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Delta neutral Theta biased trading |
Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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Post: #211  Posted: Thu Mar 23, 2017 2:40 pm Post subject: Re: ? |
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| pkholla wrote: | [Exited all positions this morning for current month]
Alchemist: I understand from your posts that TV falls the most during last few days before NF/BNF close on last Thu of the month
They WHY are you exiting March options with 6 trading days still left??
Cheers, Prakash Holla |
because the premiums for this month even at ATM strike price are not big enough to cover for any massive gap ups or gap downs for the next 6 days. My strategy tries to avoid any major overnite risks.
Cheers
SH |
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amitagg
Black Belt
Joined: 01 Oct 2013
Posts: 4559
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| Post: #212 Posted: Thu Mar 23, 2017 8:10 pm Post subject: |
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| Alchemist wrote: | A quick summary of results of all trades taken in this thread since Sep 16
Sep trade : BNF profit booked 596 points
Oct trade : BNF profit booked 465 points
Nov trade : BNF 50 points profit (800 points if I include puts bought)
Dec 2 trades : BNF 90 points profit (just held for one day) & Nifty 365 points profit
Jan trade : BNF 464 points profit
Feb Trade : BNF 437 points profit
March Trade : BNF 463 points profit
Every month has been a profitable month till now since last 7 months , thats the magic of delta neutral strategy.
Cheers
SH |
Just a cursory check on what's the capital ( required to be) deployed in terms of when "max positions" during any point of time in the month was reached AND expected percentage (%) return on this strategy that "can be obtained" ( approximate only) PER MONTH ( by originator with limited slippages) |
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amitagg
Black Belt
Joined: 01 Oct 2013
Posts: 4559
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| Post: #213 Posted: Thu Mar 23, 2017 8:11 pm Post subject: |
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| Alchemist wrote: | A quick summary of results of all trades taken in this thread since Sep 16
Sep trade : BNF profit booked 596 points
Oct trade : BNF profit booked 465 points
Nov trade : BNF 50 points profit (800 points if I include puts bought)
Dec 2 trades : BNF 90 points profit (just held for one day) & Nifty 365 points profit
Jan trade : BNF 464 points profit
Feb Trade : BNF 437 points profit
March Trade : BNF 463 points profit
Every month has been a profitable month till now since last 7 months , thats the magic of delta neutral strategy.
Cheers
SH |
Just a cursory check on what's the capital ( required to be) deployed in terms of when "max positions" during any point of time in the month was reached AND expected percentage (%) return on this strategy that "can be obtained" ( approximate only) PER MONTH ( by originator with limited slippages) |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #214 Posted: Fri Mar 24, 2017 11:04 am Post subject: |
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Hi Amitagg
Minimum capital required is 2.5 Lakh (as we have 4 BNF legs open at any given point of time).
Returns are roughly 8% to 10% per month i.e double the money in 6-8 months if you compound and increase your trade size with profits earned per month.
My trading partners had deployed 10L to this strategy in Sep and now they are sitting on 19L in 7 months for an example.
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #215 Posted: Mon Mar 27, 2017 3:34 pm Post subject: |
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Strategy for April started today, I will be updating all my trades at day end only going forward.
Sold BNF (Apr) at 21125
Sold 21200 PE (March) at 173
Sold 21000 PE (April) at 292
Sold 20500 PE (April) at 142, later exited at 130 and sold 21000 PE (Apr) at 284 instead
Sold 21300 CE at 44, exited at 24 and sold 21100 CE at 77 instead.
Open Positions at day end
Sold BNF (Apr) at 21125
Sold 21200 PE (March) at 173
Sold 21000 PE (April) at 292
Sold 21000 PE (April) at 284
Sold 21100 CE (Mar) at 77
Positions booked till now
20500 PE (Apr) sold at 142, exited at 130 = 12 points profit
21300 CE (Mar) sold at 44, exited at 24 = 20 points profit
Total profit booked till now = 32 points
Cheers
SH |
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paa
White Belt
Joined: 28 Sep 2010
Posts: 178
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| Post: #216 Posted: Mon Mar 27, 2017 6:43 pm Post subject: |
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Dear Alchemist
Thanks for updating and starting position for next month.
There is a query:
Why taking so many entries on day one? BNF short position delta may be neutralised by selling put(s) of single strike.
