When theory meets with practical - option strategy
I am working on a multi legged option strategy for November 2018. This is an experimental set up. I want to experiment greek behaviors with time, volatility and news. I intentionally did not use any proven strategy like iron condor, Asymmetric iron condor.
This is first time I deployed and managing an option strategy. I am referring Quantsapp for my position Greeks .
Philosophy of this strategy:
1. Create a put calendar spread around 10000 PE. This is a low probability set up as this combination gives maximum profit around 10000 only. To convert the same to high probability set up, sold 10400 CE
2. Global equity market is in downtrend and trading below 200 DMA. So I have created a vertical spread with 9800 PE and 9500 CE.
3. I make one NF long to reduce overall negative delta of the position.
Strikewise position detail
Nifty Future long 1 lot
Nifty Nov 9800 PE long 8 lot
Nifty Nov 9500 PE short 8 lot
Nifty Nov 10400 CE short 4 lot
Nifty Nov 10000 PE short 7 lot
Nifty Dec 10000 PE long 5 lot
Greek values as per Quantsapp.
Delta -69
Theta 1200.2
Vega 1504
Gamma -0.21
Margin used
12 lakh and margin benefits 1.4 lakh
Expected return for next 8 days
Nifty Estimated Return
9500 3400
9800 26100
10040 26500
10200 18000
10310 11340
10400 2000
Nifty spot is at 10124 on 25th Oct 2018 and today's Profit ( -2500)
If I have out this money in bank , I would have got 5000 interest per month post income tax from the same capital. I need to target 10000 per month considering the risk involve in the strategy.
My target is to earn Rs. 8000 from this strategy in first month. My annual target is to double the capital by Dec 2020 using FnO strategy.
Adjustment
1. Will convert this strategy a delta neutral strategy tomorrow by adding another Nifty future.
2. Will do adjustment once nifty spot closed below 9800 or above
3. Will maintain theta to vega ratio >40
4. Will maintain gamma near zero or little positive
5. Will book loss if premium of short position gets doubled
6. Will book profit in short position if 50 % credit realized.
7. Will exit if position loss reach 10,000
Exit rules
1. Will exit once the strategy earns 8000
2. Will exit 26th November to avoid Gamma risk & quick theta decay for long positions in expiry week
3. Will exit if strategy takes more than 13 lakh margin
Update on my monthly income plan on 26th Oct
I am working on a multi legged option strategy for November 2018. This is an experimental set up. I want to experiment greek behaviors with time, volatility and news. I intentionally did not use any proven strategy like iron condor, Asymmetric iron condor.
This is first time I deployed and managing an option strategy. I am referring Quantsapp for my position Greeks .
Philosophy of this strategy:
1. Create a put calendar spread around 10000 PE. This is a low probability set up as this combination gives maximum profit around 10000 only. To convert the same to high probability set up, sold 10400 CE
2. Global equity market is in downtrend and trading below 200 DMA. So I have created a vertical spread with 9800 PE and 9500 CE.
3. I make one NF long to reduce overall negative delta of the position.
Strikewise position detail
Nifty Future long 1 lot
Nifty Nov 9800 PE long 8 lot
Nifty Nov 9500 PE short 8 lot
Nifty Nov 10400 CE short 4 lot
Nifty Nov 10000 PE short 7 lot
Nifty Dec 10000 PE long 5 lot
Greek values as per Quantsapp.
Delta -69
Theta 1200.2
Vega 1504
Gamma -0.21
Margin used
12 lakh and margin benefits 1.4 lakh
Expected return for next 8 days
Nifty Estimated Return
9500 3400
9800 26100
10040 26500
10200 18000
10310 11340
10400 2000
Nifty spot is at 10124 on 25th Oct 2018 and today's Profit ( -2500)
If I have out this money in bank , I would have got 5000 interest per month post income tax from the same capital. I need to target 10000 per month considering the risk involve in the strategy.
My target is to earn Rs. 8000 from this strategy in first month. My annual target is to double the capital by Dec 2020 using FnO strategy.
Adjustment
1. Will convert this strategy a delta neutral strategy tomorrow by adding another Nifty future.
2. Will do adjustment once nifty spot closed below 9800 or above
3. Will maintain theta to vega ratio >40
4. Will maintain gamma near zero or little positive
5. Will book loss if premium of short position gets doubled
6. Will book profit in short position if 50 % credit realized.
7. Will exit if position loss reach 10,000
Exit rules
1. Will exit once the strategy earns 8000
2. Will exit 26th November to avoid Gamma risk & quick theta decay for long positions in expiry week
3. Will exit if strategy takes more than 13 lakh margin
Update on my monthly income plan on 26th Oct
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