By MOTILAL OSWAL SECURITIESOption WritingSTRATEGY 1Writing against Cash / Fut HoldingWriting against Cash / Future HoldingSell CIPLA 660 CE 25-OCTOBER-18 at Rs 4.85Target Level 0.25Stop Loss Level 7.20Gross Monthly Yield 2 per centROI 5.50 per centMargin Rs 83,000Days to Expiry 11Writing with HedgingLeg 1: Sell CIPLA 660 CE 25-OCTOBER-18 at Rs 4.85Leg 2: Buy CIPLA 700 CE 25-OCTOBER-18 at Rs 1.65Target Level 0.10Stop Loss (Spread) Level 4.80Gross Monthly Yield 1.35 per centROI 3.80 per centMargin Rs 81,500Days to Expiry 11STRATEGY 2Writing against Cash / Future HoldingSell SBI 295 CE 25-OCTOBER-18 at Rs 1.55Target Level 0.15Stop Loss Level 8.80Gross Monthly Yield 1.45 per centROI 4 per centMargin Rs 1,05,000Days to Expiry 11Writing with HedgingLeg 1: Sell SBI 295 CE 25-OCTOBER-18 at Rs 1.55Leg 2: Buy SBIN 310 CE 25-OCTOBER-18 at Rs 0.65Target Level 0.10Stop Loss (Spread) Level 1.35Gross Monthly Yield 0.85 per centROI 2.35 per centMargin Rs 1,02,000Days to Expiry 11Pair TradingSTRATEGY 1Leg 1 BUY INDUSIND BANK 1 LOT25-OCTOBER-18 at Rs 1,656.80Leg 2 SELL BHARATFIN 1 LOT25-OCTOBER-18 at Rs 1,024.70Tenure 6-7 DaysTarget Profi't 2.40 per centStop Loss 1.20 per centMargin Rs 1,48,000This pair has 93 per cent correlation over the last one year.
It has trade lot ratio of 1 with price ratio of 1.62.
Spread is trading as per its 2 Standard Deviation and has been moving in tandem for last eleven months since November 2017.
Spread keeps on giving the opportunity to get the spread difference of 1 to 2 per cent in between even after being in tight spread range.Pair TradingSTRATEGY 2Leg 1 BUY HINDUSTAN UNILEVER 1 LOT25-OCTOBER-18 at Rs 1,558.95Leg 2: SELL DABUR 1 LOT 25-OCT-18 at Rs 408.25Tenure 7-8 DaysTarget Profi't 3.90 per centStop Loss 2.05 per centMargin Rs 2,88,000This pair has 92 per cent correlation over the last one year.
Pair has Trade lot ratio of 1.1 with price ratio of 3.82.
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.