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Stock Analysis, IPO, Mutual Funds, Bonds & More

Top quantitative strategies of the day

Here are the top ideas to make money.

ET Bureau|
Feb 11, 2019, 12.43 PM IST
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This pair has 98 per cent correlation over the last one year.
By Motilal Oswal

Option Writing

STRATEGY 1
Writing against Cash / Future Holding
Sell INDUSIND BANK 1580 CE 28-FEB-19 @ 8.55
Target Level : 0.15
Stop Loss Level : 13
Gross Monthly Yield : 0.90 per cent
ROI : 3.65 per cent
Margin : 69,500
Days to Expiry : 18

Writing with Hedging

Leg 1: Sell INDUSIND BANK 1580 CE 28-FEB-19@ 8.55
Leg 2: Buy INDUSIND BANK 1650 CE 28-FEB-19@ 2.85
Target Level : 0.10
Stop Loss (Spread) Level : 9.25
Gross Monthly Yield : 0.65 per cent
ROI : 2.50 per cent
Margin : 68,500
Days to Expiry : 18

STRATEGY 2

Writing against Cash / Future Holding
Sell ACC 1480 CE 28-FEBRUARY-19 @ 9.45
Target Level : 0.15
Stop Loss Level : 14
Gross Monthly Yield : 1.05 per cent
ROI : 4.30 per cent
Margin : 87,000
Days to Expiry : 18

Writing with Hedging

Leg 1 : Sell ACC 1480 CE 28-FEB-19 @ 9.45
Leg 2 : Buy ACC 1540 CE 28-FEB-19 @ 3.05
Target Level : 0.05
Stop Loss (Spread) Level : 10
Gross Monthly Yield : 0.75 per cent
ROI : 2.95 per cent
Margin : 85,000
Days to Expiry : 18

Pair Trading
STRATEGY 1
Leg 1 : BUY HINDPETRO 1 LOT 28-FEB-19 @
224.65 and 507 SHARES IN CASH
Leg 2 : SELL BPCL 1 LOT 28-FEB-19 @ 325.50
Tenure : 7-8 Days
Target Profit : 4.50 per cent
Stop Loss : 2.40 per cent
Margin : 3,44,000

This pair has 96 per cent correlation over the last one year. It has Trade lot ratio of 1.30 with price ratio of 0.69. So to keep the pair money neutral we are suggesting to buy some shares of Hindpetro in cash. As per statistical data it is at 61 per cent band of 2 SD and as per its nature pair may diverge towards the outperformance of HindPetro.

Pair Trading
STRATEGY 2
Leg 1: BUY HDFC BK 2 (Two) LOT 28-FEB-19 @ 2126.45
Leg 2: SELL HDFC LTD 1 LOT 28-FEB-19 @ 1953.45
Tenure : 7-8 Days
Target Profit : 2.60 per cent
Stop Loss : 1.20 per cent
Margin : 3,62,000

This pair has 98 per cent correlation over the last one year. Pair (HDFC Ltd / HDFC Bank) has Trade lot ratio of 0.54 with price ratio of 0.92. It has been moving in a price spread difference of 110-120 to 200+ points from last couple of months. Expecting spread to witness widen more in range as recently already given the spread spike from 120 to 170 points with opportunity of getting 30-40 points intra week 1-2 times as per its statistical data on 2SD band.
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