By Motilal OswalOption WritingSTRATEGY 1Writing against Cash / Future HoldingSell INDUSIND BANK 1580 CE 28-FEB-19 @ 8.55Target Level 0.15Stop Loss Level 13Gross Monthly Yield 0.90 per centROI 3.65 per centMargin 69,500Days to Expiry 18Writing with HedgingLeg 1: Sell INDUSIND BANK 1580 CE 28-FEB-19@ 8.55Leg 2: Buy INDUSIND BANK 1650 CE 28-FEB-19@ 2.85Target Level 0.10Stop Loss (Spread) Level 9.25Gross Monthly Yield 0.65 per centROI 2.50 per centMargin 68,500Days to Expiry 18STRATEGY 2Writing against Cash / Future HoldingSell ACC 1480 CE 28-FEBRUARY-19 @ 9.45Target Level 0.15Stop Loss Level 14Gross Monthly Yield 1.05 per centROI 4.30 per centMargin 87,000Days to Expiry 18Writing with HedgingLeg 1 Sell ACC 1480 CE 28-FEB-19 @ 9.45Leg 2 Buy ACC 1540 CE 28-FEB-19 @ 3.05Target Level 0.05Stop Loss (Spread) Level 10Gross Monthly Yield 0.75 per centROI 2.95 per centMargin 85,000Days to Expiry 18Pair TradingSTRATEGY 1Leg 1 BUY HINDPETRO 1 LOT 28-FEB-19 @224.65 and 507 SHARES IN CASHLeg 2 SELL BPCL 1 LOT 28-FEB-19 @ 325.50Tenure 7-8 DaysTarget Profit 4.50 per centStop Loss 2.40 per centMargin 3,44,000This 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 @ 2126.45Leg 2: SELL HDFC LTD 1 LOT 28-FEB-19 @ 1953.45Tenure 7-8 DaysTarget Profit 2.60 per centStop Loss 1.20 per centMargin 3,62,000This 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.