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Strategies

Disclaimer

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Bullish Portfolio Protection

Bearish Butterfly

Margin Assumption (Rs.) per lot

25000

*** Margin Assumption per lot can be changed by user

Straddle Butterfly

Refresh Data

Butterfly
Type * Bullish Butterfly Timeframe * Middle Strike * Degree of movement * Qty to be bought(lots)Jan-5700-CE* Buy Jan-CE Strike Sell Jan-CE Strike Buy Jan-CE Strike Price Jan-5700-CE Price Jan-5800-CE Price Jan-5900-CE Qty to be bought Jan-5700-CE Qty to be Sold Jan-5800-CE Qty to be Bought Jan-5900-CE Butterfly Cost * Compulsory Input Field Home

utterfly
CE Jan 5800 100 1 5700 5800 5900 261.2 189.7 126.95 50 -100 50 8.75

Result

NIFTY Month Strike Quantity Price Value Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Max Profit Level Breakeven - I ** Breakeven - II ** Risk/Reward Scenario Analysis Expiry at

Bull Butterfly BUY Buy CE SELL CE Jan 5700 50 261.2 13060 Jan 5800 -100 189.7 -18970 438 50438 4563 5800 5891 5709 10.4 5700.0 -437.5

** Profit will be made if market remain in the range between Breakeven I & II

Entry Rules
BACK
Portfolio Sensitivity Nifty Spot - CMP 5872.50 Nifty (+/-) Change points 0 Days Expired 00 Sensitivity Date 6/6/2013 Current 5700-CE IVs 12.12 Current 5800-CE IVs 12.65 Current 5900-CE IVs 12.55 Volatility Change (+/-) 0 Price -5700-Jan-CE #VALUE! Price -5800-Jan-CE #VALUE! Price -5900-Jan-CE #VALUE! Portfolio P&L #VALUE!

5000.0 4000.0 3000.0 2000.0 1000.0 0.0 -1000.0

5200

5100

Buy CE Jan 5900 50 126.95 6348

38

438

563

800

891

709

0.4 -437.5

etween Breakeven I & II

Exit Rules HOME

5200

5300

5400

5500

5600

5700

5800

5900

6000

6100

6200

6300

6400

P&L on Expiry

P&L (Sensitivity)

6500

View - Bullish
Type Bullishness timeframe * Bullish from * Bullish Upto * Price 5800-Jan-CE Price 6000-Jan-CE Qty to be bought(lots) * Ratio (In case of Ratio spread) * Qty to be bought 5800-Jan-CE Qty to be Sold 6000-Jan-CE * Compulsory Input field Home

Bullish
Bullish Jan 5800 6000 189.7 79.3 1 2 50 100

Result

Option 1 : Buy Option NIFTY Month Strike Quantity Price Value Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Max Loss (Rs.) Breakeven Point Return:Risk Buy CE Jan 5800 50 189.7 9485 9485 9485 Unlimited 9485 5990 NIFTY Month Strike Quantity Price Value Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Max Loss (Rs.) Max Profit Level Breakeven Point Return:Risk

Option 2 : Bull Sp

BACK

HOME

Scenario Analysis Expiry at

Entry Rules
*** Inv/Margin has been assumed & can be changed Portfolio Sensitivity Nifty - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Call Ivs Volatility (+/-) Price : Jan-5800-CE Portfolio P&L 5872.50 0 0 6/6/2013 12.6500 0 #VALUE! #VALUE! Portfolio Sensitivity Nifty - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Call Ivs Jan-5800 Current Call Ivs Jan-6000 Volatility Change (+/-) Price : Jan-5800-CE Price : Jan-6000-CE Portfolio P&L
6000.00 4000.00 2000.00 0.00 5200 5300 -2000.00 -4000.00 5400

30000 25000 20000 15000 10000 5000 0

0 -5000 -10000 -15000 P&L on Expiry P&L Sensitivity

-4000.00 -6000.00 -8000.00 P&L on Expiry

Option 2 : Bull Spread Buy CE Jan 5800 50 189.7 9485 5520 30520 4480 5520 6000 5910 0.8 Nifty Level 6000

Sell CE Jan 6000 -50 79.3 -3965

NIFTY Month Strike Quantity Price Value

Option 3 : Bull Ratio Spread Buy CE Sell CE Jan Jan 5800 6000 50 -100 189.7 79.3 9485 -7930 1555 51555 8445 5831 6000 6169 5.4 Nifty Level 6000.0 P&L 8445.00

Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Breakeven Point Max Profit Level Loss will start above Return:Risk P&L(Rs.) 4480.00 Scenario Analysis Expiry at

Exit Rules

rtfolio Sensitivity 5872.50 0 0 6/6/2013 12.6500 12.5500 0 #VALUE! #VALUE! #VALUE!

