Top quant strategies for the week ahead

By Motilal Oswal Financial Services

Option Writing
Strategy 1
Writing against Cash / Futures Holding
Sell SBIN 290 CE 31-OCT-19 AT `2.60
Target Level : 0.20

Stop Loss Level : 3.70
Gross Monthly Yield : 1.45%
ROI : 5.90%
Margin : `1,22,000
Days to Expiry : 18

Writing with Hedging
Leg 1: Sell SBIN 290 CE 31-OCT-19
AT `2.60
Leg 2: Buy SBIN 330 CE 1-OCT-19
AT `0.70
Target Level : 0.15
Stop Loss (Spread) Level : 2.85
Gross Monthly Yield : 1.05%
ROI : 4.35%
Margin : `1,20,000
Days to Expiry : 18

Strategy 2
Writing against Futures Holding
Sell HEROMOTO 2850 CE 31-OCT-19 AT `24.7
Target Level : 0.40
Stop Loss Level : 37.50
Gross Monthly Yield : 1.45%
ROI : 6%
Margin : `81,000
Days to Expiry : 18

Writing with Hedging
Leg 1: Sell HEROMOTOCO 2850 CE
31-OCT-19 AT `24.70
Leg 2 : Buy HEROMOTOCO 3100 CE
31-OCT-19 AT `4.70
Target Level : 0.30
Stop Loss (Spread) Level : 31
Gross Monthly Yield : 1.15%
ROI : 4.95%
Margin : `80,000
Days to Expiry : 18

Pair Trading
Strategy 1
Leg 1: BUY BAJFINANCE 1 LOT 31-OCT-19
AT `3,984.60 AND 14 SHARES IN CASH
Leg 2: SELL BAJAJ FINSERV
1 LOT 31-OCT-19 AT `8,203
Tenure : 7-8 Days
Target Profit : 2.75%
Stop Loss : 1.35%
Margin : `4,50,000

Pair has 97% correlation over the last one year and trade lot ratio of 1 with price ratio of 0.49.
It has been moving towards 0.42-0.49 so may continue to bounce with stability in Bajaj Finserv
and buying in Bajaj Finance as per statistical data of 2SD band.

Pair Trading
Strategy 2
Leg 1: BUY AMBUJACEM 1 LOT 31-OCT-19
AT `189.80 AND 552 SHARES IN CASH
Leg 2 : SELL ACC 1 LOT 31-OCT-19
AT `1,447.35
Tenure : 7-8 Days
Target Profit : 2.65%
Stop Loss : 1.50%
Margin : `3,20,500

This pair has 87% correlation over the last one year. It has trade lot ratio of 0.80 with price ratio of 7.63. We are expecting the ratio to narrow down as per its 2SD band with the view to outperformance of Ambuja Cement.