View
217
Download
0
Category
Preview:
Citation preview
7/31/2019 Derivatives Strategy
1/3
SCENARIO Strategy 1 (Bull call spread)
POSSIBILITIES PROFIT/LOSS
closing < 5400 - difference paid
5400 < closing < 5500 (closing - 5400 ) - difference paid
5500 < closing 100 - difference paid
Strategy 1 - Payoff as on expiry
-3000
-2000
-1000
0
1000
2000
3000
6100
5800
5500
5200
4900
4600
4300
4000
3700
Nifty Strikes
Profit/Loss
Nifty Spot : 5380
DERIVATIVE STRATEGIES July 19, 2010
ACTION STRIKE PREM. BREAKEVEN PT. AT EXPIRY Max. profit/loss
Buy July call 5400 49 Profitable when nifty is above 5435 Max. profit: 3250Strategy 1
Mildly Bullish Sell July call 5500 14 Max. loss: 1750
Buy July put 5400 72 Profitable when nifty is below 5363 Max. profit: 3150Strategy 2Mildly Bearish Sell July put 5300 35 Max. loss: 1850
Buy July call 5500 15 Profitable when nifty is above 5550 Max. profit: UnlimitedStrategy 3Volatile Buy July put 5300 35 Profitable when nifty is below 5250 Max. loss: 2500
Sell July call 5500 15 Profitable when nifty is above 5250 Max. profit: 2500Strategy 4Range Bound Sell July put 5300 35 Profitable when nifty is below 5550 Max. loss: Unlimited
Strategy 1 Nifty bull call spread
View Mildly bullish on market.
Buy Nifty July call 5400 at 49Action
Sell Nifty July call 5500 at 14
Premium
difference35
(Higher premium minus lower
premium)
Total initial
cost1750
(premium difference x 50 lot
size)
Break-even pt. 5435 Breakeven pt. = Lower strikePlus premium difference
Max. profit 3250
(difference bet. Two strikes)
minus (premium difference) x
50 lot size
Max. loss 1750 Limited to total initial cost
Execution 42
Do not execute strategy for
more than given premium
difference
7/31/2019 Derivatives Strategy
2/3
SCENARIO Strategy 3 (Long strangle)
POSSIBILITIES PROFIT/LOSS
closing < 5300 (- closing + 5300 ) - premium paid
5300 < closing < 5500 - difference paid
5500 < closing (closing - 5500 ) - premium paid
Strategy 3 - Payoff as on expiry
-20000
0
20000
40000
60000
80000
100000
6100
5800
5500
5200
4900
4600
4300
4000
3700
Nifty Strikes
Profit/Loss
Strategy 2 Nifty bear put spread
View Mildly bearish on market.
Buy Nifty July put 5400 at 72Action
Sell Nifty July put 5300 at 35
Premiumdifference 37 (Higher premium minus lowerpremium)
Total initial
cost1850
(premium difference x 50 lot
size)
Break-even pt. 5363Breakeven pt. = Higher strike
minus premium difference
Max. profit 3150
(difference bet. Two strikes)minus (premium difference) x
50 lot size
Max. loss 1850 Limited to total initial cost
Execution 44
Do not execute strategy for
more than given premium
difference
SCENARIO Strategy 2 (Bear put spread)
POSSIBILITIES PROFIT/LOSS
closing < 5300 100 - difference paid
5300 < closing < 5400 (- closing + 5400 ) - difference paid
5400 < closing - difference paid
Strategy 2 - Payoff as on expiry
-3000
-1000
1000
3000
5000
6100
5800
5500
5200
4900
4600
4300
4000
3700
Nifty Strikes
Profit/Loss
Strategy 3 Nifty long strangle
ViewHighly volatile market, expecting break
out either side
Buy Nifty July call 5500 at 15Action
Buy Nifty July put 5300 at 35
Premium paid 50 (sum of two premiums)
Total initial
cost2500
(premium paid x 50 lot size)
Break even pt.
