Archive for 2014

Closed Position Details April 2014

Friday, April 25th, 2014

 

We came to the end of April series where markets closed on a new high of 6841 levels. The series was dominated by bulls and once again we could not get a hold on the series. System IV parameters were largely favoring bears and we were looking for trading opportunity in puts. We could not also take trades in Bank Nifty and stock options as indicated last month due to the system IV being bearish for the whole month and market was moving against the system.

Coming to May series, markets have opened flat and has been trading in a very narrow range today and is around 6825 levels now.

This month is largely driven by political expectation and results. Though major indications are on the down side as seen in last month, markets sometimes move totally against all indications supported by irrational exuberance. These are times where it will look like good opportunities but nevertheless trap late entrant bulls and any major correction could lock investor funds for years also.

We will be going slow this month, initially building trades with lesser risk and one lot as we tried to do last month looking for when the system’s indications are being obeyed by the markets.

We are taking a break and so there will be no updates till 2nd May 2014.

 

 

The expiry charts can be accessed at http://tripleint.blogspot.in/2014/04/nifty-23-apr-2014-expiry-chart.html

 

System parameters at beginning of May series

———————————————————

======== Underlying Index: NIFTY 6826.50  As on Apr 25 2014 12:32:05 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6826 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6826 6300 7200 PUT CALL 22.24 -66,600 63.43
## 6826 6400 7100 PUT CALL 22.87 -373,100 64.28
## 6826 6500 7000 PUT PUT 22.97 734,100 PUT 63.81
## 6826 6600 6900 PUT CALL 23.87 -115,800 64.71
## ## 6700 6800 PUT CALL 23.86 -624,150 64.49
Set-2 NIFTY Overall Buy
## SPOT 6826 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6826 6300 7100 PUT CALL 22.46 -554,100 63.83
## 6826 6400 7000 PUT PUT 22.65 1,052,850 PUT 63.46
## 6826 6500 6900 PUT CALL 22.97 -317,300 63.73
## 6826 6600 6800 PUT CALL 23.76 -1,146,550 64.39
## ## 6700 6700 PUT CALL 54.32 -1,011,000 200.00
Set-3 NIFTY Overall Buy
## SPOT 6826 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6826 6400 7200 PUT PUT 22.65 114,400 PUT 63.90
## 6826 6500 7100 PUT CALL 23.19 -691,850 64.63
## 6826 6600 7000 PUT PUT 23.87 935,600 PUT 64.79
## 6826 6700 6900 PUT PUT 23.97 406,600 PUT 64.82
## ## 6800 6800 CALL CALL -6.60 -237,300 CALL -11.38
Set-4 NIFTY Overall Buy
## SPOT 6826 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6826 6400 7300 PUT CALL 22.45 -210,400 63.52
## 6826 6500 7200 PUT CALL 22.97 -204,350 64.26
## 6826 6600 7100 PUT CALL 24.09 -490,350 65.61
## 6826 6700 7000 PUT PUT 23.97 1,458,000 PUT 64.90
## ## 6800 6900 CALL PUT -6.49 793,450 -11.20

 

Closed Position details

We took only two trades for the series. Most of the time NIFTY was moving against the system indications of a down move.

Though in the first trade the spot target was reached later and our second trade came closer to our target, it failed to continue the down move and ended up in the stop loss being taken in both the trades.

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
03-Apr-2014, 9:58 am 09-Apr-2014, 9:15 am NIFTY PE 6600.00 24APR2014 1 * 50(50) 34.7 18.2 1735 -825 Nifty likely to correct in the afternoon towards 6675 levels. Closing comment: NIFTY opened gap up at 6722 levels and triggered the stop. Overall markets are moving range bound with option volatility being very less and though the 6600 put option appreciated till 46 levels, it did not reach the target of 51.40 inspite of NIFTY breaking the specified target spot level.
15-Apr-2014,10:34 am 17-Apr-2014,1:29 pm NIFTY PE 6700.00 24APR2014 1 * 50(50) 36.80 17 1840 -990 Niftly likely to move towards 6500 levels for the series. We will execute the trade in phases. Closing comment: 6700 puts reached 52 levels in yesterday evening trade and we expected the down trend to continue. Contrary to the expectations NIFTY moved higher and triggered stop.
Overall Profit/Loss Rs.-1815

www.tripleint.com

Closed Position Details March 2014

Monday, March 31st, 2014

We came to the end of March series and a financial year end.

