Though there are a lot of strategies which are run based on quarterly results, here I am limiting myself to short straddle taken just before result declaration and then squaring off it after result declaration. Before results are declared most of the stocks touch its peak volatility which reduces once results are out. This strategy makes money by drop in volatility. Things to be considered while running this strategy:
1. Stock which have overnight results are better as I have seen them giving better profit as compared to stocks whose result come within market time. I generally enter into trades 5 minutes before market close and exit on next day around 09:45 AM. This is for stocks where earnings are supposed to be after market close.
2. Only those stocks need to be traded which have good open interest in ITM positions too such as Infosys, HCL Tech, TCS, Reliance etc. This is important as illiquid options will have a wider ask bid spread and while exiting we might get unfavorable price which might turn any profit to loss
3. Always use limit order with increase in limit by 25 or 50 paise if not filled in 2-3 seconds. This is important as at the time of exit sometimes one leg might get squared off and other might not because of stock price movement in one direction and again this situation can convert profit to loss. So our focus should be on squaring off both legs within few seconds of each other. Also some times ask bid spread (mostly for illiquid options) will be too wide thereby a market order might gets executed at an unexpected price.
4. Try to avoid highly volatile stocks by reading the situation just before results declaration. E.g. Infosys has a tendency to fall or rise by 10% on results declaration if results are bad or too good. In such cases a heavy loss can happen. However it is better to book the loss in such cases rather than holding out the positions. Biggest loss per lot which I had in this strategy was 38.7k per lot on Mphasis result on 22-Jul-21. There were two factors contributing to this loss. One is that this stock options are not that liquid and at time of entry one of the leg got executed at very low price because of market order and then after results MPHASIS shot up by 13%.
5. Set a max loss limit such as 25k per lot for an earning season. If overall loss goes beyond that amount the strategy can be stopped. This is because some earnings seasons will be more volatile as compared to others so it is better to take a pause for the earnings season if the SL limit is breached.
6. Iron condor or Iron fly strategies also can be executed which have hedges taken to minimize losses in case of huge moves in share price after result declaration. In my experience I have found that a lot of loss can happen at the square off if favorable prices are not achieved on a given leg so it is better to minimize legs and hence iron condor or iron fly sometimes give losses even if the stock price doesn't move much after result declaration.
7. In case results are near to monthly expiry then it is better to go for short strangle as the option premium drops for an option close to monthly expiry and might not be enough in case a huge move comes in a stock after results declaration
8. Run with same position sizing during an earnings season. E.g. if positions are taken for 1 lot for first 2-3 stocks then do not increase it for other stocks during that earnings season. During Jan'22 to Feb'22 earnings season, I started with position sizing of 3 lots during the start and was having good profit in Jan month. Then I increased it to 8 lots of position sizing during last week of Jan and some positions yielded big losses because of this.
YT Video describing the strategy
Below are the season wise Profit/Loss per lot value which will give an indication of what kind of liquid stocks I trade. Profit/Loss figures are per lot and after deducting account brokerage and charges.
