Top quant strategy for the week ahead



  • Source: Economic Times - - Read: 0

    Summary:

     

    We are expecting the ratio to narrow down as per its 2SD band with the view to outperformance ofAmbujacem. By Motilal Oswal Financial Services

    Option Writing

    STRATEGY 1

    Writing against Cash / Fut Holding

    Sell L&T 1500 CE 28-NOV-19 @ `10.25

    Target Level : 0.40

    Stop Loss Level : 15.10

    Gross Monthly Yield : 1.05%

    ROI : 4.45%

    Margin : `82,500

    Days to Expiry : 18

    Writing with Hedging

    Leg 1 : Sell L&T 1500 CE 28-NOV-19 @ `10.25

    Leg 2 : Buy L&T 1560 CE 28-NOV-19 @ `3.25

    Target Level : 0.20

    Stop Loss (Spread) Level : 11.20

    Gross Monthly Yield : 0.75%

    ROI : 3.15%

    Margin : `81,000

    Days to Expiry : 18

    STRATEGY 2

    Writing against Cash / Future Holding

    Sell TCS 2240 CE 28-NOV-19 @ `16.05

    Target Level : 0.40

    Stop Loss Level : 24.10

    Gross Monthly Yield : 1.15%

    ROI : 4.70%

    Margin : `83,00 ...

     

     

    Read Full News: https://economictimes.indiatimes.com/markets/stocks/news/top-quant-strategy-for-the-week-ahead/articleshow/72000227.cms


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