Quantitative StrategiesMOTILAL OSWAL SECURITIESOption WritingSTRATEGY 1Writing against Cash / Fut HoldingSell ICICI BANK 300 CE 28-JUNE-18 @ 1.60Target Level 0Stop Loss Level 2.40Gross Monthly Yield 1.60%ROI 4.15%Margin Rs 1,05,500Days to Expiry 11Writing with HedgingLeg 1 Sell ICICI BANK 300 CE 28-JUNE-18 @ 1.60Leg 2 Buy ICICI BANK 310 CE 28-JUNE-18 @ 0.80Target Level 0Stop Loss (Spread) Level 1.25Gross Monthly Yield 0.85%ROI 2.15%Margin 1,03,000Days to Expiry 11STRATEGY 2Writing against Cash / Future HoldingSell GAIL 360 CE 28-JUNE-18 @ 1.55Target Level 0Stop Loss Level 2.6Gross Monthly Yield 1.35%ROI 3.45%Margin Rs 1,21,000Days to Expiry 11Writing with HedgingLeg 1 Sell GAIL 360 CE 28-JUNE-18 @ 1.55Leg 2 Buy GAIL 380 CE 28-JUNE-18 @ 0.50Target Level 0Stop Loss (Spread) Level 1.65Gross Monthly Yield 0.90%ROI 2.35%Margin Rs 1,19,000Days to Expiry 11Pair TradingSTRATEGY 1Leg 1 Buy BHARATFIN 1 LOT 28-JUNE-18 @ 1194.40Leg 2 Sell INDUSIND BANK 1 LOT 28-JUNE-18 @1962.40Tenure 6-7 DaysTarget Profi't 2.35%Stop Loss 1.25 %Margin Rs 1,48,000This pair has 91% correlation over the last one year.
Pair has Trade lot ratio of 1 with price ratio of 0.61.
It has been moving in tandem for last seven months since November 2017 and as per recent swing in price some divergence and deviation in pair could be seen towards its outperformance of Bharatfin.Pair TradingSTRATEGY 2Leg 1 Buy HINDUNILVR 1 LOT 28-JUNE-18 @1611.95Leg 2 Sell DABUR 1 LOT 28-JUNE-18 @ 385.20Tenure 6-8 DaysTarget Profi't 3.80%Stop Loss 1.85%Margin Rs 2,42,000This pair has 89% correlation over the last one year.
Pair has Trade lot ratio of 1 with price ratio of 4.18.
As per the statistical data, spread of pair is narrowing and after the recent data setup it may diverge towards upper band of 2SD zone