Paper Trading Nifty Straddles

[bandlab2]

if the intention is not to carry to april, then i would buy protection only on downside. i can live with upside risk till march expiry. if we go for both sides hedging then your profit will be very less by march expiry

 

[dumdum20008]

if the intention is not to carry to april, then i would buy protection only on downside. i can live with upside risk till march expiry. if we go for both sides hedging then your profit will be very less by march expiry

Yes bro, one can leave upper bound given the prevailing bearish conditions ( in real i too would done so or even more, im just coming on that) but for a test paper trade for all ( every one here ) let the both protection run.
[ some times, month of march and december have very hectic activities by MF/FI/LongDatedHedgers]

"Even more" in real trading i would have gone for saving the money spent on downside protection i.e.

Buy 2400 PE MARCH @ 32
Sell 2800 CE MARCH @ 31

and now obtaining nett premium

344 - 1 = 343.

But thats all with my risk taking capacity and hence a personal factor, may not be liked by everyone.

 

[arnav_rulz]

Hi,

here is straddle with protection till mar 09 expiry.

(prices are from last bid/ask in my rkg terminal)

2600 CE APRIL = 182
2600 PE APRIL = 162

Sold for 182 + 162 = 344

Now Protection side ( 200 DOWN and 200 UP, time is much more so upside also need protection)

2800 CE MARCH = 31
2400 PE MARCH = 32

Bought for 31 + 32 = 63

Nett Premium Recd. 344 - 63 = 281

[ 81 points excess value than protection levels ( 281 -200) make this more attractive, as position seems win-win whatever decisive value beyond protection range NF can take till March 09 expiry]

lets see what unfolds.

At first glance, it looked amazing trade to me to see that with worst case move of 200 points in either direction, we will still be up 81 rs. But when I looked at the contract details, then I noticed that the hedge is available only till march expiry whereas the base trade is till april end.
As per my understanding, it will give us good sleep till march expiry but on very next day, we will be exposed to big loss on April position because one of the short leg will be deep deep ITM (almost by 10% at nifty spot level).

Are you also keeping the option of cutting the position, if it goes against us (as Bandlab has 50% of premium lost as stoploss limit) ?

Happy Trading

Well this Looks like a Very safe and Nice strategy to me.. But if you think Of squaring it off by march expiry he max gain and loss is very less but worth it looking @ the risk reward ratio.

Let us try and analyse the situation by taking the Probable premium of April Options @ diff closes on march Expiry.

A)Total Net premium collected = 280. or lets make it 270 after brokerages n taxes.

Now lets say market closes @

1)2600- At this Price both 2600 April Pe And Ce should trade at a price of around 120-125. So a profit of 20-30 points

2)2500 - 2600 pe should trade @170-175 and 2600 Ce @ 70-75 So Again a profit of around 10 odd points..

3)2400(worst case) - 2600 Pe should trade somewhere around 245 and 2600 Ce @ 45. So a loss of 20 points.

But below 2400 We will gain 1(from our march Put we brought) point per 1 point lost by Nifty, and although 2600 pe will also be gaining, it wont gain exact 1 point as some ITM premium will get less + the value of the 2600 Call also reduce.

So a close of say ->

4)2200 - 2600 Pe = 420 ? and 2600 call @ 20 = 440. 440-270 =170 . We gain 200 from 2600 Put brought so Overall a Profit of 30 points.

5)2300 - 2600 Pe = 330 And 2600 Call @ 30. 330+30-270-100 = Gain of 10 points.

Well this will according to me be the situation @ diff situation (taking markets stays below 2600 @ close..) Lets see how it goes.


*honestly if the market is near 2400 a week before expiry, my advice would be to close all your positions then only and that way most prolly you may end up gaining only as per my experience in options..

Ppl shouldn't expect Big gains from this.. but looking at the chances of your loss, it provides a favourable Risk reward ratio.

The only problem ppl might have(as exp by me in 1 of the threads started by me) with strategy is the amount of margin that remains blocked during the whole month and the return you get on it.. So This strategy is more suitable for ppl Who Have no Margin problems and best for ppl who have given their stocks as margins..


cheers

 

[dumdum20008]

Well this Looks like a Very safe and Nice strategy to me.. But if you think Of squaring it off by march expiry he max gain and loss is very less but worth it looking @ the risk reward ratio.

Let us try and analyse the situation by taking the Probable premium of April Options @ diff closes on march Expiry.

A)Total Net premium collected = 280. or lets make it 270 after brokerages n taxes.

Now lets say market closes @

1)2600- At this Price both 2600 April Pe And Ce should trade at a price of around 120-125. So a profit of 20-30 points

2)2500 - 2600 pe should trade @170-175 and 2600 Ce @ 70-75 So Again a profit of around 10 odd points..

3)2400(worst case) - 2600 Pe should trade somewhere around 245 and 2600 Ce @ 45. So a loss of 20 points.

But below 2400 We will gain 1(from our march Put we brought) point per 1 point lost by Nifty, and although 2600 pe will also be gaining, it wont gain exact 1 point as some ITM premium will get less + the value of the 2600 Call also reduce.

