Top quantitative strategies for the week

By Motilal Oswal Securities

Option Writing

STRATEGY 1
Writing against Cash / Fut Holding
Sell Bank of Baroda 170 CE 22-FEB-18 at `0.70

Target Level : 0
Stop Loss Level : 1.00
Gross Monthly Yield : 3.25 per cent
ROI : 3.40 per cent
Margin : `82,500
Days to Expiry : 4

Writing with Hedging
Target Level : 0
Stop Loss (Spread) Level : 0.70
Gross Monthly Yield : 2.15 per cent
ROI : 2.25 per cent
Margin : `80,000
Days to Expiry : 4

STRATEGY 2
Writing against Cash / Future Holding
Sell JSPL 280 CE 22-FEB-18 at `1.25
Target Level : 0
Stop Loss Level : 2
Gross Monthly Yield : 3.75 per cent
ROI : 3.40 per cent
Margin : `1,65,000
Days to Expiry : 4

Writing with Hedging
Leg 1 : Sell JSPL 280 CE 22-FEB-18 at `1.25
Leg 2 : Buy JSPL 290 CE 22-FEB-18 at `0.80
Target Level : 0
Stop Loss (Spread) Level : 0.70
Gross Monthly Yield : 1.34 per cent
ROI : 1.25 per cent
Margin : `1,61,000
Days to Expiry : 4


Pair Trading
STRATEGY 1
Leg 1 : Buy IGL 1 LOT 22-FEB-18 at `295.55
and 421 shares in cash
Leg 2 : Sell GAIL 1 LOT 22-FEB-18 at `468.65
Tenure : 4 Days
Target Profi t : 3.95 per cent
Stop Loss : 1.80 per cent
Margin : `3,51,000

This pair has 96 per cent correlation over the last one year. Pair has trade lot ratio of 1.20 with price ratio of 0.63. The pair is well co-integrated and turning higher to its lower band of Bollinger so expecting it to test the mean or even upper band of 2 SD as per statistical data.

Pair Trading
STRATEGY 2
Leg 1 : Buy HDFC 1 LOT 22-FEB-18 @ 1814.45
Leg 2 : Sell HDFC BANK 1 LOT 22-FEB-18 @
1876.35
Tenure : 4 Days
Target Profi t : 3.60 per cent
Stop Loss : 1.70 per cent
Margin : 3,03,000

This pair has 96 per cent correlation over the last one year. Pair has Trade lot ratio of 1 with price ratio of 0.97. It is well co-integrated and one of the best pair to deliver the consistent return in last one year. In the last two week pair has narrowed down from 0.97 and expecting it to oscillate in between 0.94 to 1.05 for next coming sessions.