Overall markets rallied strongly in March till the very end and bears did not much change to come out profitable in the series. We missed out taking the initial call trades and then were caught on the wrong foot. Though we restricted the number of trades as the system parameters were oscillating majorly, both trades resulted in a loss. We failed to cash in on the good profit in the second trade expecting it to dip further, but it reversed to trigger our stop loss at open. Also the timing did not work out well as we did not take the put trade triggered by the system the previous day which would have resulted in a good gain. Also to minimize the overall monthly risk, we did not take any expiry trades this time.

Overall last month the put implied volatility was less throughout, but even then markets rallied to new highs. The OI trend was seen mixed. There will be few months where the markets might move against the system and March was one among them. We were initially predicting strong up moves in Banks supported by SBIN, but did not take any trades based on that. Charts were indicating positive divergence then.

The performance page has been updated. Please visit http://tripleint.com/tripleints-performance/

Now that a new series has begun and also a new financial year, we will be making a few changes in the way trades are initiated.

1. We will start trading in BANK NIFTY also

2. We will be introducing low risk: high reward stock option trades on liquid stocks

3. We will continue with NIFTY trades

This was we will ensure that there are a couple of trades and we will have time to maximize on the profits as well as to recover and can fine tune the strategy going forward in the series.

Currently markets have reached almost the crucial level of 6732 and technically we are not seeing higher levels from here. But the system parameters at the start of the series are favouring calls to some extent looking at IV skews. We will let a couple of sessions to pass through to study the market moves and system behaviour.

 

======== Underlying Index: NIFTY 6706.00  As on Mar 31 2014 11:13:00 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6706 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6706 6200 7100 CALL PUT -1.68 510,400 -4.89
## 6706 6300 7000 CALL PUT -1.25 150,700 -3.66
## 6706 6400 6900 CALL CALL -0.71 -823,550 CALL -2.07
## 6706 6500 6800 CALL PUT -0.94 375,600 -2.73
## ## 6600 6700 CALL CALL -0.77 -716,000 CALL -2.23
Set-2 NIFTY Overall Buy
## SPOT 6706 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6706 6200 7000 CALL PUT -1.98 190,100 -5.69
## 6706 6300 6900 CALL PUT -1.60 413,450 -4.59
## 6706 6400 6800 CALL CALL -0.97 -533,500 CALL -2.76
## 6706 6500 6700 CALL CALL -1.04 -691,200 CALL -2.96
## ## 6600 6600 CALL CALL -1.02 -3,497,000 CALL -2.90
Set-3 NIFTY Overall Buy
## SPOT 6706 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6706 6300 7100 CALL PUT -0.95 471,000 -2.82
## 6706 6400 7000 CALL CALL -0.36 -1,086,300 CALL -1.07
## 6706 6500 6900 CALL PUT -0.68 85,550 -2.03
## 6706 6600 6800 CALL PUT -0.67 350,800 -1.99
## ## 6700 6700 CALL PUT -0.52 2,065,000 -1.54
Set-4 NIFTY Overall Buy
## SPOT 6706 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6706 6300 7200 PUT CALL 0.46 -981,200 1.38
## 6706 6400 7100 CALL CALL -0.06 -766,000 CALL -0.18
## 6706 6500 7000 CALL CALL -0.33 -177,200 CALL -1.00
## 6706 6600 6900 CALL PUT -0.41 60,750 -1.24
## ## 6700 6800 CALL PUT -0.42 3,131,800 -1.27

 

Closed Position details

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
14-Mar-2014, 1:25 pm 14-Mar-2014, 2:54 pm NIFTY PE 6400.00 26FEB2014 2 * 50(100) 42 26 4200 -1600 Nifty likely to come down further towards late afternoon session. Closing comment: Contrary to the expectation NIFTY gave a strong bounce and stop loss got triggered. Position closed
20-Mar-2014, 1:19 pm 24-Mar-2014, 9:15 am NIFTY PE 6500.00 27MAR2014 2 * 50(100) 37.5 21.3 3750 -1620 Nifty likely to test 6434 levels. Closing comment: The option appreciated till 55 levels but failed to reach target of 65.4. Today at open SL of 26 got triggered and position is closed at 21.30
Overall Profit/Loss Rs.-3220

www.tripleint.com

Closed Position Details February 2014

Friday, February 28th, 2014

 

We came to the end of February series and overall with very low volatility and range bound moves, it was more or less a tough series for option buyers. The expiry value as prompted by the system was around 6234 levels and the close of 6239 was very close though we did not take any expiry trade this time as we were not having enough profit cushion to take the risky trade.