(Just to avoid complications and brokerage)
Please ignore if it is a stupid type question
Thanks
Parmod |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #217 Posted: Tue Mar 28, 2017 2:00 pm Post subject: |
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| paa wrote: | Dear Alchemist
Thanks for updating and starting position for next month.
There is a query:
Why taking so many entries on day one? BNF short position delta may be neutralised by selling put(s) of single strike.
(Just to avoid complications and brokerage)
Please ignore if it is a stupid type question
Thanks
Parmod |
paa - selling multiple strike prices allows the breakeven points to become larger and hence provides cushion in case their is a major gap in favour of my BNF trade (in this case what it BNF gaps down 500 points tomorrow?).
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #218 Posted: Tue Mar 28, 2017 4:12 pm Post subject: |
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2 adjustments made today
Exited 21000 PE at 216 and sold 21500 PE at 430 instead
Exited 21200 PE at 80 and sold 21300 PE at 127 instead
Open Positions at day end
Sold BNF (Apr) at 21125
Sold 21000 PE (April) at 284
Sold 21100 CE (Mar) at 77
Sold 21500 PE (Apr) at 430
Sold 21300 PE (Mar) at 127
Positions booked till now
20500 PE (Apr) sold at 142, exited at 130 = 12 points profit
21300 CE (Mar) sold at 44, exited at 24 = 20 points profit
Sold 21200 PE (March) at 173, exited at 80 = Profit 93 points
Sold 21000 PE (April) at 292, exited at 216 = Profit 76 points
Total profit booked till now = 201 points
Cheers
SH |
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amitagg
Black Belt
Joined: 01 Oct 2013
Posts: 4559
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| Post: #219 Posted: Tue Mar 28, 2017 9:17 pm Post subject: |
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| Alchemist wrote: | Hi Amitagg
Minimum capital required is 2.5 Lakh (as we have 4 BNF legs open at any given point of time).
Returns are roughly 8% to 10% per month i.e double the money in 6-8 months if you compound and increase your trade size with profits earned per month.
My trading partners had deployed 10L to this strategy in Sep and now they are sitting on 19L in 7 months for an example.
Cheers
SH |
Thanks quite reasonable and consistent results |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #220 Posted: Mon Apr 03, 2017 9:04 am Post subject: |
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I was on holidays since Thursday hence had made some adjustments and closed all positions on Wednesday as below.
New postions to be opened today to continue this trade.
Positions booked till now
20500 PE (Apr) sold at 142, exited at 130 = 12 points profit
21300 CE (Mar) sold at 44, exited at 24 = 20 points profit
Sold 21200 PE (March) at 173, exited at 80 = Profit 93 points
Sold 21000 PE (April) at 292, exited at 216 = Profit 76 points
Sold 21000 PE (April) at 284, exited at 202 = Profit 82 points
Sold 21100 CE (Mar) at 77, exited at 203 = Loss 126 points
Sold 21300 PE (mar) at 92, exited at 53 = Profit 39 points
Sold 21300 PE (Mar) at 127, exited at 53 = Profit 74 points
Sold 21500 PE (Apr) at 365, exited at 370 = Loss 5 points
Sold 21300 CE (Mar) at 66, exited at 122 = Loss 56 points
Sold 21500 PE (Apr) at 430, exited at 370 = Profit 60 points
Sold BNF (Apr) at 21125, exited at 21405 = Loss 280 points
Total P&L booked till now = 11 points Loss
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #221 Posted: Tue Apr 04, 2017 11:18 am Post subject: |
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New positions opened yesterday to continue this trade.
Positions open currently
BNF bought at 21530
Sold 21600CE at 301
Sold 21800CE at 212
Sold 22500CE at 41
Positions booked till now
20500 PE (Apr) sold at 142, exited at 130 = 12 points profit
21300 CE (Mar) sold at 44, exited at 24 = 20 points profit
Sold 21200 PE (March) at 173, exited at 80 = Profit 93 points
Sold 21000 PE (April) at 292, exited at 216 = Profit 76 points
Sold 21000 PE (April) at 284, exited at 202 = Profit 82 points
Sold 21100 CE (Mar) at 77, exited at 203 = Loss 126 points
Sold 21300 PE (mar) at 92, exited at 53 = Profit 39 points
Sold 21300 PE (Mar) at 127, exited at 53 = Profit 74 points
Sold 21500 PE (Apr) at 365, exited at 370 = Loss 5 points
Sold 21300 CE (Mar) at 66, exited at 122 = Loss 56 points
Sold 21500 PE (Apr) at 430, exited at 370 = Profit 60 points
Sold BNF (Apr) at 21125, exited at 21405 = Loss 280 points
Total P&L booked till now = 11 points Loss
Cheers
SH[/quote] |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #222 Posted: Wed Apr 05, 2017 3:47 pm Post subject: |
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amendments made today.
