By Motilal OswalOption WritingSTRATEGY 1Writing against Cash / Fut HoldingSell INDUSIND BANK 1680 CE 31-JAN-19 @ 12.45Target Level 0.45Stop Loss Level 18Gross Monthly Yield 0.95%ROI 5.75%Margin 62,500Days to Expiry 25Writing with HedgingLeg 1: Sell INDUSIND BANK 1680 CE31-JAN-19 @ 12.45Leg 2: Buy INDUSIND BANK 1740 CE31-JAN-19 @ 6.00Target Level 0.05Stop Loss (Spread) Level 9.95Gross Monthly Yield 0.50%ROI 3.20%Margin 60,000Days to Expiry 25STRATEGY 2Writing against Fut HoldingSell HCLTECH 1000 CE 31-JAN-19 @ 10.25Target Level 0.45Stop Loss Level 15Gross Monthly Yield 1.25%ROI 7%Margin 93,500Days to Expiry 25Writing with HedgingLeg 1 Sell HCLTECH 1000 CE 31-JAN-19 @ 10.25Leg 2 Buy HCLTECH 1050 CE 31-JAN-19 @ 3.00Target Level 0.30Stop Loss (Spread) Level 10.50Gross Monthly Yield 0.90%ROI 5.40%Margin 89,000Pair TradingSTRATEGY 1Leg 1 BUY HDFC BANK 2 (Two) LOT31-JANUARY-19 @ 2131.80Leg 2 SELL HDFC LTD 1 LOT31-JANUARY-19 @ 1980.70Tenure 7-8 DaysTarget Profi't 3.50%Stop Loss 1.70%Margin 3,57,000This pair has 98% correlation over last one year.
Pair (HDFC Ltd / HDFC Bank) has Trade lot ratio of 0.54 with price ratio of 0.93.
It has been moving in a price spread difference of 120 to 330 points from last couple of series and latest spread is in between 120 to 180 points.
Expecting spread to slightly widen towards its 3 months mean as per its statistical data on 2SD band.Pair TradingSTRATEGY 2Leg 1 BUY ACC 1 LOT 31-JAN-19 @ 1474.70Leg 2 SELL AMBUJACEM 1 LOT31-JAN-19 @ 217Tenure 7-8 DaysTarget Profi't 3.40%Stop Loss 1.65%Margin 1,96,000This pair has 95% correlation over last one year.
It has Trade lot ratio of 0.90 with price ratio of 6.80.
As per statistical data it is turning from its lower band of 2 SD (95% probability) and has potential to head towards its mean after spread consolidation of last couple of weeks.