Comfortable profits from trading Nifty.

[jamit_05]

This is a strategy for selling far month straddles.

Consider selling May 6300 straddle and collecting 680 points. At current month expiry, we will shift the straddle to June. Hence, we bag a whole month of time decay, which is upwards of 200 points. In it, our biggest challenge is to protect this straddle from sharp moves that come few times a year.

 

[gmt900]

This is a strategy for selling far month straddles.

Consider selling May 6300 straddle and collecting 680 points. At current month expiry, we will shift the straddle to April. Hence, we bag a whole month of time decay, which is upwards of 200 points. In it, our biggest challenge is to protect this straddle from sharp moves that come few times a year.

Do we shift the straddle to June or April?

 

[jamit_05]

Do we shift the straddle to June or April?

Changed.

Hv devised a very good way to protect. Shall try it in the months to come.

 

[sanjeev258380]

Dnt try this in election month....one big move n account blow off.

 

[gmt900]

Changed.

Hv devised a very good way to protect. Shall try it in the months to come.

Currently, 6300 straddle will be delta neutral. If one can manage to adjust delta, this will be a good trade.

 

[Somatung]

Currently, 6300 straddle will be delta neutral. If one can manage to adjust delta, this will be a good trade.

@Gmt900

In case you talk about the current months series: According to the posted screen shot from the current (01.03.2014) option matrix from http://www.nseindia.com/live_market...instrument=OPTIDX&symbol=NIFTY&date=27MAR2014, the problem rests in the price different from those options. Analyze the figures in detail and you even will recognize that according to this matrix, the call will add 27 points on value to the next strike level, where as the put only 21 points on value loses in the same time with the same movement. The price miss balancing even will increase in case market moves quick 100 point up. Also the IV of the call (9.83) and the IV of the put (14.51) are to consider. So be careful with this atm MAR 6300 straddle and know exactly how to handle those enemies.

 

[gmt900]

@Gmt900

In case you talk about the current months series: According to the posted screen shot from the current (01.03.2014) option matrix from http://www.nseindia.com/live_market...instrument=OPTIDX&symbol=NIFTY&date=27MAR2014, the problem rests in the price different from those options. Analyze the figures in detail and you even will recognize that according to this matrix, the call will add 27 points on value to the next strike level, where as the put only 21 points on value loses in the same time with the same movement. The price miss balancing even will increase in case market moves quick 100 point up. Also the IV of the call (9.83) and the IV of the put (14.51) are to consider. So be careful with this atm MAR 6300 straddle and know exactly how to handle those enemies.

I was referring to May 6300 straddle proposed by jamit.

Put delta is +24.37 and call delta is -26.01.

BTW, I am doing a paper trade for march series to learn delta neutral strategy.

I sold one lot of 6300C @ 71 and 6200P @ 60 for an inflow of 131 points on 26.2.14. Delta was zero.

On 28.2.14, 6300C was @ 74 and 6200P @ 54 and delta was - 5.4

There are several ways to adjust this trade and I am trying to learn to do it. One question that comes to my mind is, what is the value of variation of delta from zero that one should act upon?

I mean obviously it should not be done too often. It will increase the transaction costs too.

 

[Somatung]

I was referring to May 6300 straddle proposed by jamit.

Put delta is +24.37 and call delta is -26.01.

Ok, I see. Depending on your brokers account you alternatively can/could sell a MAY strangle with the same income:

Sell five MAY 5500 put @ 72 and sell five MAY 7100 call @ 71.60

Collected for the moment: 718 points

Stress factor: Much lower compare to the atm MAY 6300 short straddle.

 

[Somatung]

I was referring to May 6300 straddle proposed by jamit.

Put delta is +24.37 and call delta is -26.01.

BTW, I am doing a paper trade for march series to learn delta neutral strategy.

I sold one lot of 6300C @ 71 and 6200P @ 60 for an inflow of 131 points on 26.2.14. Delta was zero.

On 28.2.14, 6300C was @ 74 and 6200P @ 54 and delta was - 5.4

There are several ways to adjust this trade and I am trying to learn to do it. One question that comes to my mind is, what is the value of variation of delta from zero that one should act upon?

I mean obviously it should not be done too often. It will increase the transaction costs too.

Doing short strangles around atm with the current options month series is high risk and needs to be traded high professionally. Stress is programed. You will need TA knowledge and not only knowledge about the option Greeks. If you suddenly find your self in a trending market, your fixed delta rules are out of question. So forget about it. Here only the break even points do/could lead the game. Very difficult task and most lose money at the end with it.

 

[gmt900]

Doing short strangles around atm with the current options month series is high risk and needs to be traded high professionally. Stress is programed. You will need TA knowledge and not only knowledge about the option Greeks. If you suddenly find your self in a trending market, your fixed delta rules are out of question. So forget about it. Here only the break even points do/could lead the game. Very difficult task and most lose money at the end with it.

I agree. Therefore I am not betting my money on it. Just trying to learn so that for less risky trades like short strangles of far months with 500 + difference in strike prices I can use the learning.