Top quant trade ideas for the week ahead

By Motilal Oswal Financial Services

Option Writing

STRATEGY 1
Writing against Cash / Fut Holding

Sell KOTAK BANK 1540 CE 26-SEPT-19 @ 11.10
Target Level : 0.50
Stop Loss Level : 16
Gross Monthly Yield : 0.85%
ROI : 4.75%
Margin : `88,500
Days to Expiry : 24
Writing with Hedging
Leg 1 : Sell KOTAK BANK 1540 CE 26-SEPT-19 @ 11.10
Leg 2 : Buy KOTAK BANK 1620 CE 26-SEPT-19 @ 3.00
Target Level : 0.35
Stop Loss (Spread) Level : 12.50
Gross Monthly Yield : 0.65%
ROI : 3.55%
Margin : `87,000
Days to Expiry : 24

STRATEGY 2
Writing against Cash / Future Holding
Sell LT 1400 CE 26-SEPT-19 @ 12.90
Target Level : 0.05
Stop Loss Level : 19
Gross Monthly Yield : 1.10%
ROI : 6.00%
Margin : `77,000
Days to Expiry : 24
Writing with Hedging
Leg 1 : Sell LT 1400 CE 26-SEPT-19 @ 12.90
Leg 2 : Buy LT 1480 CE 26-SEPT-19 @ 3.50
Target Level : 0.30
Stop Loss (Spread) Level : 14.20
Gross Monthly Yield : 0.80%
ROI : 4.45%
Margin : `76,000
Days to Expiry : 24

Pair Trading

STRATEGY 1
Leg 1 : BUY BAJFINANCE 1 LOT 26-SEPT-19 @
3343.20 AND 17 SHARES IN CASH @ 3332.50
Leg 2 : SELL BAJAJ FINSERVE 1 LOT 26-
SEPT-19 @ 7145.90
Tenure : 7-8 Days
Target Profit : 2.80%
Stop Loss : 1.35%
Margin : `4,03,000

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 towards in ratio of 0.42 to 0.48 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 HDFC BANK 2 LOT 26-SEPT-19 @
2239.30
Leg 2 : SELL HDFC LTD 1 LOT 26-SEPT-19 @
2172.95
Tenure : 7-8 Days
Target Profit : 2.75%
Stop Loss : 1.35%
Margin : `3,90,000

This pair has 98% correlation over the last one year. Pair (HDFC Ltd / HDFC Bank) has Trade lot ratio of 0.50 with
price ratio of 0.97. It has recently gone to the spread ratio band of 20-50 points which is lowest zones in its recent
spread difference of last many months and again started to widen to 100-120 basis. We are expecting it to widen to 150
points as per its statistical data of 2SD Band.