Four legged option strategy

#1
Hi all

After studying loads of option strategies, I found one 4-leg strategy which seems to be quite safe. I will go with an example ...

On Tue 02-Jun take following four CE positions just before 3.30 pm: (Two strike prices, one ITM, one OTM)

(A) Sell 9800 and 10200 calls for 04-Jun expiry (total premium earned 195+18 = 213)
(B) Buy 9800 and 10200 calls for 25-Jun expiry (total premium spent 357 + 160 = 517)

Square up during closing hrs next day (Wed 03-Jun), when nifty was up by about 82 points
(A) Total prem spent in buying both calls (286 + 18 = 304) (Loss 91 points)
(B) Total prem earned by selling both calls (462 + 222 = 684) (Profit 167 points)

Net of A & B : Profit of about 70-75 points

Funds needed about 1 lac for carry-over pos (thanks to new policy from 01-Jun).

Then I did similar calculation for 05-May when nifty was down by about 80 points (strikes 9000 and 9400 - rest all same). Surprise !!! That trade is also profitable ...

Has anybody tried this? What is this strategy called in options Jargon? Any other comments please?

Thanks in advance
pos_trader
 
#2
I will add one thing...

On 03-Jun nifty went up by 82 points
On -5-May Nifty was down by abt 82 points

In both cases back-testing shows profit, hence curious.

pos_trader
 
#4
This strategy will not work if there is no movement in Nifty. Current week options have very less time value and next week options have high time value. so, in flat or range bound market, this may give loss.
 
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