So a close of say ->

4)2200 - 2600 Pe = 420 ? and 2600 call @ 20 = 440. 440-270 =170 . We gain 200 from 2600 Put brought so Overall a Profit of 30 points.

5)2300 - 2600 Pe = 330 And 2600 Call @ 30. 330+30-270-100 = Gain of 10 points.

Well this will according to me be the situation @ diff situation (taking markets stays below 2600 @ close..) Lets see how it goes.


*honestly if the market is near 2400 a week before expiry, my advice would be to close all your positions then only and that way most prolly you may end up gaining only as per my experience in options..

Ppl shouldn't expect Big gains from this.. but looking at the chances of your loss, it provides a favourable Risk reward ratio.

The only problem ppl might have(as exp by me in 1 of the threads started by me) with strategy is the amount of margin that remains blocked during the whole month and the return you get on it.. So This strategy is more suitable for ppl Who Have no Margin problems and best for ppl who have given their stocks as margins..


cheers

thanx arnav for your insight.
Lets wait n watch, how situations unfolds. This experiment is going to be lot usefull for me. Probably it will give a profit of 40 points near the start of last week of march expiry.

 

[bandlab2]

update as of mar 06

strategy 1 : sold straddle for premium 294..at EOD total value 168.. PROFIT=128points, we are nearing our 50% target, on monay we need market to be green

Strategy 2: bought 2700 stradle today for 198 rs . at EOD total value 168. Loss= 30 rs

 

[arvindhbadri]

bandlab
is there any possibility of getting historical options data ..tried to google it but of no avail...

 

[Pattel]

bandlab
is there any possibility of getting historical options data ..tried to google it but of no avail...

Try this yah00group data till Jan 2009 is available

http://in.groups.yah00.com/group/bse-nse2005/files/

 

[dumdum20008]

bandlab
is there any possibility of getting historical options data ..tried to google it but of no avail...

EOD data for options is easily available on NSE site. Use

http://www.nseindia.com/content/fo/fo_contractsdata.htm

here is history of 5800 CE of jan-08 expiry.
where gone those golden days ? atleast those levels deserve a tribute
"21 topon ki salami" to 5800 CE 31JAN-08 , mightmare journy from high of 580 to 5 paisa in 17 trading days.

 

[sumeetsj]

Well this Looks like a Very safe and Nice strategy to me.. But if you think Of squaring it off by march expiry he max gain and loss is very less but worth it looking @ the risk reward ratio.

Let us try and analyse the situation by taking the Probable premium of April Options @ diff closes on march Expiry.

A)Total Net premium collected = 280. or lets make it 270 after brokerages n taxes.

Now lets say market closes @

1)2600- At this Price both 2600 April Pe And Ce should trade at a price of around 120-125. So a profit of 20-30 points

2)2500 - 2600 pe should trade @170-175 and 2600 Ce @ 70-75 So Again a profit of around 10 odd points..

3)2400(worst case) - 2600 Pe should trade somewhere around 245 and 2600 Ce @ 45. So a loss of 20 points.

But below 2400 We will gain 1(from our march Put we brought) point per 1 point lost by Nifty, and although 2600 pe will also be gaining, it wont gain exact 1 point as some ITM premium will get less + the value of the 2600 Call also reduce.

So a close of say ->

4)2200 - 2600 Pe = 420 ? and 2600 call @ 20 = 440. 440-270 =170 . We gain 200 from 2600 Put brought so Overall a Profit of 30 points.

5)2300 - 2600 Pe = 330 And 2600 Call @ 30. 330+30-270-100 = Gain of 10 points.

Well this will according to me be the situation @ diff situation (taking markets stays below 2600 @ close..) Lets see how it goes.


*honestly if the market is near 2400 a week before expiry, my advice would be to close all your positions then only and that way most prolly you may end up gaining only as per my experience in options..

Ppl shouldn't expect Big gains from this.. but looking at the chances of your loss, it provides a favourable Risk reward ratio.

The only problem ppl might have(as exp by me in 1 of the threads started by me) with strategy is the amount of margin that remains blocked during the whole month and the return you get on it.. So This strategy is more suitable for ppl Who Have no Margin problems and best for ppl who have given their stocks as margins..


cheers

The beauty of Options trades is that you need not worry about the direction of market if you are taking positions based on neutral strategies. Well one can prove me wrong by saying that what if in the above scenario Nifty levels exceed on any side more than the premium collected ? My answer is this -

One can open another leg of trade to manage his position. If Nifty goes in one direction, say on the downside, as the level approaches Short one Nifty future with strict stop loss of maybe say 2%. Similarly on the upside go long with a strict stop loss. One thing is to be remembered that the lots of Nifty futures shorted or bought should be same as the no of lots of calls or puts shorted initially and of the same expiry. Rightly said by Arnav that the strategy is good for ppl with no margin problems. But this is an Income strategy where in one can generate a regular income employing some capital.

Comments and suggestion welcome.

Sumeet Jain
[email protected]

 

[bandlab2]

squared off strategy 1 at today open at 146 !!! 50 % profit done !!!!