Now that we have entered a new series, system parameters are showing mild bullish sign to being with. There might be a move towards 6285 levels and we might have to watch out for strong indications if at all market is going to cross 6300 levels.

We will generally be in wait and watch mode on the first trading session of a new series.

Nifty expiry chart

 

 

TripleInt Option Trading System Parameters

======== Underlying Index: NIFTY 6262.15  As on Feb 28 2014 11:16:05 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6262 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6262 5800 6700 CALL CALL -29.19 -937,500 CALL -119.79
## 6262 5900 6600 CALL CALL -25.67 -424,600 CALL -113.78
## 6262 6000 6500 CALL CALL -22.08 -1,098,000 CALL -106.10
## 6262 6100 6400 CALL CALL -12.55 -85,300 CALL -50.93
## ## 6200 6300 CALL PUT -9.05 902,050 -35.71
Set-2 NIFTY Overall Buy
## SPOT 6262 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6262 5800 6600 CALL PUT -26.69 80,900 -114.34
## 6262 5900 6500 CALL PUT -23.18 21,100 -107.22
## 6262 6000 6400 CALL CALL -21.17 -267,950 CALL -103.57
## 6262 6100 6300 CALL CALL -12.38 -1,021,200 CALL -50.63
## ## 6200 6200 CALL CALL -10.00 -1,703,400 CALL -39.43
Set-3 NIFTY Overall Buy
## SPOT 6262 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6262 5900 6700 CALL CALL -28.17 -1,443,000 CALL -119.78
## 6262 6000 6600 CALL CALL -24.57 -1,543,700 CALL -113.32
## 6262 6100 6500 CALL CALL -13.46 -915,350 CALL -53.45
## 6262 6200 6400 CALL PUT -9.22 1,837,950 -36.09
## ## 6300 6300 CALL PUT -8.10 3,507,500 -31.98
Set-4 NIFTY Overall Buy
## SPOT 6262 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6262 5900 6800 CALL CALL -18.05 -1,838,500 CALL -50.00
## 6262 6000 6700 CALL CALL -27.07 -2,562,100 CALL -119.97
## 6262 6100 6600 CALL CALL -15.95 -1,361,050 CALL -60.26
## 6262 6200 6500 CALL PUT -10.13 1,007,900 -38.77
## ## 6300 6400 CALL PUT -8.27 4,443,400 -32.39

 

Closed Position details

We took 5 trades for the series, out of that 3 were winners and 2 turned losers. Overall the profit for the month stand at Rs. 1127.50. There will be no subscription for last month as profits have not exceeded Rs.3000.

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
06-Feb-2014,10:17 am 06-Feb-2014,10:45 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 42.60 29 4260 -1360 Nifty likely to test 6074 levels and beyond. Closing comment: The day low for the option price is 28.50 and it triggerd the stop before the bounce.
06-Feb-2014,12:18 am 07-Feb-2014,9:28 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 32 46.3 3200 1430 Nifty likely to test 6074 levels and beyond. Position reentered with revised stop of 25 levels as system pointing to bullishness. Closing comment: Spot target of 6074 reached at open. Option did not move to 54 levels. Closed position at 46.30
14-Feb-2014,11:19 am 14-Feb-2014,2:41 pm NIFTY CE 6100.00 26FEB2014 3 * 50(150) 34.5 44 5175 1425 Nifty likely to test 6050 levels for the day. Closing comment: Nifty tested 6050 levels towards late afternoon and target reached
18-Feb-2014,10:36 am 19-Feb-2014,3:10 pm NIFTY PE 6100.00 26FEB2014 3 * 50(150) 34 24 5100 -1500 Nifty likely to fall back into range and test 6050 levels. Closing comment: A spike up move in the late afternoon on 19th feb triggered the stop and markets opened gap down on 20th. Position closed at stop price.
25-Feb-2014,11:04 am 25-Feb-2014,12:28 pm NIFTY PE 6250.00 26FEB2014 1 * 50(50) 44.75 67.40 2237.5 1132.5 Niftyl likely to come down by afternoon. Closing comment: Target of 67.40 reached and position closed
Overall Profit/Loss Rs.1127.5

www.tripleint.com

Weekly update – Week ended 21 Feb 2014

Monday, February 24th, 2014

TripleInt

NIFTY closed last week at 6155 levels, up 1.77% from the previous week close of 6048. After a good up move on tuesday, NIFTY fell back into range the next two days with again a bounce back on friday.