Exited 22500 CE at 43 & sold 21500 PE (27th April) at 230
Sold 21400 PE (6th April) at 36, booked intraday itself at 8
Positions open currently
BNF bought at 21530
Sold 21600CE at 301
Sold 21800CE at 212
Sold 21400 PE at 230
Positions booked till now
20500 PE (Apr) sold at 142, exited at 130 = 12 points profit
21300 CE (Mar) sold at 44, exited at 24 = 20 points profit
Sold 21200 PE (March) at 173, exited at 80 = Profit 93 points
Sold 21000 PE (April) at 292, exited at 216 = Profit 76 points
Sold 21000 PE (April) at 284, exited at 202 = Profit 82 points
Sold 21100 CE (Mar) at 77, exited at 203 = Loss 126 points
Sold 21300 PE (mar) at 92, exited at 53 = Profit 39 points
Sold 21300 PE (Mar) at 127, exited at 53 = Profit 74 points
Sold 21500 PE (Apr) at 365, exited at 370 = Loss 5 points
Sold 21300 CE (Mar) at 66, exited at 122 = Loss 56 points
Sold 21500 PE (Apr) at 430, exited at 370 = Profit 60 points
Sold BNF (Apr) at 21125, exited at 21405 = Loss 280 points
Sold 22500CE at 41, Exited at 43 = Loss 2 points
Sold 21400 PE (6th April) at 36, exited at 8 = 28 points profit
Total P&L booked till now = 15 points Profit
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #223 Posted: Thu Apr 06, 2017 4:00 pm Post subject: |
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RBI policy day so made some extra adjustments today.
Sold 22000 CE sold at 126, exited at 119 (just before RBI announcement)
Sold 21700 CE (6 Apr) at 24, exited at 21 ((just before RBI announcement)
21500 PE exited at 258 (before RBI announcement) and shorted again at 203 after RBI announcement
The overall M2M profit as at todays closing price is roughly 110 points
Positions open currently
BNF bought at 21530
Sold 21600CE at 301
Sold 21800CE at 212
Sold 21500 PE at 203
Positions booked till now
20500 PE (Apr) sold at 142, exited at 130 = 12 points profit
21300 CE (Mar) sold at 44, exited at 24 = 20 points profit
Sold 21200 PE (March) at 173, exited at 80 = Profit 93 points
Sold 21000 PE (April) at 292, exited at 216 = Profit 76 points
Sold 21000 PE (April) at 284, exited at 202 = Profit 82 points
Sold 21100 CE (Mar) at 77, exited at 203 = Loss 126 points
Sold 21300 PE (mar) at 92, exited at 53 = Profit 39 points
Sold 21300 PE (Mar) at 127, exited at 53 = Profit 74 points
Sold 21500 PE (Apr) at 365, exited at 370 = Loss 5 points
Sold 21300 CE (Mar) at 66, exited at 122 = Loss 56 points
Sold 21500 PE (Apr) at 430, exited at 370 = Profit 60 points
Sold BNF (Apr) at 21125, exited at 21405 = Loss 280 points
Sold 22500CE at 41, Exited at 43 = Loss 2 points
Sold 21400 PE (6th April) at 36, exited at 8 = 28 points profit
Sold 22000 CE sold at 126, exited at 119 = 7 points profit
Sold 21700 CE (6 Apr) at 24, exited at 21 = 3 points profit
Sold 21500 PE at 230, exited at 258 = 28 points loss
Total P&L booked till now = 3 points loss
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #224 Posted: Mon Apr 10, 2017 9:22 am Post subject: |
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Friday made these adjustments
Sold 22100 CE at 73, exited at 51
Exited 2150 PE at 293
Exited 21600 CE at 190
Sold 21500 CE at 237
Sold 21700 CE at 160
Positions open currently
BNF bought at 21530
Sold 21800CE at 212
Sold 21500 CE at 237
