INSUBCONTINENT EXCLUSIVE:
By Motilal Oswal Financial ServicesOption WritingSTRATEGY 1Writing against Cash / Fut Holding
Sell KOTAK BANK 1720 CE 27-FEB-20 @
13.25
Target Level 0.05
Stop Loss Level 19.50
Gross Monthly Yield 1.35%
ROI 5.10%
Margin 1,02,000
Days to Expiry 18
Writing with Hedging
Leg
1: Sell KOTAK BANK 1720 CE 27-FEB-20
@ 13.25
Leg 2: Buy KOTAK BANK 1800 CE 27-FEB-20
@ 4.20
Target Level 0.05
Stop Loss (Spread) Level
13.50
Gross Monthly Yield 0.9%
ROI 3.50%
Margin 1,00,000
Days to Expiry 18
STRATEGY 2Writing against Fut Holding
Sell RELIANCE 1500 CE
27-FEB-20 @ 11.35
Target Level 0.05
Stop Loss Level 16.50
Gross Monthly Yield 1.30%
ROI 4.85%
Margin 1,10,000
Days to Expiry 18
Writing with
Hedging
Leg 1: Sell RELIANCE 1500 CE 27-FEB-20 @ 11.35
Leg 2: Buy RELIANCE 1600 CE 27-FEB-20 @ 2.60
Target Level 0.05
Stop Loss (Spread)
Level 12.25
Gross Monthly Yield 0.95%
ROI 3.75%
Margin 1,09,000
Days to Expiry 18
Pair TradingSTRATEGY 1Leg 1: BUY HDFCBANK 1 LOT
27-FEB-20
@ 1242.50
Leg 2 SELL HDFC 1 LOT 27-FEB-20 @ 2415
Tenure 7-8 Days
Target Profit 5.10%
Stop Loss 2.50%
Margin 2,16,000
This pair has
90% correlation over the last few weeks post its ex-corporate action
Pair (HDFC/ HDFCBANK) has trade lot ratio of 0.97 with price ratio of 1.94
Pair ratio may now take a pause, as 1.97-2.0 is upper band of this band as per the statistical data so expecting the ratio to now turn lower
towards its half the way of mean which is 1.80.
STRATEGY 2Leg 1 BUY BAJFINANCE 1 LOT 27-FEB-20
@ 4660.10 AND 8 SHARES IN CASH
Leg 2 SELL
BAJAJFINSV 1 LOT 27-FEB-20
@ 9632.55
Tenure 7-8 Days
Target Profit 4.50%
Stop Loss 2.30%
Margin 4,56,000
This pair has 85% correlation over
Pair (BAJAJFINSV /BAJFINANCE) has trade lot ratio of 1.03 with price ratio of 2.06
We are expecting the ratio to narrow down as per its 2SD band with the view to continue to outperformance of BAJFINANCE.