Top Quant strategies for the week ahead

BY MOTILAL OSWAL

Option Writing
STRATEGY 1 Writing against Cash / Future Holding Sell BANK OF BARODA 170 CE 27-SEPT-18 @ 0.95 Target Level : 0 Quantitative Strategies


Stop Loss Level : 1.45 Gross Monthly Yield : 1.10 per cent ROI : 4.90 per cent Margin : 77,000 Days to Expiry : 18

Writing with Hedging Leg 1: Sell BANK OF BARODA 170 CE 27-SEP-18 @ 0.95 Leg 2: Buy BANK OF BARODA 180 CE 27-SEP-18 @ 0.40 Target Level : 0 Stop Loss (Spread) Level : 0.85 Gross Monthly Yield : 0.70 per cent ROI : 2.90 per cent Margin : 75,500 Days to Expiry : 18

STRATEGY 2 Writing against Cash / Future Holding Sell MARUTI 9200 CE 27-SEPTEMBER-18 @ 57.65 Target Level : 0 Stop Loss Level : 87 Gross Monthly Yield : 1.15 per cent ROI : 4.95 per cent Margin : 87,000 Days to Expiry : 18

Writing with Hedging Leg 1 : Sell MARUTI 9200 CE 27-SEPT-18 @ 57.65 Leg 2 : Buy MARUTI 9700 CE 27-SEPT-18 @ 17.50 Target Level : 0 Stop Loss (Spread) Level : 60 Gross Monthly Yield : 0.80 per cent ROI : 3.50 per cent Margin : 85,500 Days to Expiry : 18

Pair Trading STRATEGY 1 Leg 1: BUY NIFTY FUTURE 1 LOT 27-SEPT-18 @ 11632.95 Leg 2: SELL HDFC 1 LOT 27-SEPT-18 @ 1929.60 Tenure : 7-8 Days Target Profi t : 4.35 per cent Stop Loss : 2.25 per cent Margin : 1,91,000

This pair has 98 per cent correlation over the last one year. Pair has Trade lot ratio of 1.10 with price ratio of 6.03. Spread is trading at 73 per cent band of its 2SD and as per the statistical data and failure move of stock, suggests that index has potential to outperform the mentioned stock

Pair Trading STRATEGY 2 Leg 1: BUY AMBUJACEM 1 LOT 27-SEPTEMBER-18 @ 229.05 Leg 2: SELL ACC 1 LOT 27-SEPTEMBER-18 @ 1583.60 Tenure : 6-7 Days Target Profi t : 2.90 per cent Stop Loss : 1.35 per cent Margin : 1,53,500

This pair has 96 per cent correlation over the last one year. It has Trade lot ratio of 1.11 with price ratio of 0.14. Spread is trading at 26 per cent band of its 2 Standard Deviation and as per the statistical data it can again turn higher towards its mean levels.