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Top quant trading strategies for the week

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By Motilal Oswal SecuritiesOption WritingSTRATEGY 1Writing against Cash / Future HoldingSell TATASTEEL 630 CE 25-OCTOBER-18 at Rs 5.25 Target Level : 0.25 Stop Loss Level : 8 Gross Monthly Yield : 1.50 per cent ROI : 6.25 per cent Margin : Rs 85,000 Days to Expiry : 18 Writing with HedgingLeg 1: Sell TATASTEEL 630 CE 25-OCT-18 at Rs 5.25 Leg 2: Buy TATASTEEL 670 CE 25-OCT-18 at Rs 1.75 Target Level : 0.10 Stop Loss (Spread) Level : 5.30 Gross Monthly Yield : 1.05 per cent ROI : 4.45 per cent Margin : Rs 83,500 Days to Expiry : 18 STRATEGY 2Writing against Cash / Future HoldingSell TVSMOTOR 580 CE 25-OCTOBER-18 at Rs 5.90 Target Level : 0.90 Stop Loss Level : 8.80 Gross Monthly Yield : 1.70 per cent ROI : 7.10 per cent Margin : Rs 70,500 Days to Expiry : 18 Writing with HedgingLeg 1: Sell TVSMOTOR 580 CE 25-OCT-18 at Rs 5.90 Leg 2: Buy TVSMOTOR 640 CE 25-OCT-18 at Rs 1.70 Target Level : 0.15 Stop Loss (Spread) Level : 8.10 Gross Monthly Yield : 1.40 per cent ROI : 5.80 per cent Margin : Rs 70,000 Days to Expiry : 18 Pair TradingSTRATEGY 1Leg 1: BUY INDUSIND 1 LOT 25-OCT-18 at Rs 1,607.80 Leg 2: SELL BHARATFIN 1 LOT 25-OCT-18 at Rs 1,000.15 Tenure : 7-8 Days Target Profi t : 3.05 per cent Stop Loss : 1.50 per cent Margin : Rs 1,47,000 This pair has 93 per cent correlation over the last one year.

It has trade lot ratio of 1 with price ratio of 1.61.

Spread is trading at 17 per cent band of its 2 Standard Deviation and has been moving in tandem for last eleven months since November 2017.

As per recent swing in price, some divergence and deviation in pair could be seen towards its underperformance of Bharatfi n. Pair TradingSTRATEGY 2Leg 1: BUY AMBUJACEM 1 LOT 25-OCT-18 at Rs 209.15 Leg 2: SELL ACC 1 LOT 25-OCT-18 at Rs 1,478.70 Tenure : 7-8 Days Target Profi t : 3.85 per cent Stop Loss : 1.95 per cent Margin : Rs 1,61,000 This pair has 95 per cent correlation over the last one year.

It has Trade lot ratio of 1.10 with price ratio of 0.14.

Spread is trading at lower band of its 2 Standard Deviation and as per the statistical data it can go towards its means.




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Category: Stock Market


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