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A19 Notes

The document describes a range-bound trading strategy for the Nifty index involving buying an at-the-money near-month call option and selling a weekly call option of the same strike price to offset risk and profit from small index movements within a 200-300 point range. It provides examples of the positions and explains that the strategy can benefit from index moves in either direction within that range without being exposed to large losses from wild market swings.

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Ravi Singh
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226 views1 page

A19 Notes

The document describes a range-bound trading strategy for the Nifty index involving buying an at-the-money near-month call option and selling a weekly call option of the same strike price to offset risk and profit from small index movements within a 200-300 point range. It provides examples of the positions and explains that the strategy can benefit from index moves in either direction within that range without being exposed to large losses from wild market swings.

Uploaded by

Ravi Singh
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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A-19 (Subordinate of H21)

- For range bound market (200 – 300 points).


- Only for NIFTY now.
- Similar to calendar spread with mathematical adjustments.
- Not immune to wild moves of market.
- Check Nifty Future current price.
e.g. NIFTY APR FUT (14936.05)
- Find ATM option of Nifty Future current price.
e.g. NIFTY APR 14900 CE / Premium (322.00)
- Find weekly option of same strike price and type with min premium of 60%.
(Can be same week, next week or next to next week but not last and second last week of the
month)
e.g. NIFTY 15th APR 14900 CE / Premium (196.00).

Case (1): Market goes up by 200 points (14900 + 200 = 15100)

- There will not be any loss in SELL (NIFTY 15th APR 14900 CE) till 15100 (14900 + 196.00)
- BUY (NIFTY APR 14900 CE) premium will go up from 322 to around 450 or more.

Case (2): Market goes down by 200 points (14900 – 200 = 14700)

- SELL (NIFTY 15th APR 14900 CE) will be in profit. We have already received 196 as premium.
- BUY (NIFTY APR 14900 CE) will be in loss however premium will not go below 160.

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