Naked Strangles in weekly Bank Nifty

newuser_RK

Well-Known Member
#1
Dear TJ members,

I want to start a discussion on naked strangles on weekly bank nifty.
Here are my thoughts:

Strategy:
Sell ATM next weekly expiry bank nifty call and put options on Friday and cover it on Monday. That's it...
Care to avoid event days like elections etc....if open gap up and looks like a momentum cover in the morning elese cover EOD. One can easily pocket 30 to 50 bnf points. Hit ratio is around 75%.

Simple back test yielded good results.
I know seniors will say: never sell naked, but this strategy makes money. Require a low margin broker. Very good ROE for a days work.

Views invited.

Sent from my AO5510 using Tapatalk
 
Last edited:

Subhadip

Well-Known Member
#2
Dear TJ members,

I want to start a discussion on naked strangles on weekly bank nifty.
Here are my thoughts:

Strategy:
Sell ATM next weekly expiry bank nifty call and put options on Friday and cover it on Monday. That's it...
Care to avoid event days like elections etc....if open gap up and looks like a momentum cover in the morning elese cover EOD. One can easily pocket 30 to 50 bnf points. Hit ratio is around 75%.

Simple back test yielded good results.
I know seniors will say: never sell naked, but this strategy makes money. Zerodha margin is around 50k and half of it can be bough via share pledge. Very good ROE for a days work.

Views invited.

Sent from my AO5510 using Tapatalk
How many week u have studied?
 

newuser_RK

Well-Known Member
#6
One can modify this to a calendar spread as well. So just buy and sell a strangle at the money with near week sell and next week buy. Square off on expiry or high profit or when time value of sold opiotns less than 75. SL of spread could be around 50 points. Avoid trending months like January and events week. Require lesser margin and you are hedged so less tension....

Sent from my AO5510 using Tapatalk
 
Last edited:

Subhadip

Well-Known Member
#7
One can modify this to a calendar spread as well. So just buy and sell a strangle at the money with near week sell and next week buy. Square off on expiry or high profit or when time value of sold opiotns less than 75. SL of spread could be around 50 points. Avoid trending months like January and events week. Require lesser margin and you are hedged so less tension....

Sent from my AO5510 using Tapatalk
Good idea...I was about to tell this to him
 

travi

Well-Known Member
#9
Da, his strategy should work in that period (Aug-16 to Jan-17 at all time IV high), but in my earlier post in your thread, BN annualised volatility has dropped from those 22% to lowest ever levels recently.
Strangle are worst hurt when initiated at such medium to low levels, most of the time they close at break-even and not big profits.
I suggest thread starter to consider current IV levels.

PS: selling BN strangle/straddle at 12-14% ATM IV imho is suicide...
 

Subhadip

Well-Known Member
#10
Da, his strategy should work in that period (Aug-16 to Jan-17 at all time IV high), but in my earlier post in your thread, BN annualised volatility has dropped from those 22% to lowest ever levels recently.
Strangle are worst hurt when initiated at such medium to low levels, most of the time they close at break-even and not big profits.
I suggest thread starter to consider current IV levels.

PS: selling BN strangle/straddle at 12-14% ATM IV imho is suicide...
Mostly the PE...
 

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