Top quant strategies for the week

Option Writing

STRATEGY 1

Writing against Cash / Future Holding


Sell COAL INDIA 275 CE DEC 28 at `0.65
Target Level : 0
Stop Loss Level : 1
Gross Monthly Yield : 1.25 per cent
ROI : 1.85 per cent
Margin : `60,500
Days to Expiry : 3

Writing with Hedging

Leg 1: Sell COAL INDIA 275 CE DEC 28
at `0.65
Leg 2: Buy COAL INDIA 280 CE DEC 28
at `0.35
Target Level : 0
Stop Loss (Spread) Level : 0.50
Gross Monthly Yield : 0.75 per cent
ROI : 1 per cent
Margin : `59,000
Days to Expiry : 3

STRATEGY 2

Writing against Cash / Future Holding

Sell DRREDDY 2450 CE DEC 28 at `5.90
Target Level : 0
Stop Loss Level : 9.25
Gross Monthly Yield : 1.20 per cent
ROI : 1.95 per cent
Margin : `61,000
Days to Expiry : 3

Writing with Hedging

Leg 1: Sell DRREDDY 2450 CE DEC 28
at `5.90
Leg 2: Buy DRREDDY 2500 CE DEC 28
at `4.00
Target Level : 0
Stop Loss (Spread) Level : 3.05
Gross Monthly Yield : 0.60 per cent
ROI : 2 per cent
Margin : `60,000
Days to Expiry : 3

Pair Trading

STRATEGY 1

Leg 1: Buy ACC 1 LOT
DEC 28 at `1,783.90
Leg 2: Sell AMBUJA CEMENT
1 LOT DEC 28 at `268.45
Tenure : 3 Days
Target Profi t : 3.80 per cent
Stop Loss : 1.95 per cent
Margin :`2,14,000

This pair has 97 per cent correlation over the last one year. Pair has trade lot ratio of 1 with price ratio of 6.45. The pair is well co-integrated and slightly skewed to its mean with normal distribution as per 2SD/20 Bolinger period.

Pair Trading

STRATEGY 2

Leg 1 : Buy HINDPETRO
1 LOT DEC 28 at `429.95
Leg 2 : Sell IOC 1 LOT
DEC 28 at `411.80
Tenure : 3 Days
Target Profi t : 4.50 per cent
Stop Loss : 2 per cent
Margin :`2,03,000

This pair has 95 per cent correlation over the last one year. Trade and price lot ratio both are almost at 1. Price ratio has just turned from the
lower band of its statistical average and expected to head towards to its mean.