Low Risk Low Returns- Target 50 NF per month per NF Lot

jamit_05

Well-Known Member
Cost per set is a little more... because NF also has a premium component which decays by around 50 pts a month.

So our cost is
NF decay + PE leg 1 cost + PE leg 2 cost + Profit
50 + 225 +225 + 50 = 550

This doesn't have to be precise, you can round it off to 600.
Moreover, your selling points too do not have to be precisely at 100 point increase. This is to make sure that one doesnt sell too much too close, this could be very profitable or damaging, either way we want to gamble as least as possible. Therefore, I simply chose to sell at EOD, and place orders to sell PEs a little lower (or Buy NF at 25 pts correction). I have run some backtesting which says that two consecutive days average overlapping is almost 45% of ATR. So that is a powerful indication.
 

angira

Well-Known Member
Thanks


In back testing, I have seen back to back three months closing at same rate, means no movement. This is 100% loss three times, irrecoverable. Therefore holding till expiry is not advisable.

I will therefore sell one leg, and buyback other leg at a difference.

If difference becomes large due to time decay, will wait a few days after sale.
If not, then buyback intraday.
Thanks for sharing, Jamitbhai
 

jamit_05

Well-Known Member
total gain so far: 159+25 = 184 pts

Balance stock
Buy 6 lots NF Feb @ 10970
Buy 10 lots FEB PE 10900 @ 225

Buy 3 lots NF Feb @ 10895 (spot 10818)
Buy 3 lots Feb PE 10800 @ 205

Buy 3 lots NF Feb @ 10907
Buy 6 lots Feb PE 10900 @ 218

Sell 10900 PE 240
Sell 10900 PE 230
Sell Feb PE 10800 192
Sell Feb PE 10800 192

sell feb pe 10800 199 (pLOD)
sell feb pe 10800 220 (30 min ema support)
sell feb pe 10900 265 (pLOD)

sell feb pe 10900 275 (pLOD)
 
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jamit_05

Well-Known Member
Total gain so far: 159+25 = 184 pts

Balance stock
Buy 6 lots NF Feb @ 10970
Buy 3 lots NF Feb @ 10895 (spot 10818)
Buy 3 lots NF Feb @ 10907
-------------
12 NF

Buy 3 lots Feb PE 10800 @ 205
Buy 10 lots FEB PE 10900 @ 225
Buy 6 lots Feb PE 10900 @ 218
Buy 3 lots Feb PE 10800 @ 210 (added to balance delta)
------------
22 PEs

Considering cost of 50pts per NF. Total investment, inclusive of 500pts profit, is 6000 points.


Sell 10900 PE 240
Sell 10900 PE 230
Sell Feb PE 10800 192
Sell Feb PE 10800 192
sell feb pe 10800 199 (pLOD)
sell feb pe 10800 220 (30 min ema support)
sell feb pe 10900 265 (pLOD)
sell feb pe 10900 275 (pLOD)
------
8 PEs sold
Total 1800

Balance 4200.

Trade is Delta neutral. Proper 1 : 2.50 ratio
 
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jamit_05

Well-Known Member
Balance stock

Buy 6 lots NF Feb @ 10970
Buy 3 lots NF Feb @ 10895 (spot 10818)
Buy 3 lots NF Feb @ 10907
-------------
12 NF

Buy 3 lots Feb PE 10800 @ 205
Buy 10 lots FEB PE 10900 @ 225
Buy 6 lots Feb PE 10900 @ 218
Buy 3 lots Feb PE 10800 @ 210 (added to balance delta)
Buy 8 lots Feb PE 10800 @ 210
------------
30 PEs

Total Cost: 615 + 2250 + 1310 + 2310 = 6500 + 500 (profit) = 7000 points.

