BY MOTILAL OSWAL SECURITIESOption WritingSTRATEGY 1Writing against Cash / Fut HoldingSell PNB 90 CE 28-JUNE-18 at Rs0.25Target Level : 0Stop Loss Level : 0.40Gross Monthly Yield : 2.10per cent ROI : 2.15per cent Margin : Rs46,000Days to Expiry : 4Writing with HedgingLeg 1 : Sell PNB 90 CE 28-JUNE-18 at Rs0.25Leg 2 : Buy PNB 100 CE 28-JUNE-18 at Rs0.10Target Level : 0Stop Loss (Spread) Level : 0.25Gross Monthly Yield : 1.30per cent ROI : 1.30per cent STRATEGY 2Writing against Cash / Future HoldingSell MOTHERSUMI 320 CE 28-JUNE-18 at Rs1.00Target Level : 0Stop Loss Level : 1.50Gross Monthly Yield : 2.30per cent ROI : 2.45per cent Margin : Rs64,500Days to Expiry : 4Writing with HedgingLeg 1 : Sell MOTHERSUMI 320 CE 28-JUNE-18 at Rs1.00Leg 2 : Buy MOTHERSUMI 330 CE 28-JUNE-18 at Rs0.45Target Level : 0Stop Loss (Spread) Level : 0.85Gross Monthly Yield : 0.90per cent ROI : 1.40per cent Margin : Rs63,000Days to Expiry : 4Pair TradingSTRATEGY 1Leg 1 : Buy GODREJCP 1 LOT 28-JUNE-18 at Rs1,169.85Leg 2 : Sell GODREJIND 1 LOT 28-JUNE-18 at Rs607.20Tenure : 4 DaysTarget Profit : 2.45per cent Stop Loss : 1.25 per cent Margin : Rs2,30,500This pair has 88per cent correlation over the last one year.
Pair has Trade lot ratio of 1 with price ratio of 1.93.
As per the statistical data, spread has recovered from its lower zones of the trading band and moving higher, thus expecting its head towards upper band as per its past price behaviour.Pair TradingSTRATEGY 2Leg 1 : Buy HINDUNILVR 1 LOT 28-JUNE-18at Rs1,611.35Leg 2 : Sell DABUR 1 LOT 28-JUNE-18 atRs386.40Tenure : 4 DaysTarget Profi t : 3.10per cent Stop Loss : 1.50per cent This pair has 89per cent correlation over the last one year.Pair has Trade lot ratio of 1 with price ratio of 4.17.
As per the statistical data, spread of pair is narrowing and after the recent data setup it may diverge towards upper band of 2SD zone.