INSUBCONTINENT EXCLUSIVE:
By Motilal OswalOption WritingSTRATEGY 1Writing against Cash / Future HoldingSell INDUSIND BANK 1580 CE 28-FEB-19 @ 8.55
Target Level
0.15
Stop Loss Level 13
Gross Monthly Yield 0.90 per cent
ROI 3.65 per cent
Margin 69,500
Days to Expiry 18
Writing with HedgingLeg 1: Sell
INDUSIND BANK 1580 CE 28-FEB-19@ 8.55
Leg 2: Buy INDUSIND BANK 1650 CE 28-FEB-19@ 2.85
Target Level 0.10
Stop Loss (Spread) Level 9.25
Gross
Monthly Yield 0.65 per cent
ROI 2.50 per cent
Margin 68,500
Days to Expiry 18
STRATEGY 2Writing against Cash / Future HoldingSell ACC 1480
CE 28-FEBRUARY-19 @ 9.45
Target Level 0.15
Stop Loss Level 14
Gross Monthly Yield 1.05 per cent
ROI 4.30 per cent
Margin 87,000
Days to
Expiry 18
Writing with HedgingLeg 1 Sell ACC 1480 CE 28-FEB-19 @ 9.45
Leg 2 Buy ACC 1540 CE 28-FEB-19 @ 3.05
Target Level 0.05
Stop Loss
(Spread) Level 10
Gross Monthly Yield 0.75 per cent
ROI 2.95 per cent
Margin 85,000
Days to Expiry 18
Pair TradingSTRATEGY 1Leg 1 BUY
HINDPETRO 1 LOT 28-FEB-19 @
224.65 and 507 SHARES IN CASH
Leg 2 SELL BPCL 1 LOT 28-FEB-19 @ 325.50
Tenure 7-8 Days
Target Profit 4.50 per
cent
Stop Loss 2.40 per cent
Margin 3,44,000
This pair has 96 per cent correlation over the last one year
It has Trade lot ratio of 1.30 with price ratio of 0.69
So to keep the pair money neutral we are suggesting to buy some shares of Hindpetro in cash
As per statistical data it is at 61 per cent band of 2 SD and as per its nature pair may diverge towards the outperformance of
HindPetro.
Pair TradingSTRATEGY 2Leg 1: BUY HDFC BK 2 (Two) LOT 28-FEB-19 @ 2126.45
Leg 2: SELL HDFC LTD 1 LOT 28-FEB-19 @ 1953.45
Tenure
7-8 Days
Target Profit 2.60 per cent
Stop Loss 1.20 per cent
Margin 3,62,000
This pair has 98 per cent correlation over the last one year
Pair (HDFC Ltd / HDFC Bank) has Trade lot ratio of 0.54 with price ratio of 0.92
It has been moving in a price spread difference of 110-120 to 200+ points from last couple of months
Expecting spread to witness widen more in range as recently already given the spread spike from 120 to 170 points with opportunity of
getting 30-40 points intra week 1-2 times as per its statistical data on 2SD band.