Portfolio Sensitivity Nifty - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Call Ivs Jan-5800 Current Call Ivs Jan-6000 Volatility Change (+/-) Price : Jan-5800-CE Price : Jan-6000-CE Portfolio P&L 5872.50 0 0 6/6/2013 12.6500 12.5500 0 #VALUE! #VALUE! #VALUE!

20000.00 10000.00 0.00 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500 -10000.00 -20000.00 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500 6600 6700 6800

-20000.00 -30000.00 -40000.00 P&L on Expiry P&L Sensitivity P&L on Expiry P&L Sensitivity

6700 6800 6900

View - BEARISH
Type Bearish timeframe * Bearish from * Bearish Upto * Price 5600-Mar-PE Price 5300-Mar-PE Qty to be bought(lots) * Ratio (In case of Ratio spread) * Qty to be bought 5600-Mar-PE Qty to be Sold 5300-Mar-PE * Compulsory Input field Home

BEARISH
Bearish Mar 5600 5300 21.55 1 2 50 100

Result

Option 1 : Buy Option NIFTY Buy PE Month Mar Strike 5600 Quantity 50 Price Value #VALUE! #VALUE! #VALUE! Inv/Margin *** #VALUE! Max Profit (Rs.) Unlimited Max Loss (Rs.) #VALUE! Breakeven Point #VALUE! Return:Risk -

BACK

HOME

Portfolio Sensitivity Nifty Spot - CMP 5872.50 Nifty (+/-) points Change 0 Days Expired 0 Sensitivity Date 6/6/2013 Current Put IVs Mar-5600 Volatility Change(+/-) 0 Price : Mar-5600-PE #VALUE! Portfolio P&L #VALUE!

1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0

0.1 0

P&L on Expiry P&L Sensitivity

4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300

Option 2 : Bear Spread NIFTY Buy PE Sell PE Month Mar Mar Strike 5600 5300 Quantity 50 -50 Price 21.55 Value #VALUE! -1078 #VALUE! #VALUE! Inv/Margin *** #VALUE! Max Profit (Rs.) #VALUE! Max Loss (Rs.) #VALUE! Max Profit Level 5300 Breakeven Point #VALUE! Return:Risk #VALUE! Scenario Analysis Expiry at Nifty Level 5600 P&L(Rs.) #VALUE!

Option 3 : Bear Ratio Spread NIFTY Month Strike Quantity Price Value #VALUE! Inv/Margin *** Max Profit (Rs.) Breakeven Point Max Profit Level Loss will Start below Return:Risk Scenario Analysis Expiry at

Entry Rules

Exit Rules

Portfolio Sensitivity Nifty Spot - CMP 5872.50 Nifty (+/-) points Change 0 Days Expired 0 Sensitivity Date 6/6/2013 Current Put IVs Mar-5600 Current Put IVs Mar-5300 18.3200 Volatility Change(+/-) 0 Price : Mar-5600-PE #VALUE! Price : Mar-5300-PE #VALUE! Portfolio P&L #VALUE!

Portfolio Sensitivity Nifty Spot - CMP Nifty (+/-) points Change Days Expired Sensitivity Date Current Put IVs Mar-5600 Current Put IVs Mar-5300 Volatility Change(+/-) Price : Mar-5600-PE Price : Mar-5300-PE Portfolio P&L

1.00 0.90 0.80 0.70 0.60 0.50 0.40 0.30 0.20 0.10 0.00

1.00 0.90 0.80 0.70 0.60 0.50 0.40 0.30 0.20 0.10 0.00

0.00 6200 6300

0.10 0.00

P&L on Expiry

P&L Sensitivity

P&L on Expiry

Option 3 : Bear Ratio Spread Buy PE Sell PE Mar Mar 5600 5300 50 -100 21.55 #VALUE! -2155 #VALUE! #VALUE! #VALUE! #VALUE! 5300 #VALUE! #VALUE! Nifty Level 5200 P&L(Rs.) #VALUE!

olio Sensitivity 5872.50 0 0 6/6/2013 18.3200 0 #VALUE! #VALUE! #VALUE!

