Top quant trade ideas for the week

By Motilal Oswal Securities

Option Writing

STRATEGY 1
Writing against Cash / Fut Holding
Sell TATA STEEL `540 CE 30-MAY-19 @`5.05

Target Level : 0.05
Stop Loss Level : 7.50
Gross Monthly Yield : 1.60 per cent
ROI : 6.50 per cent
Margin : `81,000
Days to Expiry : 18

Writing with Hedging
Leg 1 : Sell TATA STEEL `540 CE 30-MAY-19 @`5.05
Leg 2 : Buy TATA STEEL `580 CE 30-MAY-19 @`1.60
Target Level : 0.05
Stop Loss (Spread) Level : 5.10
Gross Monthly Yield : 1.09 per cent
ROI : 4.50 per cent
Margin : `80,000
Days to Expiry : 18

STRATEGY 2

Writing against Cash / Future Holding

Sell PETRONET `255 CE 30-MAY-19 @`2.55
Target Level : 0.05
Stop Loss Level : 3.75
Gross Monthly Yield : 1.65 per cent
ROI : 6.80 per cent
Margin : `1,10,000
Days to Expiry : 18

Writing with Hedging
Leg 1 : Sell PETRONET `255 CE 30-MAY-19 @`2.55
Leg 2 : Buy PETRONET `265 CE 30-MAY-19 @`1.15
Target Level : 0.05
Stop Loss (Spread) Level : 2.50
Gross Monthly Yield : 1.02 per cent
ROI : 4.31 per cent
Margin : `1,08,000
Days to Expiry : 18


Pair Trading

STRATEGY 1
Leg 1 : BUY BAJ FINANCE 1 LOT 30-MAY-19
@`2933.05 and 67 SHARES IN CASH @ `2922.85
Leg 2 : SELL BAJAJ FINSERV 1 LOT 30-MAY-
19 @ `7431.05
Tenure : 8-9 Days
Target Profit : 2.75 per cent
Stop Loss : 1.35 per cent
Margin : `4,80,000

This pair has 96 per cent correlation over the last one year. Pair has trade lot ratio of 1.20 with price ratio of 0.41. It has come slightly lower to its average mean levels so may bounce back with stability in Bajaj Finserve and buying interest in Bajaj Finance as per its statistical data of 2SD band.

Pair Trading

STRATEGY 2

Leg 1 : Buy AMBUJAECEM 1 LOT 30-MAY-19 @
AMBUJAECEM `216.05
Leg 2 : Sell ACC 1 LOT 30-MAY-19 @ `1605.15
Tenure : 7-8 Days
Target Profit : 2.65 per cent
Stop Loss : 1.35 per cent
Margin : `2,13,000

This pair has 93 per cent correlation over the last one year. Pair has trade lot ratio of 1.20 with price ratio of 0.14. As per
the statistical data, spread has skewed to its lower band and staying in that zones from last few weeks so higher
probability to move back towards its mean levels.