Archive for April, 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

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======== 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

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