Overall throughout this series NIFTY has been moving in a closed range and though it has made a high close for the series, it looks like upper side is capped for this expiry week with the range being 6050 to 6175 levels. The volatility has been very less for both puts and calls this series and due to this there might be a volatility expansion as well as range expansion move for this expiry on Wednesday. 

System parameters have been completely oscillating between puts and calls in line with the range bound moves seen.

======== Underlying Index: NIFTY 6148.75  As on Feb 24 2014 10:56:36 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6148 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6148 5600 6500 CALL CALL -18.77 -120,700 CALL -51.05
## 6148 5700 6400 CALL CALL -18.29 -474,250 CALL -61.57
## 6148 5800 6300 CALL PUT -16.50 1,252,300 -69.33
## 6148 5900 6200 PUT CALL 0.34 -1,017,100 0.90
## ## 6000 6100 CALL CALL -0.45 -12,650,250 CALL -1.15
Set-2 NIFTY Overall Buy
## SPOT 6148 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6148 5600 6400 CALL PUT -25.26 1,062,700 -80.65
## 6148 5700 6300 CALL PUT -23.31 1,522,050 -92.41
## 6148 5800 6200 CALL PUT -31.77 294,050 -100.31
## 6148 5900 6100 CALL CALL -2.58 -7,791,500 CALL -6.09
## ## 6000 6000 CALL CALL -0.78 -18,201,800 CALL -1.75
Set-3 NIFTY Overall Buy
## SPOT 6148 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6148 5700 6500 CALL CALL -11.80 -1,657,650 CALL -34.14
## 6148 5800 6400 CALL CALL -11.48 -744,000 CALL -41.37
## 6148 5900 6300 PUT CALL 15.61 -58,850 57.50
## 6148 6000 6200 PUT CALL 2.47 -5,875,850 7.00
## ## 6100 6100 CALL CALL -0.12 -7,098,700 CALL -0.34
Set-4 NIFTY Overall Buy
## SPOT 6148 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6148 5700 6600 CALL CALL -5.54 -1,895,750 CALL -14.40
## 6148 5800 6500 CALL CALL -4.99 -1,927,400 CALL -15.62
## 6148 5900 6400 PUT CALL 20.63 -2,055,150 63.66
## 6148 6000 6300 PUT CALL 17.74 -4,917,600 68.79
## ## 6100 6200 PUT CALL 2.80 -324,300 8.82

 

Closed Position details

We took a put trade last week and it got stopped out.

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
06-Feb-2014,10:17 am 06-Feb-2014,10:45 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 42.60 29 4260 -1360 Nifty likely to test 6074 levels and beyond. Closing comment: The day low for the option price is 28.50 and it triggerd the stop before the bounce.
06-Feb-2014,12:18 am 07-Feb-2014,9:28 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 32 46.3 3200 1430 Nifty likely to test 6074 levels and beyond. Position reentered with revised stop of 25 levels as system pointing to bullishness. Closing comment: Spot target of 6074 reached at open. Option did not move to 54 levels. Closed position at 46.30
14-Feb-2014,11:19 am 14-Feb-2014,2:41 pm NIFTY CE 6100.00 26FEB2014 3 * 50(150) 34.5 44 5175 1425 Nifty likely to test 6050 levels for the day. Closing comment: Nifty tested 6050 levels towards late afternoon and target reached
18-Feb-2014,10:36 am 19-Feb-2014,3:10 pm NIFTY PE 6100.00 26FEB2014 3 * 50(150) 34 24 5100 -1500 Nifty likely to fall back into range and test 6050 levels. Closing comment: A spike up move in the late afternoon on 19th feb triggered the stop and markets opened gap down on 20th. Position closed at stop price.
Overall Profit/Loss Rs.-5

www.tripleint.com

Weekly Update – Week Ended 14 Feb 2014

Monday, February 17th, 2014

 

TripleInt

NIFTY closed last week at 6048 levels, down 0.24% from the previous week close. On the daily charts the 200 DMA levels for NIFTY is at 5981 levels and last week there was a strong down move on thursday to break 6000 levels. The expected recovery till 6050 levels came on friday.

