Derivatives Project PDF

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DERIVATIVES RISK MANAGEMENT ASSIGNMENT OPTION STRATEGIES using OPSTRA Analytics

OPTIONS STRATEGIES

Week Ended

Option Strategy Adopted

Rationale behind the adopted option strategy

Amount Invested

1. SBIN (Bull Call Spread)

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2. Indigo (Long Strangle)

Notional Profit/Loss

Actual Profit/loss

500000

Opening Cash Balance

27th Aug 2020

Cash balance

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Our market view on SBIN stock is Bullish and a little volatile too. As we know, the stocks are recovering their prices after the Market Crash in March 2020, hence, the stock of SBIN is also Bullish The Banking sector is having upward trend in the market too. Market view for this stock assumed to be moderately bullish and highly volatile as the nature of Indigo Stock Hence buying an OTM call & put covers the both upsidedownside volatility Also, Indigo is recovering

-454500 +166500 =-288000

212000

-206250

5750

387000

-202500

from the March 2020 downside and due to lower business currently

387000 - 202500 + +5750 =684500 Closing Cash Balance 3rd Sept 2020

684500

Opening Cash Balance

3. Tata Steel (Bear Call Spread)

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Steel Industry in stress since Quarter 2 of FY20 due to downturn in Automotive Industry And the rest of the worst was covered by the current pandemic where lockdown enforced lower sales in first quarter. Market view was Bearish for Tata Steel due to its lower first quarter results

916300 -564400 =351900

-1700

+327360

12400

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Our market view was lower volatility for Vedanta as it is near to its delisting process most probably at Rs 139

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Hence adopted Short Straddle where we Sell one OTM each of Call & Put

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Strong financials and has potential growth in future but has decided to be delisted from stock market through buying back its shares

4. Vedanta (Short Straddle)

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5. IndusInd (Bull Put Spread) 

Our market view was moderately bullish for IndusInd stock as it is highly volatile Adopting this strategy, we covered the downside risk by buying a lower strike

-1050000 +1380000 =330000

28000

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put as an insurance for Put sold. Has strong financials and potential growth Still recovering from the March 20 downside

-1700 + 12400 + 28000 = 723200

Closing Cash Balance

OPSTRA Option Strategies Snapshots (1) SBIN (Bull call spread)

(2) Indigo (Long Strangle)

(3) TATA Steel (Bear Call Spread)

(4) Vedanta (Short Straddle)

(5) IndusInd Bank (Bull Put Spread)...