Top quant play ideas for the week

Option Writing
STRATEGY 1
Writing against Cash / Future Holding
Sell LUPIN 880 CE 28-DEC-17 @ 10.30
Target Level : 0
Stop Loss Level : 16
Gross Monthly Yield : 1.30%
ROI : 8.75% Margin : 47,000
Days to Expiry : 24

Writing with Hedging
Leg 1 : Sell LUPIN 880 CE 28-DEC-17 @ 10.30
Leg 2 : Buy LUPIN 920 CE 28-DEC-17 @ 5.65
Target Level : 0
Stop Loss (Spread) Level : 7
Gross Monthly Yield : 1%
ROI : 4.40%
Margin : 42,500
Days to Expiry : 24

STRATEGY 2
Writing against Cash / Future Holding Sell
SUNPHARMA 580 CE 28-DEC-17 @ 8.60
Target Level : 0
Stop Loss Level : 12.90
Gross Monthly Yield : 1.65%
ROI : 10.90% Margin : 63,000
Days to Expiry : 24

Writing with Hedging
Leg 1 : Sell SUNPHARMA 580 CE 28-DEC-17 @ 8.60
Leg 2 : Buy SUNPHARMA 580 CE 28-DEC-17 @ 5.85
Target Level : 0 Stop Loss (Spread)
Level : 4.10
Gross Monthly Yield : 0.75%
ROI : 3.85% Margin : 57,000

Pair Trading

STRATEGY 1
Leg 1 : Buy TATAMOTOR 1 LOT 28-DEC-17 @ 399.90 and 73 Shares in cash
Leg 2 : Sell TATAMTRDVR 1 LOT 28-DEC-17 @ 299.55
Tenure : 5 Days Target Profit : 3%
Stop Loss : 1.25%
Margin : 1,67,000

This pair is comparatively co-integrated and has 86% correlation over the last one year. Statistics are fi rst time showing this pair compared to previous 10 trades of opposite pair from the current strategy in the time frame of last 11 months. Price ratio is expected to move from the recent ratio of 1.74.

Pair Trading
STRATEGY 2
Leg 1 : Buy ACC 1 LOT 28-DEC-17 @ 1679.95
Leg 2 : Sell AMBUJACEMENT 1 LOT 28-DEC-17 @ 264.35
Tenure : 4-5 Days
Target Profit : 3.50%
Stop Loss : 1.75%
Margin : 1,66,500

This pair has 97% correlation over the last one year and trade lot ratio is almost 1. Price ratio has just turned from the lower band of its statistical average and expected to head towards to its mean thus ACC may gain more than Ambuja Cement. Both the stocks are in consolidative mode from last four series.