What a great month January 2014 for Bank of Baroda !
The stock oscillated to the greats of Rs 680+ to 610 ! Nearly 10 percent sweep in a period of a fortnight starting the last week of December 2013.
On January 10th 2014, Bank of Baroda was closing around 613 Rs.
Can there be a strategy found for this despite of these odds ?
We see the following:
560 PUT 4.45 41.61 -0.15 -0.32 0.00 0.32
660 CALL 3.95 30.91 0.18 -0.33 0.01 0.36
The 560 PUT + 660 CALL is having delta neutral of 3 paise with total premium command of 4.45+3.95 = 8.4 Rs. The theta time decay 0s 0.32+0.33 = 0.65 paise per day.
The delta is very low probability is below 20 % for these two events to happen.
Shorting 560 PUT and 660 CALL for January 2014 on Monday 13th January 2014 and exactly winding up on next Thursday say around 23rd January 2014 --> roughly 9 trading sessions should give theta decay of 6.50 Rs. which would mean a gain of 3250/- Rs.
Let us watch this strategy for the next fortnight.
Options Zilebi
The stock oscillated to the greats of Rs 680+ to 610 ! Nearly 10 percent sweep in a period of a fortnight starting the last week of December 2013.
On January 10th 2014, Bank of Baroda was closing around 613 Rs.
Can there be a strategy found for this despite of these odds ?
We see the following:
560 PUT 4.45 41.61 -0.15 -0.32 0.00 0.32
660 CALL 3.95 30.91 0.18 -0.33 0.01 0.36
The 560 PUT + 660 CALL is having delta neutral of 3 paise with total premium command of 4.45+3.95 = 8.4 Rs. The theta time decay 0s 0.32+0.33 = 0.65 paise per day.
The delta is very low probability is below 20 % for these two events to happen.
Shorting 560 PUT and 660 CALL for January 2014 on Monday 13th January 2014 and exactly winding up on next Thursday say around 23rd January 2014 --> roughly 9 trading sessions should give theta decay of 6.50 Rs. which would mean a gain of 3250/- Rs.
Let us watch this strategy for the next fortnight.
Options Zilebi
