Top quant trade ideas for the week

By MOTILAL OSWAL

Option Writing
STRATEGY 1
Writing against Cash / Fut Holding
Sell MOTHERSUMI 152.50 CE 30-JAN-20 AT `1.10

Target Level : 0.05
Stop Loss Level : 1.60
Gross Monthly Yield : 1.95%
ROI : 4.5%
Margin : `1,11,000
Days to Expiry : 11
Writing with Hedging
Leg 1: Sell MOTHERSUMI 152.50 CE 30-JAN-20 AT `1.10
Leg 2: Buy MOTHERSUMI 165 CE 30-JAN-20 AT `0.30
Target Level : 0.05
Stop Loss (Spread) Level : 1.15
Gross Monthly Yield : 1.20%
ROI : 2.55%
Margin : `1,09,000
Days to Expiry : 11

STRATEGY 2
Writing against Cash / Future Holding
Sell SBIN 345 CE 30-JAN-20 AT `1.65
Target Level : 0.05
Stop Loss Level : 2.40
Gross Monthly Yield : 1.30%
ROI : 3.20%
Margin : `1,45,000
Days to Expiry : 11
Writing with Hedging
Leg 1: Sell SBIN 345 CE 30-JAN-20 AT `1.65
Leg 2: Buy SBIN 385 CE 30-JAN-20 AT `0.25
Target Level : 0.05
Stop Loss (Spread) Level : 2.15
Gross Monthly Yield : 1.10%
ROI : 2.70%
Margin : `1,44,000
Days to Expiry : 11

Pair Trading
STRATEGY 1
Leg 1: BUY TATAMTRDVR 1 LOT 30-JAN-20
AT `82.75 AND 1,074 SHARES IN CASH
Leg 2: SELL TATAMOTORS 1 LOT 30-JAN-20
AT `197.80
Tenure : 7-8 Days
Target Profit : 4.50%
Stop Loss : 2.30%
Margin : `4,41,000

This pair has 98% correlation over the last one year. Pair (TATAMOTORS/TATAMTRDVR) has a trade lot ratio of 1.12 with price ratio of 2.39. We are expecting the ratio to come down as per its statistical data.

STRATEGY 2
Leg 1: BUY AMBUJACEM 1 LOT 30-JAN-20 AT
`211.25 AND 367 SHARES IN CASH
Leg 2: SELL ACC 1 LOT 30-JAN-20 AT `1,514.25
Tenure : 7-8 Days
Target Profit : 3.95%
Stop Loss : 1.90%
Margin : `2,78,000

This pair has 85% correlation over the last one year. Pair (ACC /AMBUJACEM) has a trade lot ratio of 1.15 with price ratio of 7.16. We are expecting the ratio to narrow down as per its 2SD band with the view to continue to outperformance of Ambuja Cement.