Delta Neutral Strategy (Long Nifty @ Long Puts)

[nautilus]

Hi Wastej:

Here is the daily summary of p/l

Closed out profits on futures 86200 (profit)
Closed out loss on 300 short puts(sp2500) 3000 (loss)

Open positions p/l

1) 100 short futures@2550 = (2550-2475.35)x100 = 7465 (profit)
2)2000 long puts(sp2340)@46 = (2.15-46)x2000 = 87700 (loss)
3)200 short calls(sp2480)@21.55 = (21.55-21)x200 = 110 (profit)
4)400 short puts(sp2350)@12.50 = (12.50-2.85)x400 = 3860 (profit)
5)1000 short puts(sp2400)@11.50 = (11.50-6.10)x1000 = 5400 (profit)
6)300 short puts(sp2480)@21.50 = (21.50-30.00)x300 = 2550 (loss)

Total p/l = (86200+7465+110+3860+5440-3000-87700-2550) = 9825 (profit)

Open positions:

1) 100 short futures@2550
2)2000 long puts(sp2340)@46
3)200 short calls(sp2480)@21.55
4)400 short puts(sp2350)@12.50
5)1000 short puts(sp2400)@11.50
6)300 short puts(sp2480)@21.50

Working orders:

Buy 300 puts @ 2560 on a stop

Regards

Nautilus

 

[[email protected]]

Hi Nautilus,

Now you are thinking, isnt that good? Without doing the exercise of profit and loss of the trade it couldnt have been possible. I wish Joy-Mitali have done the same.

Any way, putting stop loss on 1000 short put position SP2400 is not a bad idea at all as long as you retain the large portion of the profit. In whole equation we also have to consider that how many trading days are left before the expiry of the options.

If you do not wish to put a stop loss order for your 1000 put position then you can put an order, similar to your last order, off course with different values. Please think it thru and post here.

Looking at out trade, we would like to book the profit on short position of 100 Nifty futures. Once that is taken care off, we will look into the SP2480. It seems that your closing numbers are not right, please check them again and correct, if necessary.

SP2480 we are short 200 call and 300 put options. This looks to me little imbalanced. Remember we are learning the balancing art of Delta in the trade. We have two options here, first to sell additional 100 calls or buy 100 puts thus either increasing the number to 300 of calls or reducing the number of put options to 200.

What ever adds to out profit more, which is what we will do in this case. Remember we can loose only on one position. Since we have the entire premium with us, by adding all these premiums, and subtracting it from 2480 gives us the down side range of our break- even point on down side of this portion of our trade. Similarly if we add all the premium of short options and add that number to 2480 it will give break-even point of the trade on the up side.

Now that we know that one side is our, we have to work on the other side. As yet we have no clue what side that is going to be, as we are not market predictors. Remember, a good trader keeps all the money it comes to him.

We will sacrifice 10 rupees out of option premium collected at SP2480 as our maximum risk and will go either long nifty futures or short, depending on the mood of Nifty.

Please do not hesitate to ask more questions if you have to in order to manage the trade from here.

Happy Trading

Wastej

 

[[email protected]]

Hi Nautilus,

While I was typing my last posting, you posted the profit and loss of the trade for today. My comments to you are based on your previous posting (One posting before the last).

Regards,

Wastej

 

[chheda]

Hi Harish,

You have to be preparing yourself for this eventuality by taking action. I suggest you to buy back the option at a fraction of price for which you sold, thus booking the profit from the short option. This way if Nifty rebounds again, you will have 400Nifty futures, which will participate fully in the Bull Run again, if not, you will sacrifice very small portion of your profits.


Wastej

Hi WasteJ ,

Trade 2480 (i.e Trade where we Sold Nifty call option SP 2480 on 12th Sep. )

Trade Today :
Buy 200 Nifty call SP 2480 at 18 Rs. (When Nifty Fut make a low of 2451 and rebound to 2462 )

To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2482.25 - 2595.85 - 2451.00 - 2474.00
Nifty Put SP 2340 : 2.15 - 2.15 - 2.15 - 2.15
Nifty Put SP 2350 : 7.00 - 7.00 - 1.05 - 3.40
Nifty Put SP 2360 : 4.50 - 4.50 - 4.50 - 4.50
Nifty Put SP 2380 : 5.00 - 7.00 - 5.00 - 7.00
Nifty Put SP 2400 : 9.10 - 12.50 - 4.00 - 6.40
Nifty Call SP 2480 : 30.00 - 37.85 - 16.00 - 24.25
Nifty Call SP 2460: 28.00 - 68.00 - 26.00 - 36.10

