Delta Neutral Strategy (Long Nifty @ Long Puts)

[chheda]

Hi Harish, Joy & Nautilus,

Market will open today. Nothing has changed since yesterday, therefore, no change in the trading plan.

Please trade according to your plans.

Thank you.

Regards,

Wastej

Hi WasteJ ,

FOR NIFTY CALL AND PUT SP 2375 IS NOT AVAILABLE ,SO MAY I SELL 2380 PUT IN PLACE OF 2375.
(AVAILABLE SP FOR NIFTY OPTION ARE 2200 , 2210 , .. , 2300 , 2310 , 2320 , 2330 ,...... I.E. IN ROUND FIG. OF 10)

REGARDS

HARISH CHHEDA

 

[joy_mitali]

Hi WASTEJ,
A per as ur recommendation:
My starting pint of MOCK trade---
30th AUG:2000--- NIFTY2340PUT ---@46
600(6 LOT)-----NIFTYFUT----@2347


8th SEPT:SOLD 300(3LOT)---NIFTY FUT---@2445
Remaining at hand:3LOT---NIFTY2347--SEPT--FUT-----
2000----2340NIFTYPUT----
If u kindly let me know---what I m actually doing(obviusly to bring the delta to approx zero)---holding the PUT options---I will be obliged---
DO caluclate my PROFIT --LOSS PLZ---I m trying to work out--an excel sheet for it--
Hi NAUTILUS---THis fie is especially for u---hope u find it satisfying ur need--
Regards,
joy_mitali

 

[chheda]

Hi WasteJ ,

Today's Trade
As market is looking strong from morning ,I try to sell Nifty Put as it open and try to sell call at the end of day
sold 300 Nifty Put SP 2380 : 21.00
sold 200 Nifty Call SP 2460 : 29.00

To Day's prices (Name : open - high - low - LTP )
Nifty Fut : 2430 - 2448.80 - 2428.70 - 2446.65
Nifty Put SP 2340 : 10 - 10 - 10 - 10
Nifty Put SP 2360 : 14.10 - 14.10 - 14.10 - 14.10
Nifty Put SP 2380 : 21 - 21 - 17 - 17.5
Nifty Call SP 2460: 25 - 30 - 25 - 30

Profit / Loss calc.

Long Nifty Fut
Closed out profit of 32000.00
Plus open profit 400 * (2446.65 - 2347) = 39860.00
Total Profit (closed) 32000.00 + (open) 39860.00 = 71860.00

Long Nifty Put SP 2340
2000 * (10 - 46) = (Loss) 72000.00

Short Nifty Put SP 2360
200 * (26 - 14.10) = 2380.00

Short Nifty Put SP 2380
300 * (21 - 17.50) = 1050.00

Short Nifty call SP 2460
200 * (29 - 30) = (Loss) 100.00

Total Profit = 71860.00 - 72000.00 + 2380.00 + 1050.00 - 100.00 = 3190.00

Open Positions :
Long Nifty Future : 400
Long Put SP 2340 : 2000
Short Put SP 2360 : 200
Short Put SP 2380 : 300
Short Call sp 2460: 200

Thanks & Regards ,

Harish Chheda

 

[nautilus]

Hi WASTEJ,
A per as ur recommendation:
My starting pint of MOCK trade---
30th AUG:2000--- NIFTY2340PUT ---@46
600(6 LOT)-----NIFTYFUT----@2347


8th SEPT:SOLD 300(3LOT)---NIFTY FUT---@2445
Remaining at hand:3LOT---NIFTY2347--SEPT--FUT-----
2000----2340NIFTYPUT----
If u kindly let me know---what I m actually doing(obviusly to bring the delta to approx zero)---holding the PUT options---I will be obliged---
DO caluclate my PROFIT --LOSS PLZ---I m trying to work out--an excel sheet for it--
Hi NAUTILUS---THis fie is especially for u---hope u find it satisfying ur need--
Regards,
joy_mitali

Hi Joy:

Thanks for the excel sheet. Unfortunately I still cannot find the following option prices that Wastej wants me to execute. I am required to execute the following in my part of Delta neutral trade they are:

1) Sell 200 Sep calls SP 2480
2) Sell 1000 Sep puts SP 2330

Any assistance that Harish or yourself could offer would be most appreciated. May be I am missing it on the spread sheet that you have posted but I have checked it about five times before sending you this.

