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.
No comments:
Post a Comment