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2474 - 2347) = 50800.00
Total Profit (closed) 32000.00 + (open) 50800.00 = 82800.00

Long Nifty Put SP 2340
2000 * (2.15 - 46.00) = (Loss) 87700.00

Short Nifty Put SP 2350
200 * (6.50 - 3.40) = 620.00

Short Nifty Put SP 2360
200 * (26 - 4.50) = 4300.00

Short Nifty Put SP 2380
300 * (21 - 7) = 4200.00

Short Nifty Put SP 2400
700 * (4.65 - 6.40) = (loss) 1225 .00

Short Nifty Put SP 2400
600 * (4.80 - 6.40) = (loss) 960.00

Short Nifty call SP 2480
200 * (33.85 - 18) = 3170.00 (trade closed out)

Short Nifty call SP 2460
200 * (29 - 36.10) = (Loss) 1420.00

Total Profit = 82800.00 - 87700.00 + 620.00 + 4300.00 + 4200.00 - 1225.00 - 960.00 + 3170.00 - 1420.00 = 3785.00

Open Positions :
Long Nifty Future : 400
Long Put SP 2340 : 2000
Short Put SP 2350 : 200
Short Put SP 2360 : 200
Short Put SP 2380 : 300
Short Put SP 2400 : 1300
Short Call SP 2480: 200
Long Call SP 2480: 200
Short Call SP 2460: 200

Paid / Collected Premium in options

Long Put SP 2340 : 2000 @ 46 : - 92000
Short Put SP 2350 : 200 @ 6.50 : + 1300
Short Put SP 2360 : 200 @ 26 : + 5200
Short Put SP 2380 : 300 @ 21 : + 6300
Short Put SP 2400 : 700 @ 4.65 : +3255
Short Put SP 2400 : 600 @ 4.80 : +2880
Short Call SP 2480: 200 @ 33.85 : + 6770
Long Call SP 2480: 200 @18.00 : -3600
Short Call SP 2460: 200 @ 29 : + 5800
Total : - 64095

The calculation of profit/loss ( i.e. if fut and options expired today )

Closed out profit of 32000.00
Plus open profit 400 * (2474 - 2347) = 50800.00
Total Profit (closed) 32000.00 + (open) 50800.00 = 82800.00
minus
Long Nifty Put 2000 SP 2340 at 46 = loss (92000.00)
plus
Short Nifty put 200 SP 2350 at 6.50 = 1300.00
plus
Short Nifty put 200 SP 2360 at 26.00 = 5200.00
plus
Short Nifty put 300 SP 2380 at 21.00 = 6300.00
Plus
Short Nifty Put 700 SP 2400 at 4.65 = 3255.00
Plus
Short Nifty Put 600 SP 2400 at 4.80 = 2880.00
plus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2474) = 3000.00
plus
Short Nifty call 200 sp 2480 at 33.85 +Long Nifty Call SP 2480 at 18= 200 * (33.85 - 18) = 3170.00

Total Profit = 82800 - 92000 + 1300 + 5200 + 6300 + 3255 +2880 + 3000+ 3170 = 15905.00

Thanks & Regards

Harish Chheda

 

[chheda]

Hi Harish,

You need to watch like hock, the short call SP2460 as this can change your so-called profit into loss. Although you are long 400 Nifty futures, which are counter acting the loss which can be created by this short position, but still be careful and watch your total risk.

Again I will recommend you to evaluate the trade with what if scenario. Consider that Nifty can again drop 100 points or more in a day. Considering this, you need to know what action, if any, you will take in order to protect your profits and avoid losses.

Good Luck

Hi Harish,

The other alternative is to go short with Nifty futures, by reducing your holdings. This could prove to be very risky and rewarding at the same time.

Please think it thru and prepare your self, do consider permutation and combinations.