Sorry to be a pain!

Regards

Nautilus

 

[nautilus]

Hi Wastej, Joy & Harish:

I think I finally found the prices from the link Harish had sent me and I assume they are correct so here goes the valuation:

Closed out profits on Sep futures sofar = Rs 46,600
Open profits on Sep futures= 200x(2446.65-2347) = Rs 19,930
Open loss on Sep puts SP (2340) = 2000x(10.50-46) = Rs (71,000)

Total Loss = Rs (4470)

New positions:

sold 1000 Sep puts SP (2330) @ 10.50 - no profit or loss on close
Sold 200 Sep calls SP (2480) @ 21.55 - no profit or loss on close

As closing prices were identical.

Total Open positions:

200 Long Sep Futures @ 2347
2000 Long Sep Puts SP (2340) @ 46
1000 Short Sep puts SP (2330) @ 21.55
200 short Sep Calls SP (2480) @ 10.50

Please suggest corrections in prices if you find any mistakes.

Thanks and regards

Nautilus

 

[joy_mitali]

Hi Nautilus,
If I had missed them---I will make it sure---thatr they r included from tomorrow---
Actually----2330PUT---has not traded today---The other I m not sure---
Regards,
joy_mitali

 

[nautilus]

Hi Nautilus,
If I had missed them---I will make it sure---thatr they r included from tomorrow---
Actually----2330PUT---has not traded today---The other I m not sure---
Regards,
joy_mitali

Joy Hi:

I really appreciate your support on this trade.

Thanks.

Nautilus

 

[[email protected]]

Hi Joy_Mitali,

"Joy, please sell 300 Nifty future calls options (3 Contracts) of Nifty futures at Strike Price of 2465. Beside call options try to sell 400 Put Options with SP of 2375 and get maximum possible premium out of it. Every thing else remains the same."

Above was the trading plan for you, what happened? Did you change your mind, if so, please share with us your reasons to do so.

I will be glad to explain the delta of the trade once you post the results of your trade, either the one I wanted you to do as quoted above or the one, which you decided to do of your own. I am cool with either trading plan.

Regards,

Wastej

 

[[email protected]]

Hi Harish,

You are doing very well please keep it up. Nifty has been going up without showing any sign of fatigue. To take profits from Nifty going north, we have only left with 200 Long futures (uncommitted). So we will try to get the maximum benefits from this position, I would like you to sell 200 Calls (2 Contracts) SP 2380 only if Nifty makes bullish move from current levels, at least 20points (2468). If it makes a bearish move of more than 20 points than you can sell 200 Puts SP2360. On every additional down move of 20points of Nifty futures, please sell additional 200 Put options of SP2360.

You are doing excellent job,

Good Luck,

Wastej

 

[[email protected]]

Hi Nautilus,

Thank you for conducting the trade in excellent manner. If you look at your holdings, you will find that you are still holding 1000 Put options that are not committed as yet. What I would like you to do is to watch the market and if it corrects, at least 25 points or more, then try to sell 200 Put Options of SP2350. Make sure that the premium you take in is greater than ten rupees. If premium is not available then no action is needed. You can even go and sell higher amount of put options but need to be sure of one thing that is to take more premiums then the difference in the strike price. Example: you are holding 2340 puts and when you want to sell 2360 put options then the premium must be greater than 20 rupees (difference between the strike prices of the two options). If the correction is deeper, you can go and sell 400 put options instead of 200 as mentioned earlier.

Look at your holdings and think it thru, you will see that the trade is still imbalanced and by taking the action explained we will steer it towards neutral position.

Once again thank you for excellent work.

Regards,

Wastej