Low Risk Low Returns- Target 50 NF per month per NF Lot

[jamit_05]

Spread #1 150point Iron Butterfly
Buy 9th May 11900 CE @ 33 (1W decay:33-3=30)
Sell 9th May 11750 CE+PE @ 82+89 = 170 (1W decay:170-36-48=86)
Buy 9th May 11600 PE @ 41 (1W decay:41-11=30)
Delta: -13
Theta: 46

Spread #1 is still at break-even. This means, the market is not going to let us earn easy money on the weekly options.

Spread #2 150point Iron Butterfly, but with cheaper wings.
Buy 2nd May 150-OTM 11900 CE @ 5
Sell 9th May ATM 11750 CE+PE @ 82+89 = 170 (1W decay:170-36-48=86)
Buy 2nd May 150-OTM 11600 PE @ 10
Delta: -27
Theta: 135

This ended in a good profit of Rs.2300 but it was risky.

Spread #3 A Month long 150point Iron Butterfly
Buy 12000 27JUN19 284
Sell 11750 30MAY19 330+270 (High Theta, High Delta)
Buy 11500 27JUN19 237
Delta: -0.31
Theta: 325.63

Spread 3 too is near breakeven.

 

[jamit_05]

Spread #3 A Month long 150point Iron Butterfly
Buy 12000 27JUN19 284
Sell 11750 30MAY19 330+270 (High Theta, High Delta)
Buy 11500 27JUN19 237
--------------------------------
Collected 75 pts

This spread is losing. Therefore, will make some adjustments, to convert this situation into win-win

Currently, if price goes up we win, therefore we want to make adjustments such that even if price goes down or sideways we win

Selling CEs will ensure if price goes down we win... and selling near expiry (weekly) CEs will ensure if price goes sideways we win. And since this is a low profit game, we will go for safety and sell really far away CEs;

Sell 11800 CE 23rd May
Buy 11900 CE 23rd May
--------------------------
Collected 79-56=23

 

[jamit_05]

Placing one more Iron Butterfly of June Expiry:

Buy 11600 283
Sell 11400 398+323
Buy 11200 248
------------------
Collected: 190

Like we learned in the previous spread, will sell far away weekly pairs to make up for any big price moves.

 

[jamit_05]

Objective: To sell ATMs of weekly expiry, but this is a risky venture... what if market collapses 1000 points? Interestingly, there is a somewhat of a solution to that. Lets put it to trial.


Buy 11900 CE 27June 151
Sell 11400 CE 23rd March 257 Weeklies
Sell 11400 PE 23rd March 226 Weeklies
Buy 11100 PE 27June 212

View:

The Weeklies will decay fast, we will keep selling weeklies at each expiry. However, in case of a big move, of 200 plus points in a week, we will have to start managing the position, which will capital intensive. But, it will be exciting. Lets see how it turns out.


In case of a sharp move 1000 points in a month types, we have the June Wings to provide solid protection. With high volatility around the corner it will be fun to manage this madness.

 

[jamit_05]

Buy 11900 CE 27June 151
Sell 11400 CE 23rd March 257 Weeklies
Sell 11400 PE 23rd March 226 Weeklies
Buy 11100 PE 27June 212


To adjust for this change:
Sold 12000 CE 23March Rs.56

If Expiry happens at 11800, then 11400CE23March will cost me atleast 350, but I got only 250 for it. So, I would effectively be in a 100 point loss. I have sold 12000CE23March at 56, so selling one more such OTM to collect 67, and so far covering the loss. I am not considering the sold PE at all, that is net profit, I know its high, but so is the risk.

Sold 12200 CE 23March Rs.67
Sold 12200 CE 23March Rs.89

 

[jamit_05]

Three days to expiry, would it be a good time to start next weeks spread?
The premiums are high, NDA victory seems to be factored in with todays 400 point move.