Overall it is still indicating a range month with the possibility of NIFTY testing 6117 and 6140 levels by wednesday this week followed by another retest of 6000 levels.

System parameters are favouring calls to a good extent considering the IV. OI trend is not fully supporting a major up move at this stage and that is the reason for the expected range for this week and also for this series.

======== Underlying Index: NIFTY 6065.50  As on Feb 17 2014 10:12:05 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6065 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6065 5600 6500 CALL CALL -29.74 -639,100 CALL -94.06
## 6065 5700 6400 CALL CALL -26.98 -1,098,600 CALL -95.30
## 6065 5800 6300 CALL CALL -22.57 -179,950 CALL -89.79
## 6065 5900 6200 CALL CALL -4.88 -217,800 CALL -14.90
## ## 6000 6100 CALL CALL -3.24 -4,593,900 CALL -9.78
Set-2 NIFTY Overall Buy
## SPOT 6065 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6065 5600 6400 CALL PUT -28.96 542,850 -97.29
## 6065 5700 6300 CALL PUT -24.45 714,850 -92.53
## 6065 5800 6200 CALL PUT -21.85 822,850 -87.60
## 6065 5900 6100 CALL CALL -5.40 -4,133,300 CALL -16.09
## ## 6000 6000 CALL CALL -3.92 -11,924,500 CALL -11.39
Set-3 NIFTY Overall Buy
## SPOT 6065 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6065 5700 6500 CALL CALL -27.76 -2,280,550 CALL -92.59
## 6065 5800 6400 CALL CALL -25.10 -1,993,400 CALL -93.53
## 6065 5900 6300 CALL CALL -5.60 -1,220,600 CALL -16.93
## 6065 6000 6200 CALL CALL -2.72 -678,400 CALL -8.41
## ## 6100 6100 CALL PUT -2.56 2,736,700 -8.02
Set-4 NIFTY Overall Buy
## SPOT 6065 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6065 5700 6600 CALL CALL -14.93 -2,567,500 CALL -53.04
## 6065 5800 6500 CALL CALL -25.88 -3,175,350 CALL -91.34
## 6065 5900 6400 CALL CALL -8.13 -3,034,050 CALL -22.52
## 6065 6000 6300 CALL CALL -3.44 -1,681,200 CALL -10.53
## ## 6100 6200 CALL PUT -2.04 6,652,200 -6.54 

 

We took a call trade on friday based on the view of NIFTY testing 6050 and target was reached in the position.

Closed Position details

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
06-Feb-2014,10:17 am 06-Feb-2014,10:45 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 42.60 29 4260 -1360 Nifty likely to test 6074 levels and beyond. Closing comment: The day low for the option price is 28.50 and it triggerd the stop before the bounce.
06-Feb-2014,12:18 am 07-Feb-2014,9:28 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 32 46.3 3200 1430 Nifty likely to test 6074 levels and beyond. Position reentered with revised stop of 25 levels as system pointing to bullishness. Closing comment: Spot target of 6074 reached at open. Option did not move to 54 levels. Closed position at 46.30
14-Feb-2014,11:19 am 14-Feb-2014,2:41 pm NIFTY CE 6100.00 26FEB2014 3 * 50(150) 34.5 44 5175 1425 Nifty likely to test 6050 levels for the day. Closing comment: Nifty tested 6050 levels towards late afternoon and target reached
Overall Profit/Loss Rs.1495

 

Weekly Update – Week ended 07 Feb 2014

Monday, February 10th, 2014

TripleInt

Last week, bears were able to push NIFTY down below the 200 DMA levels of  5975 and NIFTY saw a low of 5933 levels which is near to the weekly 50 SMA level of 5939. NIFTY gave a good bounce from that level in the succeeding days and closed the week at 6063 levels, a 26 point (0.43%) below the previous weekly close level of 6090.

Overall, it looks like markets will remain range bound for this series between the levels of 5962 and 6140 for quite sometime.

