Starting from 16th December 2013 there are exactly 5+4 = 9 days of trading sessions for Stock Options expiry date of 26th December 2013.
Let us see if we get an option strategy for the trading period 16th December 2013 open and close 19th December 2013 - 4 days position open.
We analyze the PUT and call details of Bank Baroda :
BANBAR ---> ANALYSIS AS OF 14TH DECEMBER 2013 Current Market Price of Bank of Baroda as of 13th December 2013 close is about Rs.660 /- approx.
700 CALL 6.65 40.64 0.24 -0.68 0.01 0.37
720 CALL 3.25 40.15 0.14 -0.47 0.00 0.26
640 PUT 9.70 40.64 -0.30 -0.64 0.01 0.42
620 PUT 4.90 41.61 -0.18 -0.50 0.01 0.31
660 PUT 16.20 37.23 -0.48 -0.63 0.01 0.48
680 CALL 12.40 40.64 0.38 -0.85 0.01 0.46
The 640 put + 680 call have positive delta of 0.08 paise on 680 Call side. This means for every one Rs price hike the position will move up by 8 paise . If the price moves by Rs. 20 the option 680 call will move up by 1.60 Rs.
The total theta decay on this sums to 1.49 (0.85+0.64) Rs. This means in a trading session of 5 days the decay is approximately 1.49*5 = 7.5 Rs.
To cover the decay of 8 Rs in 5 trading session the price has to oscillate 5 times 20 Rs variation that is about 100 Rs variation from 660 to 760 or 660 to 560 on down side.
Here we can take this position sell 640 PUT + 680 CALL and wait for 4 trading sessions (ie., till 19th December 2013 on 19th December 2013 volatility likely to be high ) and wind up the position on 19th December 2013 which would give roughly 1.49*4 = 6.00 Rs. multiplied by 500 stock lot which is about Rs.3000/- Net gain on this position.
Let us see the outcome of this position on 19th December 2013 and take review of the same
Position open 16th December 2013 640 PUT + 680 CALL totaling to Rs. roughly 21-22 Rs per stock.
Wind up on 19th December between 22-6 = 15 or 16 Rs.
cheers
zilebi
Let us see if we get an option strategy for the trading period 16th December 2013 open and close 19th December 2013 - 4 days position open.
We analyze the PUT and call details of Bank Baroda :
BANBAR ---> ANALYSIS AS OF 14TH DECEMBER 2013 Current Market Price of Bank of Baroda as of 13th December 2013 close is about Rs.660 /- approx.
700 CALL 6.65 40.64 0.24 -0.68 0.01 0.37
720 CALL 3.25 40.15 0.14 -0.47 0.00 0.26
640 PUT 9.70 40.64 -0.30 -0.64 0.01 0.42
620 PUT 4.90 41.61 -0.18 -0.50 0.01 0.31
660 PUT 16.20 37.23 -0.48 -0.63 0.01 0.48
680 CALL 12.40 40.64 0.38 -0.85 0.01 0.46
The 640 put + 680 call have positive delta of 0.08 paise on 680 Call side. This means for every one Rs price hike the position will move up by 8 paise . If the price moves by Rs. 20 the option 680 call will move up by 1.60 Rs.
The total theta decay on this sums to 1.49 (0.85+0.64) Rs. This means in a trading session of 5 days the decay is approximately 1.49*5 = 7.5 Rs.
To cover the decay of 8 Rs in 5 trading session the price has to oscillate 5 times 20 Rs variation that is about 100 Rs variation from 660 to 760 or 660 to 560 on down side.
Here we can take this position sell 640 PUT + 680 CALL and wait for 4 trading sessions (ie., till 19th December 2013 on 19th December 2013 volatility likely to be high ) and wind up the position on 19th December 2013 which would give roughly 1.49*4 = 6.00 Rs. multiplied by 500 stock lot which is about Rs.3000/- Net gain on this position.
Let us see the outcome of this position on 19th December 2013 and take review of the same
Position open 16th December 2013 640 PUT + 680 CALL totaling to Rs. roughly 21-22 Rs per stock.
Wind up on 19th December between 22-6 = 15 or 16 Rs.
cheers
zilebi
