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

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Last Updated: Jan 13, 2020, 08.19 AM IST
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This pair has 85% correlation over the last one year.
By Motilal Oswal Securities

Option Writing
STRATEGY 1
Writing against Cash/Future Holding
Sell INDUSINDBK 1620 CE 30-JAN-20 at `11.75
Target Level : 0.05
Stop Loss Level : `18.10
Gross Monthly Yield : 1.30%
ROI : 5%
Margin : `95,000
Days to Expiry : 18
Writing with Hedging
Leg 1: Sell INDUSINDBK 1620 CE 30-JAN-20 at `11.75
Leg 2: Buy INDUSINDBK 1700 CE 30-JAN-20 at `4.6
Target Level : 0.05
Stop Loss (Spread) Level : 11.50
Gross Monthly Yield : 0.80%
ROI : 3%
Margin : `93,000
Days to Expiry : 18

STRATEGY 2
Writing against Cash/Future Holding
Sell UPL 650 CE 30-JAN-20 at `3.65
Target Level : 0.05
Stop Loss Level : `5.55
Gross Monthly Yield : 1%
ROI : 3.90%
Margin : `84,000
Days to Expiry : 18
Writing with Hedging
Leg 1: Sell UPL 650 CE 30-JAN-20 at `3.65
Leg 2: Buy UPL 680 CE 30-JAN-20 at `1.30
Target Level : 0.05
Stop Loss (Spread) Level : 3.70
Gross Monthly Yield : 0.65%
ROI : 3.90%
Margin : `83,000
Days to Expiry : 18

Pair Trading
STRATEGY 1
Leg 1: BUY HDFC 1 LOT 30-JAN-20 at `2,467
AND 10 SHARES IN CASH
Leg 2: SELL HDFCBANK 1 LOT 30-JAN-20 at
`1,284.20
Tenure : 7-8 Days
Target Profit : 2.70%
Stop Loss : 1.35%
Margin : `2,20,000

This pair has 90% correlation over the last few weeks post its ex-corporate action. Pair has trade lot ratio of 0.96 with
price ratio of 1.92. We are expecting the ratio to widen to 1.96-2.05 as per its statistical data.

STRATEGY 2
Leg 1: BUY AMBUJACEM 1 LOT 30-JAN-20 at
`212.85 AND 351 SHARES IN CASH
Leg 2: SELL ACC 1 LOT 30-JAN-20 at `1,517.30
Tenure : 7-8 Days
Target Profit : 2.90%
Stop Loss : 1.40%
Margin : `80,500

This pair has 85% correlation over the last one year. Pair (ACC /AMBUJACEM) has trade lot ratio of 1.14 with price ratio of 7.13. We are expecting the ratio to narrow down as per its 2SD band with the view to continue to outperformance of AMBUJACEM.

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