Top quantitative strategies for the week

By MOTILAL OSWAL SECURITIES

Option Writing


STRATEGY 1
Writing against Cash / Future Holding
Sell BANKBARODA 155 CE 27-SEP-18 at Rupees 0.75
Target Level : 0
Stop Loss Level : 1.15
Gross Monthly Yield : 1.55 per cent
ROI : 4 per centMargin : Rupees 75,000
Days to Expiry : 11

Writing with Hedging
Leg 1 : Sell BANKBARODA 155 CE 27-SEP-18 at Rupees 0.75
Leg 2 : Buy BANKBARODA 170 CE 27-SEP-18 at Rupees 0.30
Target Level : 0
Stop Loss (Spread) Level : 0.70
Gross Monthly Yield : 0.95 per cent
ROI : 2.50 per cent
Margin : Rupees 73,000
Days to Expiry : 11

STRATEGY 2

Writing against Cash / Future Holding
Sell TATAMOTORS 290 CE 27-SEP-18 at Rupees 1.50
Target Level : 0
Stop Loss Level : 2.25
Gross Monthly Yield : 1.55 per cent
ROI : 4.30 per cent
Margin : Rupees 52,500
Days to Expiry : 11

Writing with Hedging
Leg 1 : Sell TATAMOTORS 290 CE 27-SEP-18 at Rupees 1.50
Leg 2 : Buy TATAMOTORS 320 CE 27-SEP-18 at Rupees 0.35
Target Level : 0
Stop Loss (Spread) Level : 1.75
Gross Monthly Yield : 1.20 per cent
ROI : 3.35 per cent
Margin : Rupees 52,000
Days to Expiry : 11

This pair has 98 per cent correlation over the last one year. Pair has Trade lot ratio of 1.10 with price ratio of 0.95. It is heading towards its mean after a long divergence with the spread of more than 125-150 points. Price spread is now near to 110 points and expecting it to narrow down in next coming sessions. So as per the statistical data and price set up, it can go to its average previous spread zones towards its mean levels after a long divergence of last couple of months.

Pair Trading
STRATEGY 1
Leg 1 : BUY HDFC 1 LOT 27-SEP-18 at Rupees 1,926.75
Leg 2 : SELL HDFC BANK 1 LOT 27-SEP-18 at Rupees 2,035.60
Tenure : 7-8 Days
Target Profit : 2.80 per cent
Stop Loss : 1.50 per cent
Margin : Rupees 2,45,000

This pair has 83 per cent correlation over the last one year. It has Trade lot ratio of 1.30 with price ratio of 1.46. Spread is trading at lower band of its 2 standard deviation and as per the statistical data it can again turn higher towards its mean levels.

Pair Trading
STRATEGY 2
Leg 1 : BUY GODREJ CONSUMER 1 LOT 27-SEP-18 at Rupees 865.60
Leg 2 : SELL GODREJ IND 1 LOT 27-SEP-18 at Rupees 592.65
Tenure : 6-7 Days
Target Profit : 3.90 per cent
Stop Loss : 2.10 per cent
Margin : Rupees 2,48,000