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Showing posts from December, 2022

Bank Nifty Delta Neutral

This post is to share the BN Delta Neutral profit/loss details.  It is a intraday strategy which takes position in 0.5 delta CE/PE legs of Bank Nifty (ATM Straddle) and then makes adjustment to keep overall delta within a limit during the day. Adjustments are done when difference between CE/PE delta becomes more than limit (say x) to adjust the profit making leg to neutralize the delta. Again when delta difference goes beyond this limit (x) the existing positions are squared off and strategy takes a re-entry. Similar kind of strategies can be tried with 0.25 delta legs which will have lesser MDD along with less profit.  There is no maximum SL or limit for re-entries for this strategy and hence position size is the key here to limit the risk. On a trending day with ever increasing VIX this strategy can give a heavy loss.  Note (4-Feb-23): In view of 9k per lot loss on 1-Feb when Bank Nifty moved in a range of 2500 points, the strategy is now modified to not to take re-entry once the ran

Bank Nifty Expiry day - ATM Straddle with 2 re-entries

Instrument : Sell Bank Nifty ATM CE/PE based on Bank Nifty Spot price Entry Day :  Only on Bank Nifty Expiry day Entry Time:  1050 Stop Loss -  25% on each leg MTM SL - 1000 per lot Re-entry -  2 times at cost i.e. when a leg hits SL, it needs to be entered again if its price goes below entry price at 1 minute candle open  Exit -  Exit at 1515 Capital Needed:  1,05,000  Slippage considered : 0.5% Note (17-Dec-23). MTM SL of 500 was getting hit easily and hence it is revised to 1000 from Dec 23 onwards Back testing  ( Updated as on 5-Apr-24 ) Actuals  (Started trading from 31-Aug-23 ) Day wise trades for Mar 2024 Reason for days with high slippage: Historical Trades Feb 2024 Jan 2024 Dec 2023 Nov 2023 Oct 2023 Sep 2023 Aug 2023 Note: I am not SEBI registered advisor and strategies provided here are for learning purpose only