Top quantitative trade strategies for the week

BY MOTILAL OSWAL SECURITIES

Option Writing

STRATEGY 1


Writing against Cash / Fut Holding

Sell PNB 90 CE 28-JUNE-18 at Rs0.25
Target Level : 0
Stop Loss Level : 0.40
Gross Monthly Yield : 2.10per cent
ROI : 2.15per cent
Margin : Rs46,000
Days to Expiry : 4

Writing with Hedging

Leg 1 : Sell PNB 90 CE 28-JUNE-18 at Rs0.25
Leg 2 : Buy PNB 100 CE 28-JUNE-18 at Rs0.10
Target Level : 0
Stop Loss (Spread) Level : 0.25
Gross Monthly Yield : 1.30per cent
ROI : 1.30per cent

STRATEGY 2

Writing against Cash / Future Holding

Sell MOTHERSUMI 320 CE 28-JUNE-18 at Rs1.00
Target Level : 0
Stop Loss Level : 1.50
Gross Monthly Yield : 2.30per cent
ROI : 2.45per cent
Margin : Rs64,500
Days to Expiry : 4

Writing with Hedging

Leg 1 : Sell MOTHERSUMI 320 CE 28-JUNE-18 at Rs1.00
Leg 2 : Buy MOTHERSUMI 330 CE 28-JUNE-18 at Rs0.45
Target Level : 0
Stop Loss (Spread) Level : 0.85
Gross Monthly Yield : 0.90per cent
ROI : 1.40per cent
Margin : Rs63,000
Days to Expiry : 4

Pair Trading
STRATEGY 1
Leg 1 : Buy GODREJCP 1 LOT 28-JUNE-18 at Rs1,169.85
Leg 2 : Sell GODREJIND 1 LOT 28-JUNE-18 at Rs607.20
Tenure : 4 Days
Target Profit : 2.45per cent
Stop Loss : 1.25 per cent
Margin : Rs2,30,500

This pair has 88per cent correlation over the last one year. Pair has Trade lot ratio of 1 with price ratio of 1.93. As per the statistical data, spread has recovered from its lower zones of the trading band and moving higher, thus expecting its head towards upper band as per its past price behaviour.

Pair Trading
STRATEGY 2
Leg 1 : Buy HINDUNILVR 1 LOT 28-JUNE-18
at Rs1,611.35
Leg 2 : Sell DABUR 1 LOT 28-JUNE-18 at
Rs386.40
Tenure : 4 Days
Target Profi t : 3.10per cent
Stop Loss : 1.50per cent

This pair has 89per cent correlation over the last one year.Pair has Trade lot ratio of 1 with price ratio of 4.17. As per the statistical data, spread of pair is narrowing and after the recent data setup it may diverge towards upper band of 2SD zone.