By Shubham Agarwal, Head of Quantitative Research, MOSL

Option Writing

STRATEGY 1

Writing against Cash / Fut Holding
Sell ENGINERS IN 170 PE 30-NOV-17 @ 3.30
Target level : INR 0.5
Stop Loss level : INR 4.5
Gross Monthly Yield : 1.71%
ROI :10.80 %
Margin : ~INR 106000
Days to expiry : 31

STRATEGY 2

Writing against Fut Holding

Sell ITC 265 30-NOV-17 PE @ 5.90
Target Level : INR 1
Stop Loss level : INR7.50
Gross Monthly Yield : 1.96%
ROI : 14.40%
Margin : ~INR 98000
Days to expiry : 31

Writing with Hedging

Leg 1: Sell ENGINERSIN 170 PE 30-NOV-17 @ 3.30
Leg 2: Buy ENGINERSIN 165 PE 30-NOV-17 @ 1.80
Target level : INR 0.10
Stop Loss (Spread) level : INR 2.30
Gross Monthly Yield : 0.80%
ROI : 6.17%
Margin : ~INR 85000
Days to expiry : 31

Writing with Hedging

Leg 1: Sell ITC 265 30-NOV-17 PE @ 5.90
Leg 2: Buy ITC 260 30-NOV-17 PE @ 3.75
Target Level : INR 0.25
Stop Loss (Spread) level : INR 3.10
Gross Monthly Yield : 0.83%
ROI : 6.20%
Margin : ~INR 87000
Days to expiry : 31

Statistical reversion is expected in the pair based on our mean-reversion model. The pair is co-integrated and passes the stationary test. The distribution is around normal. The pair is well co-integrated. The distribution is not normal and skewed to the left and has evidence of a reversion within its own distribution.

Pair Trading

STRATEGY 1

Leg 1: Buy ONGC 1Lot 30-NOV-17
@ 182 &1600 shares in cash
Leg 2: Sell COALINDIA 2 Lots
30-NOV-17 @ 288
Tenure : 3-4 days
Target Profi t : 3.25%
Stop Loss : 1.25%
Margin : Rs 208000
Pair Trading

STRATEGY 2

Leg 1: Buy IBULHSGFIN 1 Lot 30-
NOV-17 @ 1264 and 285 shares in cash
Leg 2: Sell RELCAPITAL 2 Lots 30-
NOV-17 @ 579
Tenure : 3-4 days
Target Profi t : 3.25 %
Margin : Rs 188,000
Stop Loss : 1.25%