By Motilal Oswal SecuritiesOption WritingSTRATEGY 1Writing against Cash / Fut HoldingSell GAIL 360 CE 31-JANUARY-19 at `2.65Target Level 0.05Stop Loss Level 3.95Gross Monthly Yield 1.30 per centROI 9 per centMargin `76,500Days to Expiry 18Writing with HedgingLeg 1: Sell GAIL 360 CE 31-JANUARY-19 at `2.65Leg 2: Buy GAIL 380 CE 31-JANUARY-19 at `0.80Target Level 0.05Stop Loss (Spread) Level 2.75Gross Monthly Yield 0.90 per centROI 6.40 per centMargin `74,500Days to Expiry 18STRATEGY 2Writing against Cash / Future HoldingSell TATASTEEL 520 CE 31-JANUARY-19 AT `2.55Target Level 0.05Stop Loss Level 3.80Gross Monthly Yield 0.90 per centROI 6.30 per centMargin `41,500Days to Expiry 18Writing with HedgingLeg 1: Sell TATASTEEL 520 CE 31-JAN-19 AT `2.55Leg 2: Buy TATASTEEL 560 CE 31-JAN-19 AT `0.60Target Level 0.05Stop Loss (Spread) Level 2.85Gross Monthly Yield 0.70 per centROI 5 per centMargin `40,500Days to Expiry 18Pair TradingSTRATEGY 1Leg 1 BUY HDFC BANK 2 (Two) LOT31-JANUARY-19 AT `2,120.90Leg 2 SELL HDFC LTD 1 LOT 31-JANUARY-19AT `1,996.90Tenure 7-8 DaysTarget Profit 3.40 per centStop Loss 1.65 per centMargin `3,60,000This pair has 98 per cent correlation over last one year.
Pair (HDFC Ltd / HDFC Bank) has Trade lot ratio of 0.53 with price ratio of 0.94.
It has been moving in a price spread difference of 120 to 180 points from last couple of weeks.
Expecting spread to slightly widen towards its 3 months mean with expected spread of 150 to 170 points as per its statistical data on 2SD band.Pair TradingSTRATEGY 2Leg 1 BUY DABUR 2 (Two) LOT31-JANUARY-19 AT `423.95Leg 2 SELL HINDUNILVR 1 LOT31-JANUARY-19 AT `1,778.90Tenure 7-8 DaysTarget Profit 3.50 per centStop Loss 1.75 per centMargin `3,71,000This pair has 93 per cent correlation over last one year.
It has Trade lot ratio of 2 with price ratio of 0.24.
As per statistical data it has skewed from its means and set to come towards its mean zones with outperformance nature of Dabur.