Top quantitative strategies for the week

By Motilal Oswal Securities

Option Writing

STRATEGY 1

Writing against Cash / Futures Holding
Sell UNION BANK 120 CE 28-MARCH-18 @ 1.20
Target Level : 0.20

Stop Loss Level : 1.75
Gross Monthly Yield : 1.30 per cent
ROI : 6.65 per cent
Margin : `60,500
Days to Expiry : 24

Writing with Hedging
Leg 1: Sell UNION BANK 120 CE 28-MAR-18 @ 1.20
Leg 2: Buy UNION BANK 130 CE 28-MAR-18 @ 0.55
Target Level : 0
Stop Loss (Spread) Level : 1
Gross Monthly Yield : 0.85 per cent
ROI : 4.50 per cent
Margin : `58,000
Days to Expiry : 24

STRATEGY 2
Writing against Futures Holding

Sell CIPLA 620 CE 28-MARCH-18 @ 4.50
Target Level : 1
Stop Loss Level : 6.30
Gross Monthly Yield : 1 per cent
ROI : 4.50 per cent
Margin : `80,500
Days to Expiry : 24

Writing with Hedging

Leg 1: Sell CIPLA 620 CE 28-MARCH-18 @ 4.50
Leg 2: Buy CIPLA 640 CE 28-MARCH-18 @ 2.05
Target Level : 0
Stop Loss (Spread) Level : 3.70
Gross Monthly Yield : 0.65 per cent
ROI : 3.20 per cent
Margin : `77,000
Days to Expiry : 24

Pair Trading

STRATEGY 1
Leg 1 : Buy TVSMOTOR 1 LOT
28-MAR-18 @ 676.70
Leg 2 : Sell MARUTI 1 LOT 28-MAR-18
@ 8900.40
Tenure : 6-7 Days
Target Profi t : 4.20 per cent
Stop Loss : 2.10 per cent
Margin : `2,12,000

Pair has 97 per cent correlation over the past year. It has trade-lot ratio of 1 with price ratio of 0.08. It is turning higher to its lower band of Bollinger so expecting TVS to ourperform to Maruti Suzuki.

Pair Trading

STRATEGY 2
Leg 1: Buy AMBUJACEM 1 LOT
28-MAR-18 @ 253.3 & 76 Shares in Cash
Leg 2: Sell ACC 1 LOT 28-MAR-18
@ 1631.45
Tenure : 6-7 Days
Target Profi t : 3.80 per cent
Stop Loss : 1.85 per cent
Margin : `2,02,000

Pair has 97 per cent correlation over the past year. It has trade lot ratio of 1 with price ratio of 0.16. Pair has gone lower to its average mean thus, expecting it to move back to statistical averages.