NIFTY Options Ratio Spread Trading

ananths

Well-Known Member
#1
Hi All,

Just wanted to track how ratio spread works in options. I'm considering 2:3 ratio.

Strategy:-

Buy 2 lots ATM call/put and sell 3 lots OTM call/put.

This is basically trading the delta.

Example:-

Buy 2 lots 6300CE @ 103 (delta 0.39*2 = 0.78)
Sell 3 lots 6500CE @ 39 (delta 0.20*3 = -0.60)

We have difference of delta 0.18. That means if NIFTY moves 100 points up we get about 18* points. If it moves 100 points down will lose about 18* points

I will just track this kind of trade for Dec to see how it works intraday and positional.

Ideas, suggestions are welcome. :thumb:

*Not considered other greeks like Theta and Vega as of now.
 

ananths

Well-Known Member
#3
Current status,

Buy 2 lots 6300CE @ 103 (117) Profit 14*2 = 28
Sell 3 lots 6500CE @ 39 (46) Loss 7*3 = 21
Net profit 7 points for nifty movement of 25 points in the direction of the trade.
After 50 points move in Nifty,

Buy 2 lots 6300CE @ 103 (130*) Profit 27*2 = 54
Sell 3 lots 6500CE @ 39 (53*) Loss 14*3 = 42

Net profit 12 points for nifty movement of 50 points in the direction of the trade. :thumb:

*Price at the time of posting
 

ananths

Well-Known Member
#4
After 50 points move in Nifty,

Buy 2 lots 6300CE @ 103 (130*) Profit 27*2 = 54
Sell 3 lots 6500CE @ 39 (53*) Loss 14*3 = 42

Net profit 12 points for nifty movement of 50 points in the direction of the trade. :thumb:

*Price at the time of posting
Today's update,

Buy 2 lots 6300CE @ 103 (130*) Profit 27*2 = 54
Sell 3 lots 6500CE @ 39 (54*) Loss 15*3 = 45

Net profit is 9 points. :thumb:

This is just a paper trade and updating here to track. :thumb:
 

ananths

Well-Known Member
#5
Tracking a calender spread

Since IV is high I feel we can do a calender spread. Let us see how it works.

Sell Dec 6200PE @ 135 (IV = 25)
Buy Jan 6200PE @ 170 (IV = 22)

Total cost 35 points.

Scenarios,
1) If market goes up and stays above 6200, max loss 35 points
2) If market stays below 6200, will make a profit from the theta of DEC6200PE and gain in Jan6200PE

Max profit if market stays below 6200. If market stays above 6200, will lose max 35 points but I'm assuming some value will remain in Jan 6200PE. :thumb:
 

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