Top quantitative trading ideas for the week

By Motilal Oswal Securities

Option Writing

STRATEGY 1
Writing against Cash / Fut Holding
Sell RBL 540 CE 22-FEB-18 @ 5.75

Target Level : 2
Stop Loss Level : 7.50
Gross Monthly Yield : 1 per cent
ROI : 7.50 per cent
Margin : 50,000
Days to Expiry : 25

Writing with Hedging

Leg 1: Sell RBL 540 CE 22-FEB-18 @ 5.75
Leg 2: Buy RBL 560 CE 22-FEB-18 @ 3.60
Target Level : 0.40
Stop Loss (Spread) Level : 3.15
Gross Monthly Yield : 1.25 per cent
ROI : 3.95 per cent
Margin : 44,500
Days to Expiry : 25

STRATEGY 2

Writing against Fut Holding

Sell TATAMOTORS 430 CE 22-FEB-18 @ 7.85
Target Level : 3.85
Stop Loss Level : 10
Gross Monthly Yield : 1.20 per cent
ROI : 9.85 per cent
Margin : 61,000
Days to Expiry : 25

Writing with Hedging

Leg 1: Sell TATAMOTORS 430 CE 22-FEB-18 @ 7.85
Leg 2: Buy TATAMOTORS 450 CE 22-FEB-18 @ 4.50
Target Level : 1
Stop Loss (Spread) Level : 4.50
Gross Monthly Yield : 1 per cent
ROI : 6.75 per cent
Margin : 52,500
Days to Expiry : 25

Pair Trading
STRATEGY 1
Leg 1: Buy AMBUJACEM 1 LOT 22-FEB-18
@ 262.65 and 145 shares in cash
Leg 2: Sell ACC 1 LOT 22-FEB-18 @ 1737.05
Tenure : 6-7 Days
Target Profi t : 3.65 per cent
Stop Loss : 1.75 per cent
Margin : 2,51,000

This pair has 97 per cent correlation over the past year. It has trade lot ratio of 1.10 with price ratio of 0.15, and it is well co-integrated and turned higher to its mean. So, expect it to test the upper band of 2 SD as per statistical data.

Pair Trading
STRATEGY 2
Leg 1: Buy HDFC BANK 1 LOT 22-FEB-18
@ 1971.45
Leg 2: Sell HDFC 1 LOT 22-FEB-18 @ 1914.40
Tenure : 5-7 Days
Target Profi t : 2.85 per cent
Stop Loss : 1.50 per cent
Margin : 3,05,000

This pair has 96 per cent correlation over the past year, and it has trade-lot ratio of 1 with price ratio of 1.03. It is one of the best pairs to deliver consistent returns in past year. Last week, it narrowed down from 0.98. Expect it to oscillate between 0.95 and 1.08 for next coming sessions. So, suggesting the opposite pair