Closed Position Details February 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

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