INSUBCONTINENT EXCLUSIVE:
By Motilal Oswal SecuritiesOption WritingSTRATEGY 1
Writing against Cash/Future Holding
Sell INDUSINDBK 1620 CE 30-JAN-20 at `11.75
Target
Level : 0.05
Stop Loss Level : `18.10
Gross Monthly Yield : 1.30%
ROI : 5%
Margin : `95,000
Days to Expiry : 18
Writing with Hedging
Leg 1:
Sell INDUSINDBK 1620 CE 30-JAN-20 at `11.75
Leg 2: Buy INDUSINDBK 1700 CE 30-JAN-20 at `4.6
Target Level : 0.05
Stop Loss (Spread) Level :
11.50
Gross Monthly Yield : 0.80%
ROI : 3%
Margin : `93,000
Days to Expiry : 18
STRATEGY 2Writing against Cash/Future Holding
Sell UPL 650
CE 30-JAN-20 at `3.65
Target Level : 0.05
Stop Loss Level : `5.55
Gross Monthly Yield : 1%
ROI : 3.90%
Margin : `84,000
Days to Expiry :
18
Writing with Hedging
Leg 1: Sell UPL 650 CE 30-JAN-20 at `3.65
Leg 2: Buy UPL 680 CE 30-JAN-20 at `1.30
Target Level : 0.05
Stop Loss
(Spread) Level : 3.70
Gross Monthly Yield : 0.65%
ROI : 3.90%
Margin : `83,000
Days to Expiry : 18
Pair TradingSTRATEGY 1
Leg 1: BUY HDFC 1
LOT 30-JAN-20 at `2,467
AND 10 SHARES IN CASH
Leg 2: SELL HDFCBANK 1 LOT 30-JAN-20 at
`1,284.20
Tenure : 7-8 Days
Target Profit : 2.70%
Stop
Loss : 1.35%
Margin : `2,20,000
This pair has 90% correlation over the last few weeks post its ex-corporate action
Pair has trade lot ratio of 0.96 with
price ratio of 1.92
We are expecting the ratio to widen to 1.96-2.05 as per its statistical data.
STRATEGY 2Leg 1: BUY AMBUJACEM 1 LOT 30-JAN-20 at
`212.85 AND
351 SHARES IN CASH
Leg 2: SELL ACC 1 LOT 30-JAN-20 at `1,517.30
Tenure : 7-8 Days
Target Profit : 2.90%
Stop Loss : 1.40%
Margin :
`80,500
This pair has 85% correlation over the last one year
Pair (ACC /AMBUJACEM) has trade lot ratio of 1.14 with price ratio of 7.13
We are expecting the ratio to narrow down as per its 2SD band with the view to continue to outperformance of AMBUJACEM.