A tight range bound month with normal performance

End of October Series and beginning of November Series – What to Expect?

There were 10 trades for the month. Out of the 10 trades, 4 were profitable and 5 ended up in loss with one trade ending in no gain no loss. With a starting capital of Rs.30000, the final profits for the month stand at Rs.3392.50

What went right for the month?

The month was confined to a very tight range for most of the latter part of the series and tight range bound months are favourable for option sellers rather than buyers. Inspite of that we ended the month with a profit of Rs.3392.50, a 11.3% on the initial capital of Rs.30000.

What went wrong for the month?

Again this month, the expiry trade was not successful, even though the loss was limited well ahead taking cues from the changing system. A near to 5700 close was not favourable for both calls and puts and though the system was indicating a highly volatile move either side, we could not cash in on the expiry trade.

Learnings and how do we move forward

1. We learnt from the last time experience to carefully limit the risk of trades on the expiry day and that paid off well towards the end. We were able to protect the profits as well as the capital on the expiry day by risking only a small portion of the already booked profits. This month also we benefited from this principle.
2. UNITECH option backfired with a very strong move on the upper side. We limited the loss with a good risk control mechanism and the benefit of our strategy of buying options was directly experienced, (rather than selling or trading in futures).
3. In a more so range bound month as indicated by the system, we set quite a few aggressive targets. A smaller profits would have benefited us in this tight range bound month on some of the positions.

How does it look like for the November series

As we enter the November series, there is some amount of bullishness as pointed by TripleInt’s option trading system. Markets are consolidating above 5634 levels which is also pointing to some bullishness to begin with. But a retracement till 5585 levels is expected any time soon after any bullish move as indicated by negative divergence in charts. We will initiate trades accordingly.

Nifty October Expiry Charts

The expiry chart is given below

For other option price move charts on the expiry day, please follow the link
http://tripleint.blogspot.in/2012/10/nifty-25-oct-2012-expiry-chart.html

Performance for the month of October

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
03-Oct-2012, 9:32 am 04-Oct-2012, 9:41 am NIFTY PE 5700.00 25OCT2012 2 * 50(100) 62 41 6200 -2100 Expecting the high to be around 5748 and NIFTY to move towards 5634 levels from there. Resistance at 5750 levels strong as indicated by the system. Update at 9:41 am 4 OCT: Stoploss got triggered. Position closed as of now
05-Oct-2012, 9:29 am 05-Oct-2012, 11:40 am NIFTY PE 5700.00 25OCT2012 3 * 50(150) 41 67 6150 3900 Nifty showing negative divergence and OI trend supporting a down move. Update at 11:40am 5 OCT: Position closed at CMP of 67
09-Oct-2012,10:40 am 10-Oct-2012,9:20 am NIFTY PE 5700.00 25OCT2012 2 * 50(100) 58 76 5800 1800 System indicating a down move. Charts showing divergence. Likely to test 5634 levels. Update at 9:24, 10 OCT: The position is closed as of now for 76
05-Oct-2012, 9:49 am 10-Oct-2012, 3:15 pm SBIN PE 2200.00 25OCT2012 1 * 125(125) 22.50 41.80 2812.5 2412.5 SBIN looking bearish with the possibility of a strong down move.Closing comment: SBIN put was trading at 41.80 at 3:15pm when the position was closed. It hit the target of 45 (day high) after that. The trade is closed at 41.80
05-Oct-2012, 1:27 pm 15-Oct-2012,1:15 pm UNITECH PE 22.50 25OCT2012 1 * 8000(8000) 0.45 0.10 3600 -2800 Pattern looking bearish with negative divergence. Likely to move below 200 DMA towards 20 levels. Closing comment: Though it moved and closed below 200 DMA, there was a major up move following that. Stop loss triggered in position.
Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
09-Oct-2012,10:46 am 15-Oct-2012,1:15 pm RELCAPITAL PE 420.00 25OCT2012 1 * 500(500) 9.20 4.40 4600 -2400 Bearish undercurrent seen in stock. Closing comment: Stop loss triggered in position
12-Oct-2012, 9:59 am 17-Oct-2012, 9:26 am NIFTY PE 5700.00 25OCT2012 2 * 50(100) 60 60 6000 0 OI trend suggesting bearishness in NIFTY for the day. Likely to move closer to 5600 levels. Closing Comment: System indicating support build up in OI at 5650 levels. The NIFTY position is closed at the CMP of 60. (A scratch trade with no gain and no loss).
17-Oct-2012,11:55 am 18-Oct-2012, 2:15 pm NIFTY CE 5700.00 25OCT2012 3 * 50(150) 31 62 4650 4650 Range bound market indication. Likely to reach 5750 levels in two days time. Closing Comment: Target hit and position closed
19-Oct-2012,11:44 am 19-Oct-2012,12:20 pm NIFTY CE 5700.00 25OCT2012 3 * 50(150) 44 35 6600 -1350 Likely to move up today pointed by the OI in system. 5744 expected levels. Closing Comment: OI change is more dynamic. Stop loss triggered in position
25-Oct-2012,11:00 am 25-Oct-2012, 2.30 pm NIFTY PE 5700.00 25OCT2012 4 * 50(200) 12.30 8.7 2460 -720 Might turn bearish towards afternoon.
Overall Profit/Loss Rs.3392.5

System data at the beginning of November Series

======== Underlying Index: NIFTY 5705.30  As on Oct 25 2012 15:30:26 IST =========

Set-1 NIFTY Overall Buy
## SPOT 5705 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 5705 5200 6100 CALL PUT -20.04 1,090,600 -93.53
## 5705 5300 6000 CALL CALL -18.36 -734,150 CALL -89.89
## 5705 5400 5900 CALL PUT -16.96 1,891,900 -86.28
## 5705 5500 5800 CALL CALL -4.41 -1,031,500 CALL -16.56
## ## 5600 5700 CALL CALL -3.52 -2,978,500 CALL -13.14
Set-2 NIFTY Overall Buy
## SPOT 5705 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 5705 5200 6000 CALL PUT -19.54 1,586,550 -91.81
## 5705 5300 5900 CALL CALL -17.88 -485,650 CALL -87.83
## 5705 5400 5800 CALL PUT -17.00 418,900 -86.18
## 5705 5500 5700 CALL CALL -4.63 -2,398,150 CALL -17.27
## ## 5600 5600 CALL CALL -4.14 -5,152,200 CALL -15.40
Set-3 NIFTY Overall Buy
## SPOT 5705 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 5705 5300 6100 CALL CALL -18.86 -1,230,100 CALL -91.75
## 5705 5400 6000 CALL PUT -17.44 1,643,400 -88.44
## 5705 5500 5900 CALL PUT -4.37 441,500 -16.49
## 5705 5600 5800 CALL CALL -3.30 -1,611,850 CALL -12.40
## ## 5700 5700 CALL CALL -2.90 -804,800 CALL -10.87
Set-4 NIFTY Overall Buy
## SPOT 5705 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 5705 5300 6200 CALL CALL -21.27 -1,707,750 CALL -100.02
## 5705 5400 6100 CALL PUT -17.94 1,147,450 -90.41
## 5705 5500 6000 CALL PUT -4.85 193,000 -18.22
## 5705 5600 5900 CALL CALL -3.26 -138,850 CALL -12.31
## ## 5700 5800 CALL PUT -2.68 561,850 -10.11

Happy Trading
www.tripleint.com

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