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    Top quant strategies for the week ahead

    Synopsis

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

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    We are expecting the ratio to widen further as per its statistical data.

    INSIGHTS

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    By Motilal Oswal Financial Services

    Option Writing
    STRATEGY 1
    Writing against Cash / Future Holding
    Sell INDUSINDBK 1600 CE 26-DECEMBER-19 @ `9.00
    Target Level : 0.05
    Stop Loss Level : 13.50
    Gross Monthly Yield : 1.05%
    ROI : 3.95%
    Margin : `90,000
    Days to Expiry : 18
    Writing with Hedging
    Leg 1: Sell INDUSINDBK 1600 CE DECEMBER 26, 19 @ `9.00
    Leg 2: Buy INDUSINDK 1680 CE
    26-NOVEMBER-19 @ 2.90
    Target Level : 0.05
    Stop Loss (Spread) Level : 9.50
    Gross Monthly Yield : 0.70%
    ROI : 2.70%
    Margin : `89,000
    Days to Expiry : 18

    STRATEGY 2
    Writing against Fut Holding
    Sell ESCORTS 680 CE DECEMBER 26, 19 @ `3.9
    Target Level : 0.05
    Stop Loss Level : 5.95
    Gross Monthly Yield : 1.05%
    ROI : 4.15%
    Margin : `101,600
    Days to Expiry : 18
    Writing with Hedging
    Leg 1: Sell ESCORTS 680 CE DECEMBER 26, 19 @ `3.9
    Leg 2: Buy ESCORTS 740 CE DECEMBER 26, 19 @ `0.8
    Target Level : 0.05
    Stop Loss (Spread) Level : 4.58
    Gross Monthly Yield : 0.85%
    ROI : 3.30%
    Margin : `1,00,600
    Days to Expiry : 18

    Pair Trading
    STRATEGY 1
    Leg 1 : BUY HDFC 1 LOT DECEMBER 26, 19 @
    `2275.30 AND 25 SHARES IN CASH
    Leg 2 : SELL HDFC BANK 1 LOT
    26-DECEMBER-19 @ 1250.90
    Tenure : 7-8 Days
    Target Profit : 2.80%
    Stop Loss : 1.35%
    Margin : `2,68,000

    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 1.82. We are expecting the ratio to widen further as per its statistical data.

    Pair Trading
    STRATEGY 2
    Leg 1 : BUY HDFC BANK 2 LOT 25-JULY-19 @ `2396.25
    Leg 2 : SELL HDFC LTD 1 LOT 25-JULY-19
    @ `2241.05
    Tenure : 7-8 Days
    Target Profit : 2.75%
    Stop Loss : 1.40%
    Margin : `4,12,000

    This pair has 92% correlation over the last one year. Pair (BAJAJFINSV /BAJFINANCE) has trade lot ratio of 1.12 with price ratio of 2.24. We are expecting the ratio to narrow down as per its 2SD band with the view to outperformance of Bajaj Finance .
    (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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