P&L on Expiry

P&L Sensitivity

View - Portfolio Prot

Type NIFTY Spot Protection timeframe * Portfolio Value (Rs) * Portfolio Description * Assumed Beta Protection from * Protection Upto * Price 5700-Jan-PE Price 5400-Jan-PE Qty to be bought(lots) Ratio (In case of Ratio spread) * Qty to be bought 5700-Jan-PE Qty to be sold 5400-Jan-PE * Compulsory Input field Home

Portfolio Protection
Portfolio Protection 5872.50 Jan 1000000 Midcap 1.4 5700 5400 35.25 8.35 5 2 250 500 Result

Option 1 : Buy Option NIFTY Buy PE Month Jan Strike 5700 Quantity 250 Price 35.25 Value 8812.5 Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Max Loss (Rs.) Breakeven Point Return:Risk 8813 8813 Unlimited 8813 5665 -

Option 2 : Bear Spread NIFTY Month Strike Quantity Price Value Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Max Loss (Rs.) Max Profit Level Breakeven Point Return:Risk Protection Cost(%) Scenario Analysis Expiry at

BACK

HOME

*** Inv/Margin has been assumed & can be changed

Portfolio Sensitivity Nifty Spot - CMP 5872.50 Nifty (+/-) Change points -106 Days Expired 10 Sensitivity Date 6/16/2013 Current Put Ivs Jan-5700 15.5300 Volatility Change (+/-) 3 Price : Jan-5700-PE #VALUE! Portfolio P&L #VALUE!

Portfolio Sensitivity Nifty Spot - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Put Ivs Jan-5700 Current Put Ivs Jan-5400 Volatility Change (+/-) Price : Jan-5700-PE Price : Jan-5400-PE Portfolio P&L
80000.00 60000.00 40000.00 20000.00

200000 150000 100000 50000

50000 0

-50000 P&L on Expiry P&L Sensitivity P&L on Expiry 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 -20000.00

20000.00 0.00 4800 4900 5000 5100 5200 5300 5400 5500

Option 2 : Bear Spread Buy PE Jan 5700 250 35.25 8812.5 6725 131725 68275 6725 5400 5673 10.2 0.7 Nifty Level 5399

Sell PE Jan 5400 -250 8.35 -2088

NIFTY Month Strike Quantity Price Value

Option 3 : Bear Ratio Spread Buy PE Jan 5700 250 35.25 8812.5 4638 254638 70363 5681 5400 5119 15.2 0.5 Nifty Level 5661

Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Breakeven point Max Profit Level Loss will Start below Return:Risk Protection Cost(%) P&L(Rs.) 68275.00 Scenario Analysis Expiry at

Note: Exit ratio strategy once you reach the strike where you sold extra. In Above Case level 5400

Portfolio Sensitivity 5872.50 -106 10 6/16/2013 15.5300 17.3600 3 #VALUE! #VALUE! #VALUE!
100000.00 50000.00 0.00 -50000.00 -100000.00

Portfolio Sensitivity Nifty Spot - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Put Ivs Jan-5700 Current Put Ivs Jan-5400 Volatility Change (+/-) Option Price : Jan-5700-PE Option Price : Jan-5400-PE Portfolio P&L 5872.50 -106 10 6/16/2013 15.5300 17.3600 3 #VALUE! #VALUE! #VALUE!

