Closed Position Details December 2013

TripleInt

 

We have come to the end of December series. It was a series filled with news based triggers and buyers of both sides of option did not win as towards the end market was moved in a tight range and also closed near to 6300 levels.

As we enter into January series, NIFTY is hovering again around 6300 levels. Option trading system is favouring calls as far as IV is concerned considering the futures price. If we just look at the options price w.r.t spot price, it is favouring puts. Overall there is a hefty premium in futures as we have entered the January series. We will wait for the calendar year of Dec 2013 to close before initiating new trades for the January series and will let the system evolve for the new series today and tomorrow.

Nifty expiry charts

 

======== Underlying Index: NIFTY 6302.85  As on Dec 30 2013 10:37:39 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6302 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6302 5800 6700 CALL PUT -3.03 1,428,850 -10.21
## 6302 5900 6600 CALL PUT -1.76 1,297,250 -5.97
## 6302 6000 6500 CALL PUT -2.26 1,210,850 -7.71
## 6302 6100 6400 CALL CALL -1.82 -407,000 CALL -6.22
## ## 6200 6300 CALL CALL -1.83 -3,423,400 CALL -6.27
Set-2 NIFTY Overall Buy
## SPOT 6302 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6302 5800 6600 CALL PUT -2.68 1,324,600 -8.98
## 6302 5900 6500 CALL PUT -2.05 2,475,400 -6.79
## 6302 6000 6400 CALL CALL -2.36 -292,450 CALL -7.92
## 6302 6100 6300 CALL CALL -2.01 -3,361,550 CALL -6.74
## ## 6200 6200 CALL CALL -2.18 -4,726,000 CALL -7.33
Set-3 NIFTY Overall Buy
## SPOT 6302 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6302 5900 6700 CALL PUT -2.11 1,401,500 -7.19
## 6302 6000 6600 CALL PUT -1.97 32,700 -6.87
## 6302 6100 6500 CALL PUT -1.72 1,096,300 -5.97
## 6302 6200 6400 CALL CALL -1.64 -468,850 CALL -5.72
## ## 6300 6300 CALL CALL -1.48 -2,120,800 CALL -5.17
Set-4 NIFTY Overall Buy
## SPOT 6302 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6302 5900 6800 PUT PUT 11.07 182,600 PUT 59.75
## 6302 6000 6700 CALL PUT -2.32 136,950 -8.13
## 6302 6100 6600 CALL CALL -1.43 -81,850 CALL -5.07
## 6302 6200 6500 CALL PUT -1.54 1,034,450 -5.46
## ## 6300 6400 CALL PUT -1.29 833,750 -4.59 

 

Closed Position details

We took five trades and the initial ones were successful. Towards the end we were looking for larger range moves and those trades backfired. Option trading system was also behaving dynamically switching between puts and calls which was indicating a range-bound market.   We took our first monthly loss after a period of seven months. The overall profits from August 2013 stand at Rs.8522.50 on the initial investment of Rs.30000, a 28.4% return.

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
06-Dec-2013, 9:23 am 06-Dec-2013, 3:16 pm NIFTY CE 6500.00 26DEC2013 2 * 50(100) 48.40 52.2 4840 380 Nifty likely to scale new highs by afternoon. Closing comment: Though NIFTY went up till the last minute the magnitude was less. Position closed at 52.2
11-Dec-2013,10:51 am 12-Dec-2013,9:37 am NIFTY PE 6300.00 26DEC2013 1 * 50(50) 70.25 85.4 3512.5 757.5 Nifty likely to test 6265 levels and below. Closing comment: Nifty reached expected levels and target hit. Though high price of option at open was 109.70, it was not tradable. Position closed at target of 85.4
19-Dec-2013,10:09 am 20-Dec-2013,10:09 am NIFTY PE 6200.00 26DEC2013 1 * 50(50) 68.20 44.60 3410 -1180 Nifty likely to move towards 6135 and eventually to 6030 levels. Closing comment: Option premiums have started eroding due to range moves and system parameters IV and OI trend changed in the morning. Position closed
24-Dec-2013,12:53 pm 24-Dec-2013,3:20 pm NIFTY CE 6250.00 26DEC2013 2 * 50(100) 45.40 36.5 4540 -890 Nifty likely to move towards 6311 in late afternoon trade.Closing comment: The expected move did not happen. Position closed.
26-Dec-2013,1:54 pm 26-Dec-2013,3:08 pm NIFTY CE 6250.00 26DEC2013 1 * 50(50) 32.60 18 1630 -730 Nifty likely to move towards 6311 before expiry. Closing comments: The upmove happened only till 6302 levels and call value appreciated till 49 levels. But move did not sustain and position closed at SL price
Overall Profit/Loss Rs.-1662.5

 

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