Closing the book

Working for an IBank and not allowed to trade.. closed down all positions

bye bye range trading.. it was good.

April Month Trading

Now in the range of 4849 - 5352 for the month of april. Will be buying Select stocks on a fall to 4600 and selling nifty OTM calls and buying ATM puts on a big rally - around 5600.

Payoff Table for April

Underlying Price	P&L
4580	-80900
4680	-50900
4780	-20900
4880	9100
4980	23100
5080	21100
5180	24100
5280	21100
5380	-7900
5480	-42900
5580	-77900

Current Positions

Security	Net Qty	Net Rate	LTP
NIFTY OI CE	-300	29.65	11
27/05/2010 5300.00
NIFTY OI CE	-100	62.6	31.9
27/05/2010 5200.00
NIFTY OI PE	50	118	102.25
27/05/2010 5100.00
NIFTY OI CE	50	111.2	70
27/05/2010 5100.00
NIFTY OI PE	-150	54	63.5
27/05/2010 5000.00
NIFTY OI PE	-200	43.45	38.65
27/05/2010 4900.00
IBREALEST FS XX	1300	171.3	161
27/05/2010 -0.01

April Month end

Closed all April positions on NIFTY with a 20k profit for the month of April. 6% returns for the month of April.

Sweet.

New Financial Year - 2010-2011

New Financial Year and New Series.

Have set a target of achieving 45-50% returns YEARLY. As usual, not gonna be putting more cash into the market.

Will be posting only change in positions weekly, and Monthly PnL.

Also, since I'll have more time due to daylight savings, I can do day trading on high volatile stocks just like the old days of glory! Not gonna post pnl on day trades since gonna do that on a seperate account and is not part of the Range/Spread trading strategy, although might transfer some positions if carried forward and considered as leaning positions (like Ibreal, Moserbaer)

Current Positions:-

Security	Net Qty	Net Rate	LTP
MOSERBAE FS XX	4950	74.4	75.4
29/04/2010 -0.01
NIFTY OI CE	-250	34.4	18.3
29/04/2010 5500.00
NIFTY OI PE	50	140.6	141
29/04/2010 5400.00
NIFTY OI CE	-200	42.07	46.7
29/04/2010 5400.00
NIFTY OI CE	50	118	94.3
29/04/2010 5300.00
NIFTY OI PE	50	89.2	55
29/04/2010 5200.00
NIFTY OI PE	-300	44.7	32.9
29/04/2010 5100.00
IBREALEST FS XX	1300	145.1	153
29/04/2010 -0.01

Payoff Table:-

Underlying Price	P&L
4800	-45000
4900	-15000
5000	15000
5100	35000
5200	25000
5300	20000
5400	20000
5500	5000
5600	-30000
5700	-65000
5800	-100000

Expiry

Expired all NIFTY March contracts at underlying price 5210 with a 12k profit for the month of March.

Even though in the green, but crap profit for all the risk and money put in (3% returns for the month). Still holding stock futures and I'm now good on the 4836 <--> 5441 for the month of april.

Underlying Price	P&L
4,738	-4,900.00
4,838	100.00
4,938	5,100.00
5,038	10,100.00
5,138	11,300.00
5,238	8,200.00
5,338	8,200.00
5,438	600.00
5,538	-19,400.00
5,638	-39,400.00
5,738	-59,400.00

Current Positions:-

Security	Net Qty	Net Rate	LTP
MOSERBAE FS XX	4950	74.4	74.15
29/04/2010 -0.01
NIFTY OI CE	-200	42.07	46
29/04/2010 5400.00
NIFTY OI PE	50	89.2	78.05
29/04/2010 5200.00
NIFTY OI PE	-100	57	50.75
29/04/2010 5100.00
IBREALEST FS XX	1300	145.1	146.5
29/04/2010 -0.01

TODO:-

1. Buy puts on rally, sell stock futures, Call spread ratio if 5350 is hit for 5400-5500

2. On fall, put spread ratio for 5100-5000 or 5100-4900

3. Swap IBreal and Moserbaer with some high weight NIFTY stock futures at a good level.

11 March 2010 (Bulls are back)

Nifty Closed with a Huge Rally in the last 5 minutes (Closed up 32 points)

Trades done:-

--5100-5200 1/2 Call spread

1. Bought 50 5100 Mar Nifty Calls @ 90

2. Sold 100 5200 Mar Nifty Calls @ 39.4

5200-5000 1/4 Put spread

3. Bought 50 March Nifty 5200 Put @ 118

4. Sold 200 March Nifty 4900 Puts @ 20.4

P&L Payoff at Expiration Matrix
Underlying Price	P&L
4,634	-24,710.00
4,734	-4,710.00
4,834	15,290.00
4,934	28,490.00
5,034	26,790.00
5,134	23,490.00
5,234	8,190.00
5,334	-36,810.00
5,434	-81,810.00
5,534	-126,810.00
5,634	-171,810.00

I'm now good in the range of 4840 - 5250 (400 points !! )

On the upside, I'm leaning on the Stock futures while on the downside, we're good until 4800. Although, if Stock futures are not sold by then, it will be sucking out some of the margin hence need to hedge more of downside. At this point we're on a bull rally, hence taking some risk on the downside.

Best PNL right now is from 4850 to 5080 (For the NIFTY-50)

Security	Net Qty	Open Rate	Net Rate	LTP
MOSERBAE FS XX	4950	76.55	76.55	79.9
25/03/2010 -0.01
NIFTY OI PE	-50	107	107	87.5
29/04/2010 5000.00
NIFTY OI PE	-200	20.45	20.45	12.3
25/03/2010 4900.00
NIFTY OI PE	50	118	118	87.5
25/03/2010 5200.00
NIFTY OI CE	-500	39.02	39.1	49.25
25/03/2010 5200.00
NIFTY OI CE	50	0	90	104.5
25/03/2010 5100.00
IBREALEST FS XX	1300	153.6	153.6	176.5
25/03/2010 -0.01

TODOs:-

On Rally:-

1. Sell Stock futures and Buy NIFTY downside puts.

On Fall:-

1. Nothing until 4800 where we hedge Nifty short Deltas using futures.

08-03-2010

NIFTY Closing:- 5124 (Up 35.30)

Trades:-

Bought 50 Mar NIFTY 5100 Puts @ 76

Sold 50 Apr NIFTY 5000 Puts @ 107

Final Position:-

Contract	Quantity	Executed Price	Last traded price
NIFTY 5000 April Put	-50	107	105.50
NIFTY 5100 March Put	50	76	72.35
NIFTY 5000 March Put	-100	66.05	41.30
NIFTY 5200 March Call	-400	39.02	41.80
Moserbaer Mar Future	4950	83.50	81.40
IBReal Mar Future	1300	200.30	174.30