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

jamit_05

Well-Known Member
Collected 84

25July 11700CE+11500PE = 57+23 = 80

Squared 11500PE 24
Sold 11600PE 48

Collected 84-24+48= 108

Squared 11600PE 39
Sold 11650PE 55

108-39+55=124

Squared 11700CE 43
Sold 11650CE 64

Squared 11650PE 74
Sold 11600PE 53

124-43+64=145

Collected 145-74+53=124

Current:

11650CE
11600PE

CMP 102
 
Last edited:

jamit_05

Well-Known Member
Collected
11600PE+CE = 63+61 = 124
11600PE+11650CE = 124

Current:
72+48=120 Gain 4
47+47=94 Gain 30

Everytime we do the switching it incurs a cost of around 1point per leg, that needs to controlled because it takes away 30% of the gains.
 

jamit_05

Well-Known Member
100 point move in 30 mins... lets see what it has done:

Collected
11600PE+CE = 63+61 = 124
11600PE+11650CE = 124

Squared 11600PE @105
Sold [email protected]
Diff: -51

Sold 11550CE 51
Sold 11550CE 53

Collected
11600PE+11600CE+11550CE = 124-51+51 = 124
11600PE+11650CE +11550CE = 124-51+53 = 126


Additional Risk:
11600CE CMP 14
11650CE CMP 24

It boils down to how one manages this additional risk. Due to this the delta is heavier now on the CE side. If market goes back up, then we will have more sold CEs than PEs. Good news is that the odds are in our favour. Market seldom moves sharply in both directions in a single week.

CMP 11500PE + 11550CE = 83+33 = 116
Collected 125
Gain 9
(Not gains really, since we have additional risk)
 
Last edited:

jamit_05

Well-Known Member
MaxOI is at 11500CE and 11400PE. Therefore, must shift entire position there.

Squared 11500PE @ 116
Sold 11400PE @ 61
Loss: 55

Sold [email protected]

Collected 125-55+33 = 103

CMP:
11400PE 61
11500CE 33 (All other CEs are assumed to expire worthless.)
----------------
94

Additional Risk of:
11600CE
11550CE

If week remains between 11500 and 11400 then we get 94 points.
 

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