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    Top quant strategies for the coming week

    Synopsis

    This pair has 87% correlation over the last one year.

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    Pair (ACC/Ambuja cem) has trade lot ratio of 0.80 with price ratio of 7.86.

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    By Motilal Oswal Financial Services

    Option Writing

    STRATEGY 1
    Writing against Cash / Fut Holding
    Sell HDFC BANK 1300 CE 31-OCT-19 @ `9.50
    Target Level : 0.40
    Stop Loss Level : 14
    Gross Monthly Yield : 0.85%
    ROI : 4.80%
    Margin : `95,000
    Days to Expiry : 25

    Writing with Hedging
    Leg 1 : Sell HDFC BANK 1300 CE 31-OCT-19 @ `9.50
    Leg 2 : Buy HDFC BANK 1380 CE 31-OCT-19 @ `2.75
    Target Level : 0.30
    Stop Loss (Spread) Level : 10.15
    Gross Monthly Yield : 0.65%
    ROI : 3.50%
    Margin : `92,000
    Days to Expiry : 25

    STRATEGY 2
    Writing against Cash / Future Holding
    Sell INFY 850 CE 31-OCT-19 @ `6.60
    Target Level : 0.40
    Stop Loss Level : 9.50
    Gross Monthly Yield : 0.90%
    ROI : 5%
    Margin : `1.48,000
    Days to Expiry : 25

    Writing with Hedging
    Leg 1 : Sell INFY 850 CE 31-OCT-19 @ `6.60
    Leg 2 : Buy INFY 900 CE 31-OCT-19 @ `1.90
    Target Level : 0.30
    Stop Loss (Spread) Level : 7
    Gross Monthly Yield : 0.65%
    ROI : 3.65%
    Margin : `1,45,000
    Days to Expiry : 25


    Pair Trading
    STRATEGY 1
    Leg 1 : BUY BAJFINANCE 1 LOT 31-OCT-19
    @ `3928.80 AND 14 SHARES IN CASH
    Leg 2 : SELL BAJAJ FINSERVE 1 LOT
    31-OCT-19 @ `8357.95
    Tenure : 7-8 Days
    Target Profit : 2.70%
    Stop Loss : 1.30%
    Margin : `4,75,000

    This pair has 97% correlation over the last one year. Pair has trade lot ratio of 1.10 with price ratio of 0.47. It has been moving in ratio of 0.42 to 0.49 and so may continue to bounce with stability in Bajaj Finserve and buying interest in Bajaj Finance as per its statistical data of 2SD band.


    STRATEGY 2
    Leg 1 : BUY AMBUJACEM 1 LOT 31-OCT-19 @
    `190.30 and 646 SHARES IN CASH
    Leg 2 : SELL ACC 1 LOT 31-OCT-19 @ 1495.55
    Tenure : 7-8 Days
    Target Profit : 2.65%
    Stop Loss : 1.50%
    Margin : `3,45,500

    This pair has 87% correlation over the last one year. Pair (ACC/Ambuja cem) has trade lot ratio of 0.80 with price
    ratio of 7.86. We are expecting the ratio to narrow down as per its 2SD band with the view to outperformance of
    Ambujacem.
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