Hi Gunsho,
Browsed through linkon's thread, a very elaborate, intense, advanced and informative at that.
It has drafted out some really nice techniques and thought processes to gain maximum profits. At one point the focus shifted from simply gaining from time decay of the shorted option pair to maximizing profits from NF. Now, that is a twist in the tale.
One snippet from the thread:
3400 CE bought at 230 has a current price of Rs. 234 is at a loss of Rs. -400
3400 PE bought at 215 has a current price of Rs. 148 is at a profit of Rs.6700
Nifty Futures long Innitiated at the averaged price of 3253 has a current price of Rs. 3473 is at a profit of Rs. 22000
Total = profit of Rs. 28300
Total profit is Rs.28300; out of that NF profit is 22000 and rest is of Options. This thread is trading futures aggressively. And that was possible in 2009... now the market is different, moves are sluggish and few and far between.
I have resorted to using a really broad timeframe to trade futures. So that, I have fewer futures trades. Hence, the focus will be only singular "defending the shorted pair". At month end, our majority profit will be from the option pair credit... that is around 175 points only. A little too simple... but easy (or so I think)