Sell 11850 CE 30March 245
Sell 11850 PE 30March 243

 

[jamit_05]

Buy 11900 CE 27June 151
Sell 11400 CE 23rd March 257 Weeklies
Sell 11400 PE 23rd March 226 Weeklies
Buy 11100 PE 27June 212


To adjust for this change:
Sold 12000 CE 23March Rs.56

If Expiry happens at 11800, then 11400CE23March will cost me atleast 350, but I got only 250 for it. So, I would effectively be in a 100 point loss. I have sold 12000CE23March at 56, so selling one more such OTM to collect 67, and so far covering the loss. I am not considering the sold PE at all, that is net profit, I know its high, but so is the risk.

Sold 12200 CE 23March Rs.67
Sold 12200 CE 23March Rs.89

Price has gone 500 points against, yet the sold atms are still not giving a loss.

Sell 11400 CE 23rd March 257 Weeklies ----- CMP 500
Sell 11400 PE 23rd March 226 Weeklies ----- CMP Doesnt Matter
-------------------------------------------------------

Collected: 480;

Therefore, the real loss is around 20 points right now, because the PE will expire worthless. This is a good deal.

On a brighter note, if the price remains below 12K for next three sessions, we will make 200 points from the following:

Sold 12000 CE 23March Rs.56
Sold 12200 CE 23March Rs.67
Sold 12200 CE 23March Rs.89
------------------------------
200 points.


Lets see how it turns out.

 

[jamit_05]

For an expense of 20 points, I will be making the downside completely safe by taking 11400PE to 11200PE which is a strong hourly support. Just in case, exit polls prove wrong.

Sell 11400 CE 23rd March 257 Weeklies CMP 400, rest all are OTM
Sell 11400 PE 23rd March 226; bought at 60
Sold 11200 PE 23rd March at 40
Sold 12000 CE 23March Rs.56
Sold 12200 CE 23March Rs.67
Sold 12200 CE 23March Rs.89
Sold 11000 PE 23March Rs.38
Sold 11700 PE 23March Rs.197 (in between 11700PE and 11400CE, max loss is 300 points, whereas premium collected is already 200+250 = 450 points)

Have already collected around 1000 points in sold premiums. And it appears, the only leg which will close ITM is 11400CE

 

[kingkrunal]

For an expense of 20 points, I will be making the downside completely safe by taking 11400PE to 11200PE which is a strong hourly support. Just in case, exit polls prove wrong.
400
Complete spread:

Far out wings...
Buy 11900 CE 27June 151
Buy 11100 PE 27June 212


Current Week:

Sell 11400 CE 23rd March 257 Weeklies CMP 400, rest all are OTM
Sell 11400 PE 23rd March 226; bought at 60
Sold 11200 PE 23rd March at 40
Sold 12000 CE 23March Rs.56
Sold 12200 CE 23March Rs.67
Sold 12200 CE 23March Rs.89
Sold 11000 PE 23March Rs.38
Sold 11700 PE 23March Rs.197 (in between 11700PE and 11400CE, max loss is 300 points, whereas premium collected is already 200+250 = 450 points)

Have already collected around 1000 points in sold premiums. And it appears, the only leg which will close ITM is 11400CE

i understand the selling of 12200-12000 ce for 23 march.. but why
Sold 11000 PE 23March Rs.38
Sold 11700 PE 23March Rs.197
is added ?

 

[jamit_05]

i understand the selling of 12200-12000 ce for 23 march.. but why
Sold 11000 PE 23March Rs.38
Sold 11700 PE 23March Rs.197
is added ?

Primary reason for selling PEs is that, after upmove, sell CEs, after down move, sell PEs. This is the way to balance Delta.

Sold 11000 PE 23March Rs.38
this had max OI, and is a fair distance away to go ATM in two days. Its a fair risk. But, has little affect on Delta of the whole set.

Sold 11700 PE 23March Rs.197
This has big affect on Delta. Completely balances it.

Reason for selling this particular strike price is that:
This is intended to pair with "Sell 11400 CE 23rd March 257"
Two put together, I have collected 197+257=450 points, with the spread between the two being only 300 points. Means, in every case I will get 450-300=150 points. Win-Win situation.