Premium Eating Strategy - BankNifty Weekly Options

SarangSood

Well-Known Member
13th Dec 26600PE 0.672 (short)
27th Dec 26500PE -0.534 (long)
13th Dec 27100CE -0.112 (short)

Current status
Personally have done a lot of calender in NF till 2016. NF because the spread of next month options use to be not much.

Coming to your position the delta is sort of neutral but it's prone to volatility. That is if you are not expecting any volatility then it's fine.

For example if there is a gap down than your 27100 cal will not be able to protect the loss in 26600-26500 put calendar. I'm not sure what will happen in gap up but if it's more than 300 points than the cal will incur more loss.

Whenever we are buying next series and selling current (delta neutral), we are betting that the volatility will not be much. That is because the gamma (change in delta) will be always higher in the current series.

A safer strategy:
27th dec 26500 put (long)
13th dec 26400 put (short)
13th dec cal (long) difference of delta of both the puts

Or
27th dec 26500 put (long)
13th dec 26400 put (short)
(delta neutral ratio)
 

mycall

Well-Known Member
Personally have done a lot of calender in NF till 2016. NF because the spread of next month options use to be not much.

Coming to your position the delta is sort of neutral but it's prone to volatility. That is if you are not expecting any volatility then it's fine.

For example if there is a gap down than your 27100 cal will not be able to protect the loss in 26600-26500 put calendar. I'm not sure what will happen in gap up but if it's more than 300 points than the cal will incur more loss.

Whenever we are buying next series and selling current (delta neutral), we are betting that the volatility will not be much. That is because the gamma (change in delta) will be always higher in the current series.

A safer strategy:
27th dec 26500 put (long)
13th dec 26400 put (short)
13th dec cal (long) difference of delta of both the puts

Or
27th dec 26500 put (long)
13th dec 26400 put (short)
(delta neutral ratio)
Actually I had a long view when price was around 26600... RBI was expected keep rates unchanged... so I have a neutral to bullish view above 26500... when I took it... with a max loss potential of 180 (in number)... later today I partially hedged it with 27200CE... but it was delayed as I came late on the terminal... So whatever happens max loss is restricted.

I already have Ratio at 26000 (26000PE long and 25500PE+25000PE short)... don't expect it to break 25000 this series... as most delivery volume of NF BNF stocks are around 25000-25500.

But global trade war scenario is working havoc now... Lets see what happens.

Thank you for suggesting the strategies.
 

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