Sold 21700 CE at 160
Positions booked till now
20500 PE (Apr) sold at 142, exited at 130 = 12 points profit
21300 CE (Mar) sold at 44, exited at 24 = 20 points profit
Sold 21200 PE (March) at 173, exited at 80 = Profit 93 points
Sold 21000 PE (April) at 292, exited at 216 = Profit 76 points
Sold 21000 PE (April) at 284, exited at 202 = Profit 82 points
Sold 21100 CE (Mar) at 77, exited at 203 = Loss 126 points
Sold 21300 PE (mar) at 92, exited at 53 = Profit 39 points
Sold 21300 PE (Mar) at 127, exited at 53 = Profit 74 points
Sold 21500 PE (Apr) at 365, exited at 370 = Loss 5 points
Sold 21300 CE (Mar) at 66, exited at 122 = Loss 56 points
Sold 21500 PE (Apr) at 430, exited at 370 = Profit 60 points
Sold BNF (Apr) at 21125, exited at 21405 = Loss 280 points
Sold 22500CE at 41, Exited at 43 = Loss 2 points
Sold 21400 PE (6th April) at 36, exited at 8 = 28 points profit
Sold 22000 CE sold at 126, exited at 119 = 7 points profit
Sold 21700 CE (6 Apr) at 24, exited at 21 = 3 points profit
Sold 21500 PE at 230, exited at 258 = 28 points loss
Sold 21600CE at 301, exited at 190 = 111 points profit
Sold 21500 PE at 203, exited at 293 = 90 points loss
Sold 22100 CE at 73, exited at 51 = 22 points profit
Total P&L booked till now = 40 points profit
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #225 Posted: Tue Apr 11, 2017 5:42 pm Post subject: |
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BNF adjustments made today
Sold 21400 PE at 165, exited later intraday at 150
Exited 21500 CE at 332 and sold 22000 CE at 98 instead.
Exited 21800 CE at 202 and sold 22200 CE at 61 instead
Sold 21400 PE again at 124
Positions open currently
BNF bought at 21530
Sold 21700 CE at 160
Sold 22000 CE at 98
Sold 22200 CE at 61
Sold 21400 PE at 124
Positions booked till now
20500 PE (Apr) sold at 142, exited at 130 = 12 points profit
21300 CE (Mar) sold at 44, exited at 24 = 20 points profit
Sold 21200 PE (March) at 173, exited at 80 = Profit 93 points
Sold 21000 PE (April) at 292, exited at 216 = Profit 76 points
Sold 21000 PE (April) at 284, exited at 202 = Profit 82 points
Sold 21100 CE (Mar) at 77, exited at 203 = Loss 126 points
Sold 21300 PE (mar) at 92, exited at 53 = Profit 39 points
Sold 21300 PE (Mar) at 127, exited at 53 = Profit 74 points
Sold 21500 PE (Apr) at 365, exited at 370 = Loss 5 points
Sold 21300 CE (Mar) at 66, exited at 122 = Loss 56 points
Sold 21500 PE (Apr) at 430, exited at 370 = Profit 60 points
Sold BNF (Apr) at 21125, exited at 21405 = Loss 280 points
Sold 22500CE at 41, Exited at 43 = Loss 2 points
Sold 21400 PE (6th April) at 36, exited at 8 = 28 points profit
Sold 22000 CE sold at 126, exited at 119 = 7 points profit
Sold 21700 CE (6 Apr) at 24, exited at 21 = 3 points profit
Sold 21500 PE at 230, exited at 258 = 28 points loss
Sold 21600CE at 301, exited at 190 = 111 points profit
Sold 21500 PE at 203, exited at 293 = 90 points loss
Sold 22100 CE at 73, exited at 51 = 22 points profit
Sold 21800CE at 212, exited at 202 = 10 point profit
Sold 21500 CE at 237, exited at 332 = 95 points loss
Sold 21400 PE at 165, exited later intraday at 150 = Profit 15 points
Total P&L booked till now = 30 points loss
Cheers
SH |
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