Home Market Top quant strategies for the week ahead

Top quant strategies for the week ahead

250
0
SHARE

By MOTILAL OSWAL SECURITIES

Option Writing

STRATEGY 1
Writing against Cash / Future Holding

Sell TATA STEEL 670 CE 25-OCTOBER-18 @ 8.70
Target Level : 0.70
Stop Loss Level : 12.70
Gross Monthly Yield : 1.70 per cent
ROI : 9.75 per cent
Margin : Rs 87,000
Days to Expiry : 25

Writing with Hedging
Leg 1: Sell TATA STEEL 670 CE 25-OCT-18 @ 8.70
Leg 2: Buy TATA STEEL 700 CE 25-OCT-18 @ 1.65
Target Level : 1.05
Stop Loss (Spread) Level : 10.10
Gross Monthly Yield : 1.25 per cent
ROI : 7.65 per cent
Margin : Rs 83,000
Days to Expiry : 25

STRATEGY 2
Writing against Cash / Future Holding
Sell TVSMOTOR 600 CE 25-OCT-18 @ 8.20
Target Level : 1.20
Stop Loss Level : 12
Gross Monthly Yield : 1.50 per cent
ROI : 8.25 per cent
Margin : Rs 85,000
Days to Expiry : 25

Writing with Hedging
Leg 1 : Sell TVSMOTOR 600 CE 25-OCT-18 @ 8.20
Leg 2 : Buy TVSMOTOR 640 CE 25-OCT-18 @ 2.85
Target Level : 0.75
Stop Loss (Spread) Level : 8.10
Gross Monthly Yield : 1.20 per cent
ROI : 6.65 per cent
Margin : Rs 80,500
Days to Expiry : 25

Pair Trading
STRATEGY 1
Leg 1 : BUY INDUSIND BANK 1 LOT
25-OCTOBER-18 @ 1693.65
Leg 2 : SELL BHARATFIN 1 LOT
25-OCTOBER-18 @ 1043.40
Tenure : 6-7 Days
Target Profi t : 3.15 per cent
Stop Loss : 1.65 per cent
Margin : Rs 1,55,000

This pair has 93 per cent correlation over the last one year. It has Trade lot ratio of 1 with price ratio of 1.62. Spread is trading at 45 per cent band of its 2 Standard Deviation and has been moving in tandem for last ten months since November 2017 and as per recent swing in price some divergence and deviation in pair could be seen towards its under performance of Bharatfin.

Pair Trading
STRATEGY 2
Leg 1: BUY HINDUNILVR 1 LOT 25-OCT-18 @ 1614.05
Leg 2: SELL DABUR 1 LOT 25-OCT-18 @ 428.15
Tenure : 6-7 Days
Target Profi t : 3.80 per cent
Stop Loss : 1.95 per cent
Margin : Rs 3,10,000

This pair has 92 per cent correlation over the last one year. Pair has Trade lot ratio of 1.1 with price ratio of 3.77. 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.

Original Article

LEAVE A REPLY

Please enter your comment!
Please enter your name here