Archive for March, 2014

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

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