futures of Nifty at a limit of 2445
3) Place sell order for 200 Long futures of Nifty at a limit of 2460.
4) Place sell order for 200 puts (2 Contracts) SP2460.
I would like you to think it thru, why we are taking these actions. Should you have any questions, please feel free to ask me any question.
I encourage all other members also to post their questions, comments etc., on this forum.
Regards,
Wastej
The instructions are absolutely clear.
some questions
1. The sell order for 200 Put's are at open or at close.
2. Can't we sell Put options for higher SP 2380 or 2400 in place of 2360 .
Regards ,
Harish Chheda
[email protected] said:
Yes you can. You should sell the one you think makes the most sense.
WasteJ
WasteJ
Date 5/9/2005 , Time 11:15
The order that was executed
1 . Sold Nifty Fut 200 at 2420
2 . Sold Nifty Put 200 SP 2360 on opening at premium of Rs. 26
Regards ,
Harish Chheda
Last edited:
Hi WasteJ,
Today is Teachers Day----Being a teacher myself and a student simulteneously-- of Ur's Delta Neutral Strategy and many more things(which u have discussed already and may disclose more in future)---I pay my tribute to u--WasteJ --specially and ---also to all other seniors in this forum from whom I have learnt about Derivatives market a lot----
May Nature Shower its infinite Bliss to u----and hope we get ur blessings and really become pro in all the strategies discussed by u----
By the way---Thanks for allowing me to take part in the mock tade---I will take part
from tomorrow-----I feel the resistance of NIFTY is 2445---then 2465---on the downside I see then NIFTY having a support 2375---then 2350----If till 24th NIFTY remains around 2425-----then it should close below 2400 this mth----If NIFTY is around 2375 at 25th---then my view is it may close above 2400----With this strategy---what combinations should I start from tomorrow----Hope---U take the pain to answer me----
Regards,
joy_mitali
Today is Teachers Day----Being a teacher myself and a student simulteneously-- of Ur's Delta Neutral Strategy and many more things(which u have discussed already and may disclose more in future)---I pay my tribute to u--WasteJ --specially and ---also to all other seniors in this forum from whom I have learnt about Derivatives market a lot----
May Nature Shower its infinite Bliss to u----and hope we get ur blessings and really become pro in all the strategies discussed by u----
By the way---Thanks for allowing me to take part in the mock tade---I will take part
from tomorrow-----I feel the resistance of NIFTY is 2445---then 2465---on the downside I see then NIFTY having a support 2375---then 2350----If till 24th NIFTY remains around 2425-----then it should close below 2400 this mth----If NIFTY is around 2375 at 25th---then my view is it may close above 2400----With this strategy---what combinations should I start from tomorrow----Hope---U take the pain to answer me----
Regards,
joy_mitali
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