Apr'24 to May'24
19-Apr-24 HDFC Bank Profit of 7.2k per lot
19-Apr-24 WIPRO Profit of 5.7k per lot
22-Apr-24 Reliance Profit of 4.7k per lot
23-Apr-24 ICICI Pru Life Profit of 4.2k per lot
23-Apr-24 Tata Consumer Loss of 12.8k per lot
24-Apr-24 Axis Bank Loss of 11.9k per lot
24-Apr-24 Hindustan Unilever Profit of 0.9k per lot
25-Apr-24 Bajaj Finance Loss of 10.7k per lot
25-Apr-24 Indus Ind Bank Profit of 2k per lot
26-Apr-24 HCL Tech
27-Apr-24* ICICI Bank
29-Apr-24 Tata Chemicals
29-Apr-24 Birla Soft
30-Apr-24 REC Ltd#
1-May-24 Ambuja Cements##
2-May-24 Coal India
* Trade to be taken on Friday before market close as results are coming on market holiday (Saturday or Sunday)
# No trade if results declared during market timings
## Trade to be taken on 30-Apr before market close as 1-May is trading holiday
Jan'24 to Feb '24 (Overall Loss of 1,08,200/- per lot)
11-Jan-24 TCS Loss of 3.6k per lot
12-Jan-24 WIPRO Loss of 33.5k per lot
12-Jan-24 HCL Tech Loss of 1.4k per lot
16-Jan-24 HDFC Bank# Loss of 20k per lot
17-Jan-24 ICICI Pru Life Loss of 15.6k per lot
Note (18-Jan-24): Trading stopped in this strategy for this earnings season because of high losses
Note (02-Feb-24): Trading re-started in this strategy from Feb month with SL of 25k
2-Feb-24 Tata Motors No trade taken
3-Feb-24* SBIN No trade taken
5-Feb-24 Tata Chemicals Profit of 7.2k per lot
5-Feb-24 Bharati Airtel Profit of 6.7k per lot
7-Feb-24 Power Grid Loss of 19k per lot
7-Feb-24 Tata Consumables Profit of 8.1k per lot
8-Feb-24 Biocon Profit of 5.8k per lot
8-Feb-24 PFC Loss of 39.7k per lot
* Trade to be taken on Friday before market close as results are coming on market holiday (Saturday or Sunday) lot
Oct'23 to Nov '23 (Overall profit of 30k per lot)
11-Oct-23 TCS Profit of 3.8k per lot
12-Oct-23 HCL Tech No trade taken
15-Oct-23* HDFC Bank Profit of 5.6k per lot
17-Oct-23# Bajaj Finance Profit of 6.7k per lot
18-Oct-23 WIPRO Loss of 3k per lot
18-Oct-23 Indus Ind Bank Profit of 2.9k per lot
19-Oct-23# ITC Loss of 1.3k per lot
19-Oct-23# Hindunilvr Profit of 2.8k per lot
19-Oct-23 Voltas Profit of 3k per lot
21-Oct-23* ICICI Bank Profit of 5.2k per lot
25-Oct-23 Axis Bank Profit of 4.2k per lot
26-Oct-23 ACC Profit of 1.6k per lot
27-Oct-23# Maruti Trade not taken as results came when market was open
27-Oct-23 Reliance Profit of 1.1k per lot
28-Oct-23* IDFCFirstBank Loss of 11.5k per lot
30-Oct-23# TVS Motors Profit of 4.9k per lot
30-Oct-23 DLF Profit of 0.3k per lot
31-Oct-23 BharatiArtl Profit of 2.9k per lot
31-Oct-23 LT Profit of 2.7k per lot
31-Oct-23 JindalStel Loss of 12.3k per lot
1-Nov-23 RECLTD Loss of 10.6k per lot
1-Nov-23 HeroMotoCo Profit of 3.9k per lot
1-Nov-23 TATASTEEL Profit of 2.1k per lot
2-Nov-23 TataMotors Profit of 4.2k per lot
3-Nov-23 Titan Loss of 0.3k per lot
4-Nov-23* BankBaroda Loss of 3.4k per lot
4-Nov-23* SBIN Profit of 3.3k per lot
6-Nov-23 HindPetro Profit of 2k per lot
7-Nov-23 IRCTC Profit of 2k per lot
7-Nov-23 ApolloTyre Loss of 8.4k per lot
7-Nov-23 PowerGrid Loss of 0.8k per lot
8-Nov-23 BHEL Profit of 5.9k per lot
8-Nov-23 Tata Power No trade taken
8-Nov-23 PFC# No trade taken
9-Nov-23 Ashok Leyland# No trade taken
9-Nov-23 Auro Pharma Profit of 2.2k per lot
10-Nov-23 Coal India Profit of 2.1k per lot