Profitable if nifty on expiry isabove upper break even or
below lower break even
Upper break
even5550
Higher strike plus premium
paid
Lower break
even5250
Lower strike minus premium
paid
Max. profit Unlimited
Max. loss 2500 Limited to total initial cost
Execution 53
Do not execute strategy if
premium received is more then
given total premium
7/31/2019 Derivatives Strategy
3/3
NOTE:* All the above mentioned strategies are just for easy referral for different market views mentioned. One can also opt for strikes other than mentioned
n these strategies)
* All calculations are as per Premium price/premium difference given in the example and it may vary according to change in premium price/premium
difference* Selling/writing an Option would attract margin requirement, for further details refer FAQ)
Strategy 4 - Payoff as on expiry
-100000
-80000
-60000
-40000
-200000
20000
6100
5800
5500
5200
4900
4600
4300
4000
3700
Nifty Strikes
Profit/Loss
SCENARIO Strategy 4 (Short strangle)
POSSIBILITIES PROFIT/LOSS
closing < 5300 (closing - 5300 ) + premium rec
5300
< closing
< 5500 + Premium rec
5500 < closing
(- closing
+ 5500 ) + premium rec
Strategy 4 Nifty short strangle
ViewRange bound market, expecting Nifty to
remain in range.Sell Nifty July call 5500 at 15
ActionSell Nifty July put 5300 at 35
Premium rec 50 (sum of two premiums)
Total initial
credit3050
(premium paid x 50 lot size)
Break even pt.
Profitable if nifty on expiry is
between upper break even &
lower break even
Upper break
even5550 Higher strike plus premium rec.
Lower breakeven 5250 Lower strike minus premiumrec.
Max. profit 2500 Limited to total initial cost
Max. loss Unlimited beyond breakeven pts
Execution 48
Do not execute strategy if
premium received is less then
given total premium
DISCLAIMER: The report and information contained herein is strictly confidential and meant solely for the selected recipient and may not be altered in any way, transmitted to, copied or
distributed, in part or in whole, to any other person or to the media or reproduced in any form, without prior written consent of ICICI Securities Limited. "The author of the report does not
hold any investment/open position in any of the companies mentioned in this report. ICICI Securities Services Ltd (I-Sec) may be holding a small number of shares/ an open position in the
above referred companies as on the date of release of this report." This report is based on information obtained from public sources and sources believed to be reliable, but no
independent verification has been made nor is its accuracy or completeness guaranteed. This report and information herein is solely for informational purpose and may not be used orconsidered as an offer document or solicitation of offer to buy or sell or subscribe for securities or other financial instruments. Nothing in this report constitutes investment, legal,
accounting and tax advice or a representation that any investment or strategy is suitable or appropriate to your specific circumstances. The securities discussed and opinions expressed in
this report may not be suitable for all investors, who must make their own investment decisions, based on their own investment objectives, financial positions and needs of specific
recipient. This may not be taken in substitution for the exercise of independent judgment by any recipient. The recipient should independently evaluate the investment risks. ICICI
Securities Ltd and affiliates accept no liabilities for any loss or damage of any kind arising out of the use of this report. Past performance is not necessarily a guide to future performance.
Actual results may differ materially from those set forth in projections. ICICI Securities Ltd may have issued other reports that are inconsistent with and reach different conclusion from the
information presented in this report. This report is not directed or intended for distribution to, or use by, any person or entity who is a citizen or resident of or located in any locality, state,
country or other jurisdiction, where such distribution, publication, availability or use would be contrary to law, regulation or which would subject ICICI Securities Ltd and affiliates to any
registration or licensing requirement within such jurisdiction. The securities described herein may or may not be eligible for sale in all jurisdictions or to certain category of investors.
Persons in whose possession this document may come are required to inform themselves of and to observe such restriction.
ICICIdirect.com Derivatives Desk
ICICI Securities Limited,
7th Floor, Akruti Centre Point,
MIDC Main Road, Marol Naka
Andheri (East)
Mumbai 400 093
research@icicidirect.com
Recommended