Profitable Trading,

Wastej

Hi WasteJ ,

Trade 2380 (i.e Trade where we Sold Nifty call option SP 2380 on 12th Sep. )

Trade Today :
Sold 200 Nifty Fut . at 2490 (Short When Market Bounce with Stop loss 2510 in a view that if market continue its down move it helps us against 2460 short call sold against Long Nifty Fut.)
Plz give your view on this trade decision

To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2482.25 - 2595.85 - 2451.00 - 2474.00
Nifty Put SP 2340 : 2.15 - 2.15 - 2.15 - 2.15
Nifty Put SP 2350 : 7.00 - 7.00 - 1.05 - 3.40
Nifty Put SP 2360 : 4.50 - 4.50 - 4.50 - 4.50
Nifty Put SP 2380 : 5.00 - 7.00 - 5.00 - 7.00
Nifty Put SP 2400 : 9.10 - 12.50 - 4.00 - 6.40
Nifty Call SP 2380 : 50.00 - 50.00 - 50.00 - 50.00
Nifty Call SP 2460: 28.00 - 68.00 - 26.00 - 36.10

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus 200 * (2490 - 2347 ) = 28600.00
open profit 200 * (2474 - 2347) = 25400.00
Total Profit (closed) 32000.00 + 28600 + (open) 25400.00 = 86000.00

Long Nifty Put SP 2340
2000 * (2.15 - 46.00) = (Loss) 87700.00

Short Nifty Put SP 2350
200 * (6.50 - 3.40) = 620.00

Short Nifty Put SP 2360
200 * (26 - 4.50) = 4300.00

Short Nifty Put SP 2380
300 * (21 - 7) = 4200.00

Short Nifty Put SP 2400
1300 * (4.65 - 6.40) = (loss) 2275 .00

Short Nifty call SP 2380
200 * (104 - 50) = 10800.00

Short Nifty call SP 2460
200 * (29 - 36.10) = (Loss) 1420.00

Total Profit = 85800.00 - 87700.00 + 620.00 + 4300.00 + 4200.00 - 2275.00 + 10800.00 - 1420.00 = 14325.00

Open Positions :
Long Nifty Future : 200
Long Put SP 2340 : 2000
Short Put SP 2350 : 200
Short Put SP 2360 : 200
Short Put SP 2380 : 300
Short Put SP 2400 : 1300
Short Call SP 2380: 200
Short Call SP 2460: 200

Paid / Collected Primium in options

Long Put SP 2340 : 2000@ 46 : - 92000
Short Put SP 2350 : 200 @ 6.50: + 1300
Short Put SP 2360 : 200 @ 26 : + 5200
Short Put SP 2380 : 300 @ 21 : + 6300
Short Put SP 2400 : 1300 @ 4.65 : +6045
Short Call SP 2380 : 200 @104 : + 20800
Short Call sp 2460 : 200 @29 : + 5800
Total : - 46555.00

The calculation of profit/loss ( i.e. if fut and options expired today )

Long Nifty Fut
Closed out profit of 32000.00
Plus 200 * (2490 - 2347 ) = 28600.00
open profit 200 * (2474 - 2347) = 25200.00
Total Profit (closed) 32000.00 + 28600 + (open) 25400.00 = 86000.00
minus
Long Nifty Put 2000 SP 2340 at 46 = loss (92000.00)
plus
Short Nifty put 200 SP 2350 at 6.50 = 1300.00
plus
Short Nifty put 200 SP 2360 at 26.00 = 5200.00
plus
Short Nifty put 300 SP 2380 at 21.00 = 6300.00
plus
Short Nifty put 1300 SP 2400 at 4.65 = 6045.00
plus
Short Nifty call 200 sp 2380 at 104.00 = 200 * (2380+104-2474) = 2000.00
plus
Short Nifty call 200 sp 2460 at 29.00 = 200 * (2460+29-2474) = 3000.00

Total Profit = 86000 - 92000 + 1300 + 5200 + 6300 + 6045 + 2000 + 3000 = 17845.00


Thanks & Regards

Harish Chheda

 

[ksvelusamy]

hai friends go thru the latest span margin

 

[ksvelusamy]

hai friends go thru the latest span margin

 

[[email protected]]

Hi Harish,

Action taken by you on your first trade i.e., buying back 200 call of SP2480 is just fine with me, as it does not expose us with any additional risk. Whereas in the second trade selling 200 Nifty futures is not a good idea at all, as it exposes us to the unlimited upside risk on our short call option.

You could have bought that call also, if you had the opportunity, if not they will come your way, be patience and keep ready with your bait.

The whole concept of Delta Neutral Trade is not to expose you with risk.

Regards,

Wastej

 

[[email protected]]

Option Strategy for the day.


Butterfly Spread: The sale (purchase) of two identical options, together with the purchase (sale) of one option with an immediately higher strike, and one option with an immediately lower strike. All options must be the same type, have the same underlying and have the same expiration date.


Wastej

 

[katyare]

hello ,
I am satish.
I m new in this field.
I want proper guidance. Can I get help from any one?

thank you

satish]