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Top quant strategies for the week ahead

This pair has 90% correlation over the last few weeks post its ex corporate action.

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Last Updated: Nov 18, 2019, 08.13 AM IST|Original: Nov 18, 2019, 08.13 AM IST
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Pair (ACC/Ambuja cem) has trade lot ratio of 0.80 with price ratio
of 7.41.

By Motilal Oswal Financial Services

Option Writing
STRATEGY 1
Writing against Cash / Fut Holding
Sell DRREDDY 2850 CE 28-NOVE-19 @ `20.50
Target Level : 0.30
Stop Loss Level : 30.60
Gross Monthly Yield : 1.88%
ROI : 4.75%
Margin : `1,06,000
Days to Expiry : 11
Writing with Hedging
Leg 1: Sell DRREDDY 2850 CE 28-NOV-19 @ `20.50
Leg 2: Buy DRREDDY 3000 CE 28-NOV-19 @ `4.25
Target Level : 0.10
Stop Loss (Spread) Level : 25.20
Gross Monthly Yield : 1.50%
ROI : 3.85%
Margin : `1,05,000
Days to Expiry : 11

STRATEGY 2

Writing against Cash / Future Holding
Sell INDUSIND BANK 1460 CE 28-NOV-19 @ `11
Target Level : 0.40
Stop Loss Level : 16.20
Gross Monthly Yield : 1.95%
ROI : 5.05%
Margin : `83,500
Days to Expiry : 11
Writing with Hedging
Leg 1 : Sell INDUSIND BANK 1460 CE 28-NOVE-19 @ `11
Leg 2 : Buy INDUSIND BANK 1520 CE 28-NOV-19 @ `4.05
Target Level : 0.20
Stop Loss (Spread) Level : 11.50
Gross Monthly Yield : 1.25%
ROI : 3.25%
Margin : `82,000
Days to Expiry : 11

Pair Trading
STRATEGY 1
Leg 1 : BUY HDFC 1 LOT 28-NOV-19 @
`2228.90 AND 37 SHARES IN CASH
Leg 2 : SELL HDFC BANK 1 LOT 28-NOV-19 @
`1281.15
Tenure : 7-8 Days
Target Profit : 2.70%
Stop Loss : 1.30%
Margin : `2,95,000

This pair has 90% correlation over the last few weeks post its ex corporate action. Pair has Trade lot ratio of 1.10 with price
ratio of 1.74. We are expecting the ratio to widen to 1.77-1.80 as per its statistical data.

STRATEGY 2
Leg 1: BUY AMBUJACEM 1 LOT 28-NOV-19 @
`201.15 AND 465 SHARES IN CASH
Leg 2: SELL ACC 1 LOT 28-NOV-19 @ `1490.85
Tenure : 7-8 Days
Target Profit : 2.80%
Stop Loss : 1.35%
Margin : `2, 87,000

This pair has 85% correlation over the last one year. Pair (ACC/Ambuja cem) has trade lot ratio of 0.80 with price ratio
of 7.41. We are expecting the ratio to narrow down as per its 2SD band with the view to outperformance of Ambujacem.
(Disclaimer: The opinions expressed in this column are that of the writer. The facts and opinions expressed here do not reflect the views of www.economictimes.com.)

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