Last edited on Saturday 21th January 2021
- Nifty cloased at 14433.7
- Nifty current future closed at 14458.5
- SGX Nifty current futures closed at 14398
- Put Call Ratio (PCR) is 0.62 and it is Bearish.
- Max pain is at 14500, if it drops on monday that is a clear indication of Bearishness.
- INDIAVIX is at 24.01
- Union Budget is on 1st February 2021 because of that market is volatile.
Based on the above data we can say Nifty is bearish and market is volatile. May gap down on Monday 18th January 2021. 13800 acts as good support and 14800 may be a good resistance. Our strategies are based on this support and resistance.
Current expiry is on 21st January 2021
Our view is bearish
Option Prices may change while you place the trades. Place trades after 9:45 AM. Adjustments will be provided if needed. Capital may required more if adjustments are made. Recomend to deploy only 50% of the capital.
- All the strategies are deployed on 18th January 2021
Strategy 1 - Ratio Spread
- Sell 13900 PE x 2 Lots 21st Jan Expiry
- Buy 13950 PE x 1 Lot 21st Jan Expiry
- Sell 14700 CE x 2 Lots 21st Jan Expiry
- Buy 14650 CE x 1 Lot 21st Jan Expiry
Return On Investment (ROI) will be 2% to 3% based on expiry. Capital required is 1.81 Lakhs but hightly recomend to keep at least 2 Lakhs.
Pros - Probability of profit is more.
Cons - Max loss is unlimited. Won't handle IV increase scenario and gives fixed profit. Vega is negative so won't good for highly volatile market.
- 18th January 2021
- 19th January 2021
- 20th January 2021
- 21st January 2021
Total P&L is Rs 3675 which is 2.03% ROI
Strategy 2 - Calendar Ratio Spread
- Sell 13900 PE x 2 Lots 21st Jan Expiry
- Buy 13950 PE x 1 Lot 28st Jan Expiry
- Sell 14700 CE x 2 Lots 21st Jan Expiry
- Buy 14650 CE x 1 Lot 28st Jan Expiry
Return On Investment (ROI) will be 1.3% to 5% based on expiry. Capital required is 1.93 Lakhs but hightly recomend to keep at least 2.5 Lakhs.
Pros - Probability of profit is more. Vega is positive so handles volatility of the market. Increase in IV will increase the Profit if market is in the given range.
Cons - Max loss is unlimited.
- 18th January 2021
- 19th January 2021
- 20th January 2021
- 21st January 2021
Total P&L is Rs 5531 which is 2.86% ROI
Strategy 3 - Calendar Chicken Iron Condor
- Sell 13700 PE x 1 Lot 21st Jan Expiry
- Sell 13750 PE x 1 Lot 21st Jan Expiry
- Buy 13550 PE x 1 Lot 28st Jan Expiry
- Buy 13600 PE x 1 Lot 28st Jan Expiry
- Sell 14750 CE x 1 Lot 21st Jan Expiry
- Sell 14800 CE x 1 Lot 21st Jan Expiry
- Buy 14950 CE x 1 Lot 21st Jan Expiry
- Buy 15000 CE x 1 Lot 21st Jan Expiry
Return On Investment (ROI) will be 0.44% to 21% based on expiry. Capital required is 0.83 Lakhs but hightly recomend to keep at least 1.5 Lakhs.
Pros - Probability of profit is more. Vega is positive so handles volatility of the market at the downside. Increase in IV increase the Profit if market is in the given range or in the slight downside.
Cons - Won't handle upmove and V shape move.
- 18th January 2021
- 19th January 2021
Adjustments: Our view was bearish and the strategy is completely bearish. Today market became superbulish by closing at 14521.15 as I have mentioned the cons of the strategy it won't handle the V shape move. Guess what market moved exactly in the V shape. Nifty rallied around 300 points from yesterdays close. We need to adjust our positions to maximize the profit. By Thursday end Market remains in our range then we will get around Rs 1400 total profit considering the loss by doing the adjustments. Still it will be 1.68% ROI. Adfter the adjustment our strategy becomes an unbalanced Iron condor.
- Buy 13600 PE x 2 Lots 21st Jan Expiry at Rs 1.5
- Exit 13550 PE 28th x 1 Lot Jan Expiry at CMP
- Exit 13600 PE 28th x 1 Lot Jan Expiry at CMP
- 20th January 2021
- 21st January 2021
Total P&L is Rs 1278 which is 1.53% ROI
If you like my blog, let me know in the comments and I will post more this kind of blogs
Thanks and Regards,
Techie VISH 😉.
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