Trade is Delta neutral.
NF : PEs = 1 : 2.50

SELL 1 lot FEB PE 10900 @ 287
 
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jamit_05

Well-Known Member
Balance stock

Buy 6 lots NF Feb @ 10970
Buy 3 lots NF Feb @ 10895 (spot 10818)
Buy 3 lots NF Feb @ 10907
-------------
12 NF

Buy 3 lots Feb PE 10800 @ 205
Buy 10 lots FEB PE 10900 @ 225
Buy 6 lots Feb PE 10900 @ 218
Buy 3 lots Feb PE 10800 @ 210 (added to balance delta)
Buy 8 lots Feb PE 10800 @ 210
------------
30 PEs

Total Cost: 615 + 2250 + 1310 + 2310 = 6500 + 500 (profit) = 7000 points.

Trade is Delta neutral.
NF : PEs = 1 : 2.50

SELL 1 lot FEB PE 10900 @ 287
SELL 1 lot FEB PE 10900 @ 297
SELL 1 lot NF Feb @ 10,953
SELL 1 lot CE Feb 10900 @ 255
 
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jamit_05

Well-Known Member
Set #8
--------

Buy 5 lots Jan 10900 CEs 204
Buy 5 lots Jan 10900 PEs 168

Sell Jan 10850 PE 160
Sell Jan 10800 PE 173
Sell Jan 10750 PE 175
Sell Jan 10700 PE 199

@angira
This looks like its in a bad spot. This is what happens when you buy and simply hold.
CEs are now 142
PEs are 118.

Now the market better go upwards till expiry, else we will lose a lot.
 

jamit_05

Well-Known Member
Balance stock

Buy 6 lots NF Feb @ 10970
Buy 3 lots NF Feb @ 10895 (spot 10818)
Buy 3 lots NF Feb @ 10907
-------------
12 NF

Buy 3 lots Feb PE 10800 @ 205
Buy 10 lots FEB PE 10900 @ 225
Buy 6 lots Feb PE 10900 @ 218
Buy 3 lots Feb PE 10800 @ 210 (added to balance delta)
Buy 8 lots Feb PE 10800 @ 210
------------
30 PEs

Total Cost: 615 + 2250 + 1310 + 2310 = 6500 + 500 (profit) = 7000 points.

Trade is Delta neutral.
NF : PEs = 1 : 2.50

SELL 1 lot FEB PE 10900 @ 287
SELL 1 lot FEB PE 10900 @ 297
SELL 1 lot NF Feb @ 10,953

SELL 1 lot CE Feb 10900 @ 255
SELL 1 lot NF Feb @ 10,947

BUY 2 LOTs PE FEB 10700 @ 146 * 2 = 300 pts
(expectation is that, if market goes further down to daily ema, we will get additional 100 points.)
Now is a good time to leg in the trades.. so that when market goes trending, we can leg out.
 
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jamit_05

Well-Known Member
Balance stock

Buy 6 lots NF Feb @ 10970
Buy 3 lots NF Feb @ 10895 (spot 10818)
Buy 3 lots NF Feb @ 10907
-------------
12 NF

Buy 3 lots Feb PE 10800 @ 205
Buy 10 lots FEB PE 10900 @ 225
Buy 6 lots Feb PE 10900 @ 218
Buy 3 lots Feb PE 10800 @ 210 (added to balance delta)
Buy 8 lots Feb PE 10800 @ 210
------------
30 PEs

Total Cost: 615 + 2250 + 1310 + 2310 = 6500 + 500 (profit) = 7000 points.

Trade is Delta neutral.
NF : PEs = 1 : 2.50

SELL 1 lot FEB PE 10900 @ 287
SELL 1 lot FEB PE 10900 @ 297
SELL 1 lot NF Feb @ 10,953

SELL 1 lot CE Feb 10900 @ 255
SELL 1 lot NF Feb @ 10,947

Sold 1 lot NF Feb @ 11010 (corresponding to spot 10950)
Sold 1 lot NF Feb @ 11049 (corresponding to spot 11000)

BUY 2 LOTs PE FEB 10700 @ 146 * 2 = 300 pts
(expectation is that, if market goes further down to daily ema, we will get additional 100 points.)
Now is a good time to leg in the trades.. so that when market goes trending, we can leg out.
 
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