By Motilal Oswal SecuritiesOption WritingSTRATEGY 1Writing against Cash/Future HoldingSell INDUSINDBK 1620 CE 30-JAN-20 at `11.75Target Level : 0.05Stop Loss Level : `18.10Gross Monthly Yield : 1.30%ROI : 5%Margin : `95,000Days to Expiry : 18Writing with HedgingLeg 1: Sell INDUSINDBK 1620 CE 30-JAN-20 at `11.75Leg 2: Buy INDUSINDBK 1700 CE 30-JAN-20 at `4.6Target Level : 0.05Stop Loss (Spread) Level : 11.50Gross Monthly Yield : 0.80%ROI : 3%Margin : `93,000Days to Expiry : 18STRATEGY 2Writing against Cash/Future HoldingSell UPL 650 CE 30-JAN-20 at `3.65Target Level : 0.05Stop Loss Level : `5.55Gross Monthly Yield : 1%ROI : 3.90%Margin : `84,000Days to Expiry : 18Writing with HedgingLeg 1: Sell UPL 650 CE 30-JAN-20 at `3.65Leg 2: Buy UPL 680 CE 30-JAN-20 at `1.30Target Level : 0.05Stop Loss (Spread) Level : 3.70Gross Monthly Yield : 0.65%ROI : 3.90%Margin : `83,000Days to Expiry : 18Pair TradingSTRATEGY 1Leg 1: BUY HDFC 1 LOT 30-JAN-20 at `2,467AND 10 SHARES IN CASHLeg 2: SELL HDFCBANK 1 LOT 30-JAN-20 at`1,284.20Tenure : 7-8 DaysTarget Profit : 2.70%Stop Loss : 1.35%Margin : `2,20,000This pair has 90% correlation over the last few weeks post its ex-corporate action.
Pair has trade lot ratio of 0.96 withprice 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 CASHLeg 2: SELL ACC 1 LOT 30-JAN-20 at `1,517.30Tenure : 7-8 DaysTarget Profit : 2.90%Stop Loss : 1.40%Margin : `80,500This 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.