10-Nov-23 Tata Chem Profit of 4.2k per lot
14-Nov-23 NMDC# No trade taken
14-Nov-23 Grasim Profit of 2k per lot
* Trade to be taken on Friday before market close as results are coming on market holiday (Saturday or Sunday)
# Trade to be taken only if results come after market close
Jul'23 to Aug'23 (Overall Profit of 79k per lot)
* Trade to be taken on Friday before market close as results are coming on market holiday (Saturday)
Apr'23 to May'23 (Overall profit of 52.9k per lot)
12-Apr-23 TCS Profit of 2.9k per lot (Short Straddle)
13-Apr-23 HDFC Bank Loss of 1.5k per lot (Short Straddle)
20-Apr-23 HCL Tech Profit of 13.9k per lot (Short Straddle)
21-Apr-23 Reliance Profit of 5.6k per lot (Short Straddle)
24-Apr-23 IndusIndBk Loss of 1.5k (Iron Condor)
26-Apr-23 Maruti* Profit of 1.4k (Short Straddle)
27-Apr-23 Wipro Profit of 0.1k (Short Straddle)
27-Apr-23 Axis Bank Profit of 8.9k (Short Straddle)
28-Apr-23 Kotak Bank Profit of 2.4k (Short Straddle)
2-May-23 Tata Steel Profit of 2.4k (Short Straddle)
3-May-23 Havells Profit of 2.9k (Short Straddle)
4-May-23 HDFC* Profit of 0.8k (Short Straddle)
4-May-23 Hero Motocorp Profit of 4.1k (Short Straddle)
5-May-23 Federal Bank* Loss of 2.4k (Short Straddle)
5-May-23 Coal India Loss of 3.2k (Short Straddle)
8-May-23 Canara Bank* Profit of 4.5k (Short Strangle)
9-May-23 Apollo Tyre Profit of 2.8k (Short Straddle)
10-May-23 LT Loss of 9.6k (Short Straddle)
12-May-23 Tata Motors Profit of 8.7k (Short Straddle)
16-May-23 Jindal Stel Profit of 3.7k (Short Straddle)
17-May-23 REC LTD Profit of 4.7k (Short Straddle)
* Results came when market was open
Jan'23 to Feb'23 (Overall profit of 30k per lot )
9-Jan-23 TCS Profit of 2k per lot (Short straddle)
12-Jan-23 HCL Tech Loss of 5k per lot (Short straddle)
13-Jan-23 HDFC Bank Profit of 1.5k per lot (Short straddle)
13-Jan-23 Wipro Profit of 5.2k per lot (Short Straddle)
20-Jan-23 ICICI Bank Profit of 1k per lot (Iron condor)
20-Jan-23 Reliance Profit of 0.6k per lot (Iron condor)
23-Jan-23 Axis Bank Profit of 9.8k per lot (Short straddle)
27-Jan-23 Bajaj Finance Profit of 1.1k per lot (Short strangle)
31-Jan-23 Coal India Profit of 1.7k per lot (Short strangle)
3-Feb-23 ITC Profit of 5.7k per lot (Short straddle)
7-Feb-23 Ambuja Cement Profit of 1.3k per lot (Iron condor)
9-Feb-23 IRCTC Profit of 2k per lot (Short straddle)
14-Feb-23 Adani Ent Loss of 0.1k per lot (Short straddle)
Jul'22 to Aug'22 (Overall profit of 1.1k per lot )
8-Jul-22 TCS Profit of 1.8k per lot (Iron condor)
12-Jul-22 HCL Tech Loss of 0.7k per lot (Iron condor)
Jan'22 to Feb'22 (Overall loss of 29k per lot )
12-Jan-22 TCS Profit of 5.2k per lot (Short straddle)
12-Jan-22 WIPRO Profit of 6.4k per lot (Short straddle)
13-Jan-22 MINDTREE* Profit of 2.2k per lot (Short Straddle)
14-Jan-22 HCL Tech Loss of 16.3k per lot (Short strangle)
14-Jan-22 HDFC Bank Profit of 5.3k per lot (Short straddle)
18-Jan-22 BAJAJ Finance Profit of 3.6k per lot (Short straddle)
19-Jan-22 Bajaj Auto Profit of 1.3k per lot (Short Strangle)
20-Jan-22 Asian Paint Profit of 0.1k per lot (Short Strangle)
20-Jan-22 HINDUNILVR Profit of 0.9k per lot (Short Strangle)
21-Jan-22 Reliance Profit of 3.4k per lot (Short Straddle)
21-Jan-22 ICICI Bank Profit of 1k per lot (Short straddle)
