Nifty Delta Hedging

Positional Options Strategy

Rules:
• Sell One PE and One CE , PE Buy out of the money (OTM) (1:1:1)
• PE Sell : CE Sell : PE Buy
• Should enter on last month of the expiry (For month of Feb, should enter in
Jan last trading day)
• Check current Nifty spot on month end Friday add 200 points to nearest
strike price to CE Sell, subtract 200 points from spot to sell PE and then
subtract 300 points to buy PE to hedge.
• Ex : Nifty Spit (Friday) : 9780
• Nearest Nifty Strike price : 9800
• PE Sell : 9800 -200 : 9600 PE
• CE Sell : 9800 +200 : 10000 CE
• PE Buy : 9800 – 300 : 9500 PE
• Based on the market moment positions to be adjusted to maintain
the OTM by square-off current positions and re-initiate the same
positions.
• Check everyday and adjust positions to keep 200 points for sell and
300 points for buy until 15th of the Month.
• Current date is after 15th, positions to be adjusted to 100 points for
sell and 200 points to buy.
• Ex : Nifty Spit (Friday) : 9780
• Nearest Nifty Strike price : 9800
• PE Sell : 9800 -100 : 9700 PE
• CE Sell : 9800 +100 : 9900 CE
• PE Buy : 9800 – 200 : 9600 PE
• Above cycle to be repeated until month-end or it reaches 2%
profit/loss.
• If 2% profit/loss reached before month-end, square-off all positions and wait
for month-end Friday to trade next month options.
• Maintain strict stop loss to 2%.
• This strategy gives 10 months positive results out of 12 months.
• Capital required 2 lacs for lot.
• * Its required hourly monitoring.