Top quant strategies for the coming week

By Motilal Oswal Financial Services

Option Writing
STRATEGY 1
Writing against Cash / Fut Holding
Sell HDFC BANK 1300 CE 31-OCT-19 @ `9.50
Target Level : 0.40

Stop Loss Level : 14
Gross Monthly Yield : 0.85%
ROI : 4.80%
Margin : `95,000
Days to Expiry : 25

Writing with Hedging
Leg 1 : Sell HDFC BANK 1300 CE 31-OCT-19 @ `9.50
Leg 2 : Buy HDFC BANK 1380 CE 31-OCT-19 @ `2.75
Target Level : 0.30
Stop Loss (Spread) Level : 10.15
Gross Monthly Yield : 0.65%
ROI : 3.50%
Margin : `92,000
Days to Expiry : 25

STRATEGY 2
Writing against Cash / Future Holding
Sell INFY 850 CE 31-OCT-19 @ `6.60
Target Level : 0.40
Stop Loss Level : 9.50
Gross Monthly Yield : 0.90%
ROI : 5%
Margin : `1.48,000
Days to Expiry : 25

Writing with Hedging
Leg 1 : Sell INFY 850 CE 31-OCT-19 @ `6.60
Leg 2 : Buy INFY 900 CE 31-OCT-19 @ `1.90
Target Level : 0.30
Stop Loss (Spread) Level : 7
Gross Monthly Yield : 0.65%
ROI : 3.65%
Margin : `1,45,000
Days to Expiry : 25


Pair Trading
STRATEGY 1
Leg 1 : BUY BAJFINANCE 1 LOT 31-OCT-19
@ `3928.80 AND 14 SHARES IN CASH
Leg 2 : SELL BAJAJ FINSERVE 1 LOT
31-OCT-19 @ `8357.95
Tenure : 7-8 Days
Target Profit : 2.70%
Stop Loss : 1.30%
Margin : `4,75,000

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


STRATEGY 2
Leg 1 : BUY AMBUJACEM 1 LOT 31-OCT-19 @
`190.30 and 646 SHARES IN CASH
Leg 2 : SELL ACC 1 LOT 31-OCT-19 @ 1495.55
Tenure : 7-8 Days
Target Profit : 2.65%
Stop Loss : 1.50%
Margin : `3,45,500

This pair has 87% correlation over the last one year. Pair (ACC/Ambuja cem) has trade lot ratio of 0.80 with price
ratio of 7.86. We are expecting the ratio to narrow down as per its 2SD band with the view to outperformance of
Ambujacem.