24-Jan-22 Axis Bank Loss of 23.5k per lot (Short straddle)
27-Jan-22 LICHSGFIN Loss of 17.6k per lot (Short Strangle)
27-Jan-22 RBL Bank Loss of 4.1k per lot (Short Strangle)
28-Jan-22 Kotak Bank Profit of 3.4k per lot (Short Straddle)
28-Jan-22 Indus Ind Bank Profit of 2.7k per lot (Short Straddle)
1-Feb-22 Tech Mahindra Loss of 1.9k per lot (Short Strangle)
2-Feb-22 HDFC Profit of 2.9k per lot (Short Straddle)
2-Feb-22 Jubilant Food Profit of 0.2k per lot (Short Straddle)
3-Feb-22 Godrej Properties Loss of 24.2k per lot (Short Straddle)
8-Feb-22 IRCTC Profit of 6.3k per lot (Short Strangle)
9-Feb-22 Tata Power Profit of 12.8k per lot (Short Straddle)
10-Feb-22 M&M Profit of 1.95k per lot (Short Straddle)
10-Feb-22 Hindalco Loss of 0.6k per lot (Short Straddle)
10-Feb-22 Hero Motocorp Profit of 1.5k per lot (Short Strangle)
11-Feb-22 Voltas Loss of 0.8k per lot (Short Straddle)
11-Feb-22 Ashok Leyland Loss of 4.6k per lot (Short Strangle)
Oct'21 to Nov'21 (Overall profit of 122k per lot)
13-Oct-21 WIPRO Flat (Iron Condor)
14-Oct-21 HCL Tech Profit of 3.9k per lot(Iron Condor)
19-Oct-21 ACC Loss of 0.5k (Iron Condor)
20-Oct-21 Havell Loss of 2.6k (Iron Condor)
21-Oct-21 Mphasis Profit of 6.5k (Short Straddle)
22-Oct-21 Reliance Profit of 5.6k (Short Straddle)
25-Oct-21 Tech Mahindra Profit of 2.4k (Short Straddle)
25-Oct-21 Col Pal Profit of 1.5k (Short Straddle)
26-Oct-21 Axis Bank Profit of 24.4k (Short Straddle)
27-Oct-21 Maruti Loss of 0.4k (Short Straddle)
29-Oct-21 Escorts Profit of 2.1k (Short Straddle)
1-Nov-21 HDFC Profit of 3.6k (Short Straddle)
1-Nov-21 Tata Motors Profit of 11.1k (Short Straddle)
2-Nov-21 Dabur Profit of 3.3k (Short Straddle)
2-Nov-21 Bharti Airtel Profit of 5k (Short Straddle)
3-Nov-21 SBIN Profit of 3.4k (Short Straddle)
3-Nov-21 BATA Profit of 4.3k (Short Straddle)
8-Nov-21 Auro Pharma Profit of 5.2k (Short Straddle)
9-Nov-21 M&M Profit of 2.2k (Short Straddle)
9-Nov-21 BHEL Profit of 7.9k (Short Straddle)
10-Nov-21 Bank of Baroda Profit of 1.6k (Short Straddle)
10-Nov-21 Pidilite India Profit of 1.9k (Short Straddle)
11-Nov-21 PFC Profit of 7.7k (Short Straddle)
11-Nov-21 Tata Steel Profit of 5.3k (Short Straddle)
12-Nov-21 Hindalco Profit of 1.3k (Short Straddle)
12-Nov-21 Ashok Leyland Profit of 5.7k (Short Straddle)
12-Nov-21 Hero Motocorp Profit of 4k (Short Straddle)
Jul'21 to Aug'21 (Overall loss of 27.3k per lot )
15-Jul-21 WIPRO Profit of 0.9k (Iron Condor)
16-Jul-21 HDFC Bank Loss of 2.1k (Short Straddle)
19-Jul-21 HCL Tech Profit of 5.5k (Short Straddle)
20-Jul-21 ASIAN PAINT Profit of 2k (Short Straddle)
22-Jul-21 BAJAJ AUTO Profit of 0.6k (Short Straddle)
22-Jul-21 MPHASIS Loss of 38.7k (Short Straddle)
23-Jul-21 RELIANCE Profit of 1.2k (Iron Condor)
28-Jul-21 MARUTI Profit of 0.8k (Short Straddle)
Hey Arun, Thank you for sharing amazing content! Appreciate it. Are you able to share the code for the tradetron strategy for the result day straddle? I know how to create a strategy in there but I don't know how to dynamically change scrip names from one day to another in the same strategy.
ReplyDeleteThere is no way to dynamically change scrip names. I change it manually. Have uploaded the video whose link is updated in blog post talking about same.
ReplyDeleteThanks for the great content
ReplyDelete