iCharts Discussions

[Alchemist]

[Alchemist]

Today BNF was bullish and closed at 19826 which is against our positions. Lets see what it did to our M2M situation and if Delta hedging helped us or not.

Banknifty future shorted at 19645, LTP 19826
BNF 19500 PE (27OCT) sold at 300, LTP 252
BNF 19000 PE (27OCT) sold at 162, LTP 126
BNF 18500 PE (27OCT) sold at 86, LTP 63


Future is running in 181 points loss, however option profit is 48+36+23 = 107

What it means is that Delta is not close to 1 as our loss is higher than profit hence to make Delta closer to 1, I sold another option 19300PE at LTP 189

Now total credit in pocket from selling options is 548 + 189 = 737 points

This means our Delta is now around 0.8 which means that for every 100 point rise in BNF, I will make 80 points profit in options hence actually losing only 20 points .....

Options Delta can be calculated using http://www.niftytrader.in/option-pricing-calculator/

Use interest rate as 10%, IV as 18% (or get it from nseindia.com under option chain as IV can be slightly different for different strike prices)


Cheers
SH

[RishiArora]

[Alchemist]

What a day today, mkts spooked by India's surgical strike and BNF nosedived, kind of a black swan event. As we know, days of huge volatility means options IV goes up and hence option prices also go up which is bad for option selling.

Lets see what it did to our position.

Banknifty future shorted at 19645, LTP 19182
BNF 19500 PE (27OCT) sold at 300, LTP 500
BNF19300 PE (27OCT) sold at 189, LTP 384
BNF 19000 PE (27OCT) sold at 162, LTP 296
BNF 18500 PE (27OCT) sold at 86, LTP 164


Future is running in 463 points profit, however option loss is 200 + 196 + 134+78 = 608 points.

This 145 point loss is because the IVs of all options went up due to volatility as well as 19500 and 19300 PE became ITM in the same day due to this black swan event.

I will hold this position tomorrow as well to see if mkt volatility brings down IVs and then adjust the position (Delta of options is above 1 now hence need for adjustment),

Cheers
SH

[Alchemist]

BNF stayed mildly bullish today which is the sign of mkts calming down after getting spooked yesterday.

AS yesterday was BNF expiry, I had to exit BNF fut short yesterday at closing price 19182 which gave me 463 points profit. However I rolled over and sold BNF October series at 19360.

So at todays close the position is like below.

BNF Future short at 19360, LTP 19437
BNF 19500 PE (27OCT) sold at 300, LTP 455
BNF19300 PE (27OCT) sold at 189, LTP 370
BNF 19000 PE (27OCT) sold at 162, LTP 264
BNF 18500 PE (27OCT) sold at 86, LTP 148
Sep BNF future profit booked 463 points

So M2M as of today = 463-77-155-81-102-62 = 14 point loss

With one day of small upmove, our M2M loss has come down from 145 yesterday to only 14 points today. So in a way we earned 131 points today even if BNF moved up by only 77 points.

Now we have a weekend so expect further time decay on Monday and hopefully this 14 point loss turns into a small profit if BNF remains sideways or midly bullish.

Cheers
SH

[rrsekhar]

Sir,

Is the selection of strike price based on any reason or calculation?

regards
rrsekhar

pls pardon if the question sounds silly

[paa]

Please suggest: can i take position in next month future & current month options

Regards
Parmod

[Alchemist]

[Alchemist]

As tomorrow is RBI policy , I have bought 19600 CE at 156 (6th Oct series) to hedge for any wild upmove. Rest of the position is held as is.

Cheers
SH

[JANKI18]

[Alchemist]

[Alchemist]

Squaring off 18500 PE short leg now as currently trading at 48 and Delta is below 0.1 (not much juice left)

Current position is below now at 9.37 AM

Open positions
BNF Future short at 19360, LTP 19795
BNF 19500 PE (27OCT) sold at 300, LTP 218
BNF19300 PE (27OCT) sold at 189, LTP 161
BNF 19000 PE (27OCT) sold at 162, LTP 103

Closed positions P&L booked
Sep BNF future profit booked 463 points
19600 CE profit booked 50 points.
BNF 18500 PE (27OCT) booked 38 points profit

If BNF continues to go up today .. I might short 19600 PE to add to my bullish positions to hedge my shorted BNF

Cheers
SH

[Alchemist]

BNF closed at 19601 today (194 points down today) and BNF spot closed at 19507

Lets see what it did to my positions

Open positions
BNF Future short at 19360, LTP 19601
BNF 19500 PE (27OCT) sold at 300, LTP 289
BNF19300 PE (27OCT) sold at 189, LTP 222
BNF 19000 PE (27OCT) sold at 162, LTP 139

Closed positions P&L already booked
Sep BNF future profit booked 463 points
19600 CE profit booked 50 points.
BNF 18500 PE (27OCT) booked 38 points profit

If I was to close all positions today , my P&L will be:

463+50+38-241+11-33+23 = 311 points profit


But I want more hence all open positions carried.

Cheers
SH

[pkholla]

No need to reply again:
Alchemist: pls pardon my ignorance but ...
lets leave alone your Sept trading which gave 463 pts profit, OK?
October finds you with 152 pts loss at this point of time (incl closed positions)
Cheers, Prakash Holla

Understood. Thanks. Dont want to waste space with a new post

[Alchemist]

pkholla - please read my previous post carefully ...... Oct series trade is in 311 points profit.

This is in addition to the 596 points profit I made in Sep series position (read 26 Sep post for the same.

You cant see the current open positions in isolation as this strategy demands booking profits whenever Delta goes above 1 so you need to look at current open positions along with positions where profit might have been booked.

Please remember in current trade when I rolled over Sep BNF to Oct BNF, it will automatically show loss as when i rolled over all Oct sold puts were already in loss (offset by profits in BNF Sep shorts).

Hope this is clear.


Cheers
SH