The Economic Times
English EditionEnglish Editionहिन्दीગુજરાતી
| E-Paper
Search
+

    Top quant strategy for the week ahead

    Synopsis

    This pair has 97% correlation over the last one year.

    Getty Images
    It has a trade lot ratio of 0.80 with price ratio of 7.9.
    By Motilal Oswal Financial Services

    Option Writing

    Strategy 1
    Writing against Cash / Futures Holding
    Sell HDFC 2220 CE 31-OCT-19 AT `19.30
    Target Level : 0.50
    Stop Loss Level : 29
    Gross Monthly Yield : 0.85%
    ROI : 5.80%
    Margin : `1,62,000
    Days to Expiry : 32

    Writing with Hedging
    Leg 1: Sell HDFC LTD 2220 CE 31-OCT-19
    AT `19.30
    Leg 2: Buy HDFC LTD 2400 CE 31-OCT-19
    AT `4.60
    Target Level : 0.35
    Stop Loss (Spread) Level : 23
    Gross Monthly Yield : 0.65%
    ROI : 4.50%
    Margin : `1,59,000
    Days to Expiry : 32


    Strategy 2
    Writing against Futures Holding
    Sell TCS 2240 CE 31-OCT-19 AT `20.65
    Target Level : 0.50
    Stop Loss Level : 31
    Gross Monthly Yield : 0.90%
    ROI : 6.25%
    Margin : `80,500
    Days to Expiry : 32

    Writing with Hedging
    Leg 1: Sell TCS 2240 CE 31-OCT-19
    AT `20.65
    Leg 2: Buy TCS 2400 CE 31-OCT-19
    AT `5.55
    Target Level : 0.40
    Stop Loss (Spread) Level : 24
    Gross Monthly Yield : 0.65%
    ROI : 4.65%
    Margin : `79,000
    Days to Expiry : 32

    Pair Trading
    Strategy 1
    Leg 1: BUY BAJFINANCE 1 LOT 31-OCT-19
    AT `4,073.90 AND 14 SHARES IN CASH
    Leg 2 : SELL BAJAJ FINSERV 1 LOT
    31-OCT-19 AT `8,601.50
    Tenure : 7-8 Days
    Target Profit : 2.90%
    Stop Loss : 1.40%
    Margin : `5,25,000

    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 towards in ratio of 0.42 to 0.49 so may continue to bounce with stability in
    Bajaj Finserv and buying interest in Bajaj Finance as per its statistical data of 2SD band.

    Pair Trading
    Strategy 2
    Leg 1: BUY AMBUJACEM 1 LOT 31-OCT-19
    AT `208.15 AND 665 SHARES IN CASH
    Leg 2: SELL ACC 1 LOT 31-OCT-19 AT `1,645
    Tenure : 7-8 Days
    Target Profit : 2.65%
    Stop Loss : 1.50%
    Margin : `3,88,000

    This pair has 87% correlation over the last one year. It has a trade lot ratio of 0.80 with price ratio of 7.9. We are expecting
    the ratio to narrow down as per its statistical data of 2SD band with a view to outperformance of Ambuja Cement.
    (What's moving Sensex and Nifty Track latest market news, stock tips and expert advice on ETMarkets. Also, ETMarkets.com is now on Telegram. For fastest news alerts on financial markets, investment strategies and stocks alerts, subscribe to our Telegram feeds.)

    Also Read

    The Economic Times