First weekly option monitoring - Wednesday

Date : 24-06

Time: 12:11 PM

I'm analyzing the the profit movement of various IC spread levels from -7% to 7% to - 3% to 3% from Monday morning every hour. Overall based on the intraday movement  the profit keeps moving - however at broad level there is 30% time decay from start of the day till end of day for monday and further 30% decay overnight from monday to tuesday and again on Tuesday  there is 30% decay from morning till end of day. 

Throughout the 25 June series - Market is fairly range bound - monday increased by 1% and Tuesday increased by 1% - hence this is a good week for analyzing the time decay and formulate the strategy for flat market 

IV on Put side is high due to impending fear of India china war tensions and Covid outburst. 

Since Nifty is at 10450. Sold the hedge on put side which i bought on Monday 

Learnings:

Sell hedges on the untested side on Wednesday which ever is far by 10% - ensure sufficient margin available. Selling of hedges before its losses the value will improve the profit of the trade 

Do not square off sold position - until the value becomes too low (0.1) to carry overnight or when you see possibility of black swan event coming 

Margin for full IC is approx. 50 K (including the volatile intraday movement) and net credit should be atleast 500 

For 5 lakh capital u can get 10 ICs - Overall net premium collection Rs 5000

Keep additional 5 lakhs capital for adjustment trades and additional margin for selling hedges. 

 

Consolidate the order lots to optimize brokerages - Choose the overall . Always buy 3 lots atleast 

 Possibility of losses

1. Black swan event- IV increases across the board - Roll over the losing position to next week with minimal loss or no loss