4400 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200

-100000.00 5400 5500 5600 5700 5800 5900 6000 6100 6200 -150000.00 -200000.00 P&L on Expiry P&L Sensitivity

P&L Sensitivity

tio Spread Sell PE Jan 5400 -500 8.35 -4175 4638 254638 70363 5681 5400 5119 15.2 0.5 P&L(Rs.) 5112.50

ach the strike where you sold

6200

Straddle
Month * Action * Strike * Qty to be bought(lots) * Price 5700-Jan-CE Price 5700-Jan-PE Quantity 5700-Jan-CE Quantity 5700-Jan-PE Total Straddle Cost * Compulsory Input field Home

traddle
Jan Buy 5700 1 261.2 35.25 50 50 296.45

Result

NIFTY Month Strike Quantity Price Value Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Max Loss (Rs.) Profit will Start above Profit will start below Max Profit Level Max Loss Level Scenario Analysis Expiry at

Option Straddle BUY BUY CE Jan 5700 50 261.2 13060 14823 14823 Unlimited 14823 5996 5404 NA 5700 5664

Entry Rules BACK

Portfolio Sensitivity Nifty Spot - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Call Ivs Jan-5700 Current Put Ivs Jan-5700 Volatility Change (+/-) Option Price : Jan-5700-CE Option Price : Jan-5700-PE Portfolio P&L 5872.50 500 2 6/8/2013 12.1200 15 5 #VALUE! #VALUE! #VALUE!

HOME

BUY BUY PE Jan 5700 50 35.25 1763 14823 14823 Unlimited 14823 5996 5404 NA 5700 -13022.5

Exit Rules

25000 20000 15000 10000 5000 0 -5000 -10000 -15000 -20000

5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400
P&L on Expiry P&L (Sensitivity)

Entry / Exit Rules

Bullish View is extremely +ve and dont want to limit the upside participation.

When?

Naked option

Theta Decay will be high, if view doesnt go right Keep in Mind within the desired time frame, timely EXIT is critical.

When? Spreads

View is Bullish & wants to reduce some component of the initial outflow.

Upside Potnetial is Limited (till the Upper Strike). Keep in Mind Participation would be relatively less, If there is fast movement in the Underlying.

When?

View is Bullish with Limited movement in the Underlying.

Ratio

If the movement in the underlying is fast towards the Upper Strike, the profit potential will reduce Keep in Mind and EXIT around the Upper Strike is critical to avoid big losses.

When?

"CE Butterfly" View is +ve upto certain level(Middle Strike) and you want to have limited outflow(Low risk). Ideal to do when IVS are high.

Butterfly

If there is extreme movement in the underlying in shorter span of time, results will vary. The strike to be written /sold, (Middle Strike) should be the Keep in Mind target of underlying or Exit point. E.g. If NIFTY spot is 5700 and view is 5900, then butterly will be Buy 5700CE 1Lot, Sell 5900CE 2 Lots and buy 6100CE lot.

Buy Straddle

When? Straddle

When the view is of extreme movement on either side. It can be on account of an event ( RBI Policy, FED policy, Result Season etc). Ideally should be avoided in sideways market

The strategy has unlimited upside potential. However, if there is no movement after entering Keep in Mind into the trade, then theta decay will be high & will work against the buyer .

MAIN PAGE

For Disclaimer : Read Main sheet

Rules
Bearish View is extremely -ve and dont want to limit the downside participation.

MAIN PAGE STRATEGY PAGE

Theta Decay will be high, if view doesnt go right within the desired time frame, timely EXIT is critical.

View is Bearish & wants to reduce some component of the initial outflow.

Downside Potnetial is Limited (till the Lower Strike). Participation would be relatively less, If there is fast movement in the Unerderlying.

View is Bearish with Limited movement in the Underlying.

If the movement in the underlying is fast towards the Lower Strike, the profit potential will reduce and EXIT around the Lower Strike is critical to avoid big losses.

"PE Butterfly" View is -ve upto certain level(Middle strike) and want to have limited outflow(low Risk).Ideal to do when IVS are high.

If there is extreme movement in the underlying in shorter span of time, results will vary. The strike to be written / sold (Middle Strike) should be the target of underlying or Exit point. E.g. If NIFTY spot is 5700 and view is 5500, then butterly will be Buy 5700PE 1Lot, Sell 5300PE 2 Lots and buy 5100PE 1 lot.

Sell Straddle

When the view is sideways or rangebound movement.

The strategy has unlimited Risk potential with limited profits (Equivalent to Inflow). Ideally should be done when IV's are high

STRATEGY PAGE

Main sheet