 

System parameters are favouring calls to some extent considering the IV skew, but the OI trend indicates resistance building at 6100 levels and it is highly likely for NIFTY to retest 5970 levels in a couple of days. As of now there is no major down side move also seen if NIFTY reaches that level.

======== Underlying Index: NIFTY 6055.15  As on Feb 10 2014 10:15:05 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6055 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6055 5600 6500 CALL CALL -29.87 -247,200 CALL -99.72
## 6055 5700 6400 CALL CALL -28.78 -891,700 CALL -99.82
## 6055 5800 6300 CALL PUT -8.59 67,700 -23.28
## 6055 5900 6200 CALL CALL -6.09 -1,422,200 CALL -16.32
## ## 6000 6100 CALL CALL -5.57 -3,954,550 CALL -14.78
Set-2 NIFTY Overall Buy
## SPOT 6055 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6055 5600 6400 CALL PUT -29.90 984,050 -101.00
## 6055 5700 6300 CALL PUT -27.02 381,700 -95.33
## 6055 5800 6200 CALL PUT -8.26 822,800 -22.12
## 6055 5900 6100 CALL CALL -6.34 -4,482,600 CALL -16.49
## ## 6000 6000 CALL CALL -5.94 -11,381,400 CALL -15.33
Set-3 NIFTY Overall Buy
## SPOT 6055 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6055 5700 6500 CALL CALL -28.75 -2,122,950 CALL -98.58
## 6055 5800 6400 CALL CALL -10.35 -1,205,700 CALL -27.43
## 6055 5900 6300 CALL CALL -6.42 -2,177,300 CALL -17.41
## 6055 6000 6200 CALL CALL -5.32 -894,150 CALL -14.54
## ## 6100 6100 CALL PUT -5.20 3,472,300 -14.18
Set-4 NIFTY Overall Buy
## SPOT 6055 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6055 5700 6600 CALL CALL -35.44 -2,725,200 CALL -111.42
## 6055 5800 6500 CALL CALL -10.32 -2,436,950 CALL -26.94
## 6055 5900 6400 CALL CALL -8.18 -3,450,700 CALL -21.70
## 6055 6000 6300 CALL CALL -5.65 -1,649,250 CALL -15.62
## ## 6100 6200 CALL PUT -4.95 6,532,700 -13.89

 

Closed Position details

Last week we took call trade and the details are given below.

 

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
06-Feb-2014,10:17 am 06-Feb-2014,10:45 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 42.60 29 4260 -1360 Nifty likely to test 6074 levels and beyond. Closing comment: The day low for the option price is 28.50 and it triggerd the stop before the bounce.
06-Feb-2014,12:18 am 07-Feb-2014,9:28 am NIFTY CE 6200.00 26FEB2014 2 * 50(100) 32 46.3 3200 1430 Nifty likely to test 6074 levels and beyond. Position reentered with revised stop of 25 levels as system pointing to bullishness. Closing comment: Spot target of 6074 reached at open. Option did not move to 54 levels. Closed position at 46.30
Overall Profit/Loss Rs.70

 

www.tripleint.com

End of January series and beginning of February series

Monday, February 3rd, 2014

NIFTY closed January series at 6074 levels on last Thursday after breaching the key level of 6030 which we have been tracking for quite a while.

Bears took upper hand towards the closing week and NIFTY corrected 2.8% from that of last week’s close.

As we begin february series, system paramters are pointing to a bullish move to begin with. Today markets have opened gap down, but there is still underlying bullishness as pointed by the system and as of now an upmove is expected in NIFTY going forward. Nifty might reach 6140 levels before consolidating and making the next move.

For expiry charts and other charts for the January series, please visit http://tripleint.blogspot.in/search/label/Jan2014Series

