Dear Rajendra Chavan
you been excellent on your on going strategy...
off late I discovered this
http://www.traderji.com/options/28235-good-profit-hedged-nifty-positions-straddle.html#post301893
this and your strategy is having same scheme but there are some interesting differences like-
No 1-
you went with OTM short strangle at max OI to fund your directional options play
he went with ATM short strangle where the fund is more to play with it as well as ATM have more time decay and most of premium eroding
No 2-
you are playing with options to capture the direction
he is playing directly with futures where premium eroding which will happen on your long option is not there and you can capture more directionally
No 3- more importantly
Remember I was mentioning a covered call or put to you
But here its a mixture of your idea as well as mine as
his strategy act as protected covered call or protected covered put
its a WIN WIN situation if you simulate and see one
No 4-
My addition to this system is that one can close the old ATM short straddle when underlying moves to next strike only to open an other ATM short straddle
risk skew is something that i need to study on both during huge gaps ... can you share your inputs once you are free as you been observing this kind of a trade since long?
Thanks you rajendra chavan & linkon7