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Nifty Monthly Put Strategy

Entry: To be taken 17 trading days before expiry day (expiry day to be excluded). Please exclude any trading holidays also while counting 17 trading days

Instrument: Sell a Nifty Monthly PUT rounded to near by 100 which is away from ATM by 1.5 times the combined premium of ATM CE + PE monthly option on the entry day e.g. Say Nifty ATM on day of entry is 16400 and the combined premium of 16400 Monthly PE and CE option is 700. Then 700 *1.5 = 1050. 16400 - 1050 = 15350 so we can either sell 15300 or 15400 Nifty monthly PUT.

Stop-Loss: 100 points. E.g. if the Nifty PUT was sold at 70 and the price reaches 170, position has to be exited

Exit: Whenever the PUT's premium reaches below Rs. 5 or on monthly expiry day at 1520 

Slippage: 0%

Capital Needed: At entry time a capital of 65-70 k is needed to trade 1 lot. In case the option starts going towards ATM, capital needed might go to 1 Lakh for same. 

Back testing & Actual profit/Loss
(Updated as of 26 Nov 2022)

Back testing 





Actuals
(Didn't trade from Aug' 22)



Note: I am not a SEBI registered advisor and sharing strategies for learning purpose only



Comments

  1. Paras DhirJune 13, 2022 at 4:54 PM

    For June it must be more than 5000. As it opens at around 200 today.

    ReplyDelete
    Replies
    1. Arun BhattJune 13, 2022 at 5:51 PM

      As per chart the price of option was around 167 at 0917 which makes it 5000. On my actual trade I didn't square it off but shifted to further lower strike so as to recover the invested money in case Nifty monthly expiry happens above 15300 for Jun month.

      Delete
    2. AnonymousJune 26, 2022 at 1:42 PM

      What was criteria to shift to 15300 I mean u adopted what system to shift to said strike of 15300 pe ?

      Delete
    3. Arun BhattJune 27, 2022 at 8:04 AM

      Idea to shift to 15300 was to enter into a no profit no loss situation if Nifty expires above 15300 for Jun month as the price of 15300 option was equal to the loss in 15500 option at that time. However I squared 15300 off once I again reached to a loss of 100 points overall as set in strategy as Nifty went close to 15300 also after I moved to 15300. Though now Nifty is going up but it could have gone down also causing huge losses. So it is better to stick to 100 point SL and wait for next month if hit.

      Delete
  2. AnkitNovember 28, 2022 at 12:16 AM

    You could have exercised the option and bought 5000 ETF and started selling call of 100 premium.

    ReplyDelete
  3. AnonymousDecember 18, 2022 at 11:57 AM

    How do you protect yourself from overnight risk? A big downmove could make your SL jump.

    ReplyDelete

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