{"id":92323,"date":"2018-10-01T06:40:46","date_gmt":"2018-10-01T06:40:46","guid":{"rendered":"http:\/\/www.bnreport.com\/top-quant-strategies-for-the-week-ahead\/"},"modified":"2018-10-01T06:40:46","modified_gmt":"2018-10-01T06:40:46","slug":"top-quant-strategies-for-the-week-ahead","status":"publish","type":"post","link":"https:\/\/www.bnreport.com\/en\/top-quant-strategies-for-the-week-ahead\/","title":{"rendered":"Top quant strategies for the week ahead"},"content":{"rendered":"

By MOTILAL OSWAL<\/a> SECURITIES<\/strong><\/p>\n

Option Writing<\/strong> <\/p>\n

STRATEGY 1<\/em>
Writing against Cash \/ Future Holding<\/strong> <\/p>\n

Sell TATA STEEL<\/a> 670 CE 25-OCTOBER-18 @ 8.70
Target Level : 0.70
Stop Loss Level : 12.70
Gross Monthly Yield : 1.70 per cent
ROI : 9.75 per cent
Margin : Rs 87,000
Days to Expiry : 25 <\/p>\n

Writing with Hedging<\/strong>
Leg 1: Sell TATA STEEL 670 CE 25-OCT-18 @ 8.70
Leg 2: Buy TATA STEEL 700 CE 25-OCT-18 @ 1.65
Target Level : 1.05
Stop Loss (Spread) Level : 10.10
Gross Monthly Yield : 1.25 per cent
ROI : 7.65 per cent
Margin : Rs 83,000
Days to Expiry : 25 <\/p>\n

STRATEGY 2<\/em>
Writing against Cash \/ Future Holding<\/strong>
Sell TVSMOTOR 600 CE 25-OCT-18 @ 8.20
Target Level : 1.20
Stop Loss Level : 12
Gross Monthly Yield : 1.50 per cent
ROI : 8.25 per cent
Margin : Rs 85,000
Days to Expiry : 25 <\/p>\n

Writing with Hedging<\/strong>
Leg 1 : Sell TVSMOTOR 600 CE 25-OCT-18 @ 8.20
Leg 2 : Buy TVSMOTOR 640 CE 25-OCT-18 @ 2.85
Target Level : 0.75
Stop Loss (Spread) Level : 8.10
Gross Monthly Yield : 1.20 per cent
ROI : 6.65 per cent
Margin : Rs 80,500
Days to Expiry : 25 <\/p>\n

Pair Trading<\/strong>
STRATEGY 1<\/em>
Leg 1 <\/strong>: BUY INDUSIND BANK<\/a> 1 LOT
25-OCTOBER-18 @ 1693.65
Leg 2<\/strong> : SELL BHARATFIN 1 LOT
25-OCTOBER-18 @ 1043.40
Tenure : 6-7 Days
Target Profi t : 3.15 per cent
Stop Loss : 1.65 per cent
Margin : Rs 1,55,000 <\/p>\n

This pair has 93 per cent correlation over the last one year. It has Trade lot ratio of 1 with price ratio of 1.62. Spread is trading at 45 per cent band of its 2 Standard Deviation and has been moving in tandem for last ten months since November 2017 and as per recent swing in price some divergence and deviation in pair could be seen towards its under performance of Bharatfin. <\/p>\n

Pair Trading<\/strong>
STRATEGY 2<\/em>
Leg 1<\/strong>: BUY HINDUNILVR 1 LOT 25-OCT-18 @ 1614.05
Leg 2<\/strong>: SELL DABUR 1 LOT 25-OCT-18 @ 428.15
Tenure : 6-7 Days
Target Profi t : 3.80 per cent
Stop Loss : 1.95 per cent
Margin : Rs 3,10,000 <\/p>\n

This pair has 92 per cent correlation over the last one year. Pair has Trade lot ratio of 1.1 with price ratio of 3.77. As per the statistical data, spread of pair is narrowing and after the recent data setup it may diverge towards upper band of 2SD zone. <\/p>\n

<\/a><\/strong> <\/a><\/p>\n

Original Article<\/a><\/p>\n

[contf]
\n[contfnew]
\n <\/p>\n

ET Markets<\/a><\/h5>\n

[contfnewc]
\n[contfnewc]<\/p>\n","protected":false},"excerpt":{"rendered":"

By MOTILAL OSWAL SECURITIES<\/p>\n

Option Writing <\/p>\n

STRATEGY 1
\nWr..<\/p>\n","protected":false},"author":1,"featured_media":92324,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[202],"tags":[],"class_list":["post-92323","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-finance"],"yoast_head":"\nTop quant strategies for the week ahead - Business News Report<\/title>\n<meta name=\"description\" content=\"By MOTILAL OSWAL SECURITIES Option Writing STRATEGY 1 Wr..\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.bnreport.com\/en\/top-quant-strategies-for-the-week-ahead\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Top quant strategies for the week ahead - Business News Report\" \/>\n<meta property=\"og:description\" content=\"By MOTILAL OSWAL SECURITIES Option Writing STRATEGY 1 Wr..\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.bnreport.com\/en\/top-quant-strategies-for-the-week-ahead\/\" \/>\n<meta property=\"og:site_name\" content=\"Business News Report\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/Business-NewsReport-328225811095934\/\" \/>\n<meta property=\"article:published_time\" content=\"2018-10-01T06:40:46+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.bnreport.com\/wp-content\/uploads\/2018\/10\/photo.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1070\" \/>\n\t<meta property=\"og:image:height\" content=\"580\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"author\" content=\"infopal11\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:creator\" content=\"@BNReport\" \/>\n<meta name=\"twitter:site\" content=\"@BNReport\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"infopal11\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"2 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\\\/\\\/www.bnreport.com\\\/en\\\/top-quant-strategies-for-the-week-ahead\\\/#article\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/www.bnreport.com\\\/en\\\/top-quant-strategies-for-the-week-ahead\\\/\"},\"author\":{\"name\":\"infopal11\",\"@id\":\"https:\\\/\\\/www.bnreport.com\\\/en\\\/#\\\/schema\\\/person\\\/19d1c5a2dd7f60584a09de4a7805d68f\"},\"headline\":\"Top quant strategies for the week ahead\",\"datePublished\":\"2018-10-01T06:40:46+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\\\/\\\/www.bnreport.com\\\/en\\\/top-quant-strategies-for-the-week-ahead\\\/\"},\"wordCount\":311,\"commentCount\":0,\"publisher\":{\"@id\":\"https:\\\/\\\/www.bnreport.com\\\/en\\\/#organization\"},\"image\":{\"@id\":\"https:\\\/\\\/www.bnreport.com\\\/en\\\/top-quant-strategies-for-the-week-ahead\\\/#primaryimage\"},\"thumbnailUrl\":\"https:\\\/\\\/www.bnreport.com\\\/wp-content\\\/uploads\\\/2018\\\/10\\\/photo.jpg\",\"articleSection\":[\"Finance\"],\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"CommentAction\",\"name\":\"Comment\",\"target\":[\"https:\\\/\\\/www.bnreport.com\\\/en\\\/top-quant-strategies-for-the-week-ahead\\\/#respond\"]}]},{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.bnreport.com\\\/en\\\/top-quant-strategies-for-the-week-ahead\\\/\",\"url\":\"https:\\\/\\\/www.bnreport.com\\\/en\\\/top-quant-strategies-for-the-week-ahead\\\/\",\"name\":\"Top quant strategies for the week ahead - 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