======== Underlying Index: NIFTY 6063.85  As on Feb 03 2014 10:51:05 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6063 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6063 5600 6500 CALL PUT -25.54 280,800 -97.09
## 6063 5700 6400 CALL CALL -22.62 -547,950 CALL -91.18
## 6063 5800 6300 CALL CALL -6.41 -91,200 CALL -19.30
## 6063 5900 6200 CALL CALL -4.82 -2,261,900 CALL -14.42
## ## 6000 6100 CALL CALL -4.36 -5,577,700 CALL -12.99
Set-2 NIFTY Overall Buy
## SPOT 6063 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6063 5600 6400 CALL PUT -23.78 1,032,100 -92.75
## 6063 5700 6300 CALL CALL -22.54 -259,150 CALL -90.59
## 6063 5800 6200 CALL CALL -6.17 -1,250,050 CALL -18.47
## 6063 5900 6100 CALL CALL -5.02 -4,107,000 CALL -14.79
## ## 6000 6000 CALL CALL -4.70 -9,721,300 CALL -13.76
Set-3 NIFTY Overall Buy
## SPOT 6063 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6063 5700 6500 CALL CALL -24.38 -1,299,250 CALL -95.87
## 6063 5800 6400 CALL CALL -6.49 -380,000 CALL -19.62
## 6063 5900 6300 CALL CALL -5.06 -1,103,050 CALL -15.24
## 6063 6000 6200 CALL CALL -4.16 -3,732,600 CALL -12.58
## ## 6100 6100 CALL CALL -4.02 -1,434,100 CALL -12.18
Set-4 NIFTY Overall Buy
## SPOT 6063 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6063 5700 6600 CALL CALL -25.82 -1,631,350 CALL -98.35
## 6063 5800 6500 CALL CALL -8.25 -1,131,300 CALL -24.13
## 6063 5900 6400 CALL CALL -5.14 -1,391,850 CALL -15.54
## 6063 6000 6300 CALL CALL -4.40 -2,573,750 CALL -13.39
## ## 6100 6200 CALL PUT -3.82 411,000 -11.75

 

Trade overview

We took 7 trades last month and the win and loss in position were alternating. We did not wait for the stop loss to be triggered in the initial call trade and closed it earlier. Similarly the expiry trades that we took, we didnt close out when NIFTY reached the key level of 6030 on one of the trades. Though the bearish view was held for quite a while towards the end, we couldn’t translate them well into executed trades.

Closed Position details

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
07-Jan-2014,11:00 am 08-Jan-2014,1:45 pm NIFTY PE 6100.00 30JAN2014 1 * 50(50) 56 58 2800 100 Nifty likely to come down towards 6120 levels as indicated by OI trend.Closing comment: System parameters are changing. The trade is closed at CMP of 58, a scratch trade
09-Jan-2014, 9:49 am 10-Jan-2014, 3:15 pm NIFTY CE 6300.00 30JAN2014 2 * 50(100) 41.60 32 4160 -960 Nifty likely to give a strong bounce as prompted by system. Closing comment: Though a strong up move happened and 6300 call reached a high of 59.85, markets did not move further and corrected significantly.Position closed at 32
16-Jan-2014,10:34 am 17-Jan-2014,3:09 pm NIFTY PE 6200.00 30JAN2014 2 * 50(100) 30.80 41.20 3080 1040 Nifty likely to move towards 6250 levels as prompted by system OI trend.Closing comment: NIFTY spot reached 6250 levels and position closed
20-Jan-2014,12:55 pm 20-Jan-2014,3:15 pm NIFTY PE 6300.00 30JAN2014 2 * 50(100) 59.50 45 5950 -1450 Nifty likely to move below 6200 levels. Closing comment: Stop loss triggered as Nifty failed to move down further and gave a bounce towards the end
24-Jan-2014,10:47 am 24-Jan-2014,11:03 am NIFTY PE 6300.00 30JAN2014 2 * 50(100) 45.40 59 4540 1360 Nifty likely to test 6270, 6230 levels. Closing comment: Move happened very fast and target reached. Entry changed to 45.40 from 42.30
30-Jan-2014, 1:07 pm 30-Jan-2014, 3:15 pm NIFTY PE 6100.00 30JAN2014 1 * 50(50) 46.70 25 2335 -1085 Nifty likely to move towards 6030 levels and below. Closing comment: NIFTY came below 6030 levels and option value came till 74.50 instead of 77.40. After that SL triggered
Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
30-Jan-2014, 1:10 pm 30-Jan-2014, 2:51 pm NIFTY PE 6050.00 30JAN2014 2 * 50(100) 12.5 26.4 1250 1390 Nifty likely to move towards 6030 levels and below. Closing comment: NIFTY came below 6030 levels and target reached
Overall Profit/Loss Rs.395

 

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Nifty 21 Jan 2014

Tuesday, January 21st, 2014

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Nifty 20 Jan 2014

Monday, January 20th, 2014

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Nifty 17 Jan 2014

Friday, January 17th, 2014

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