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Strategies

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Bullish Portfolio Protection

Bearish Straddle Butterfly

Margin Assumption (Rs.) per lot

25000

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

Refresh Data

View - Bullish
Type Bullishness timeframe * Bullish from * Bullish Upto * Price 5800-Dec-CE Price 6000-Dec-CE Qty to be bought(lots) * Ratio (In case of Ratio spread) * Qty to be bought 5800-Dec-CE Qty to be Sold 6000-Dec-CE * Compulsory Input field Home Bullish Dec 5800 6000 154.5 47.5 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 Dec 5800 50 154.5 7725 7725 7725 Unlimited 7725 5955 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 Spread Buy CE Dec 5800 50 154.5 7725 5350 30350 4650 5350 6000 5907 0.9 Nifty Level 6000

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Scenario Analysis Expiry at

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

Entry Rules
Portfolio Sensitivity Nifty - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Call Ivs Volatility (+/-) Price : Dec-5800-CE Portfolio P&L 5869.95 0 0 5/13/2013 14.8800 0 #VALUE! #VALUE! Portfolio Sensitivity Nifty - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Call Ivs Dec-5800 Current Call Ivs Dec-6000 Volatility Change (+/-) Price : Dec-5800-CE Price : Dec-6000-CE Portfolio P&L
6000.00 4000.00 2000.00

5869.95 100 2 5/15/2013 14.8800 13.9900 0 #VALUE! #VALUE! #VALUE!

30000 25000 20000 15000 10000

10000

-5000 0

5000

-10000 P&L on Expiry P&L Sensitivity -6000.00 P&L on Expiry P&L Sensitivity -4000.00 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500 -2000.00 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500

0.00

l Spread Sell CE Dec 6000 -50 47.5 -2375 5350 30350 4650 5350 6000 5907 0.9 P&L(Rs.) 4650.00 NIFTY Month Strike Quantity Price Value

Option 3 : Bull Ratio Spread Buy CE Sell CE Dec Dec 5800 6000 50 -100 154.5 47.5 7725 -4750 2975 52975 7025 5860 6000 6141 2.4 Nifty Level 6000.0 P&L 7025.00

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

Note: Exit ratio strategy once you reach the strike where you sold extra. In Above Case level 6000

Exit Rules
Portfolio Sensitivity Nifty - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Call Ivs Dec-5800 Current Call Ivs Dec-6000 Volatility Change (+/-) Price : Dec-5800-CE Price : Dec-6000-CE Portfolio P&L
10000.00 5000.00 0.00 -5000.00 -10000.00 -15000.00

5869.95 0 0 5/13/2013 14.8800 13.9900 0 #VALUE! #VALUE! #VALUE!

5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500 6600 6700 6800 6900

P&L Sensitivity

-10000.00 -15000.00 -20000.00 -25000.00 -30000.00 -35000.00 -40000.00 -45000.00

P&L on Expiry

P&L Sensitivity

View - BEARISH
Type Bearish timeframe * Bearish from * Bearish Upto * Price 5600-Jan-PE Price 5300-Jan-PE Qty to be bought(lots) * Ratio (In case of Ratio spread) * Qty to be bought 5600-Jan-PE Qty to be Sold 5300-Jan-PE * Compulsory Input field Home Bearish Jan 5600 5300 29.30 9.05 1 2 50 100

Option 1 : Buy Option NIFTY Buy PE Month Jan Strike 5600 Quantity 50 Price 29.3 Value 1465 outflow (Rs.) 1465 Inv/Margin *** 1465 Max Profit (Rs.) Unlimited Max Loss (Rs.) 1465 Breakeven Point 5571 Return:Risk -

Option 2 : Bear Spread NIFTY Buy PE Month Jan Strike 5600 Quantity 50 Price 29.3 Value 1465 outflow (Rs.) 1013 Inv/Margin *** 26013 Max Profit (Rs.) 13988 Max Loss (Rs.) 1013 Max Profit Level 5300 Breakeven Point 5580 Return:Risk 13.8 Scenario Analysis Expiry at Nifty Level 5600

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Entry Rules

Portfolio Sensitivity Nifty Spot - CMP 5869.95 Nifty (+/-) points Change 0 Days Expired 0 Sensitivity Date 5/13/2013 Current Put IVs Jan-5600 15.6100 Volatility Change(+/-) 0 Price : Jan-5600-PE #VALUE! Portfolio P&L #VALUE!

Portfolio Sensitivity Nifty Spot - CMP 5869.95 Nifty (+/-) points Change 100 Days Expired 20 Sensitivity Date 6/2/2013 Current Put IVs Jan-5600 15.6100 Current Put IVs Jan-5300 18.0900 Volatility Change(+/-) 0 Price : Jan-5600-PE #VALUE! Price : Jan-5300-PE #VALUE! Portfolio P&L #VALUE!

40000 35000 30000 25000 16000.00 14000.00 12000.00 10000.00

25000 20000 15000 10000 5000 0 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 -5000 P&L on Expiry P&L Sensitivity

4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 P&L on Expiry P&L Sensitivity

10000.00 8000.00 6000.00 4000.00 2000.00 0.00 -2000.00

ar Spread Sell PE Jan 5300 -50 9.05 -453 1013 26013 13988 1013 5300 5580 13.8 P&L(Rs.) -1012.50

Option 3 : Bear Ratio Spread NIFTY Buy PE Sell PE Month Jan Jan Strike 5600 5300 Quantity 50 -100 Price 29.3 9.05 Value 1465 -905 outflow (Rs.) 560 Inv/Margin *** 50560 Max Profit (Rs.) 14440 Breakeven Point 5589 Max Profit Level 5300 Loss will Start below 5011 Return:Risk 25.8 Scenario Analysis Expiry at Nifty Level 5200 P&L(Rs.) 9440.00

Note: Exit ratio strategy once you reach the strike where you sold extra. In Above Case level 5300

Exit Rules

Portfolio Sensitivity Nifty Spot - CMP 5869.95 Nifty (+/-) points Change 0 Days Expired 0 Sensitivity Date 5/13/2013 Current Put IVs Jan-5600 15.6100 Current Put IVs Jan-5300 18.0900 Volatility Change(+/-) 0 Price : Jan-5600-PE #VALUE! Price : Jan-5300-PE #VALUE! Portfolio P&L #VALUE!

20000.00 10000.00 0.00

P&L Sensitivity

5600 5700 5800 5900 6000 6100

-40000.00 P&L on Expiry P&L Sensitivity

-30000.00

-20000.00

-10000.00 4300 4400 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700

0.00

View - Portfolio Protection

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

Portfolio Protection
Portfolio Protection 5869.95 Dec 1000000 Midcap 1.4 5700 5400 21.3 4.45 5 2 250 500 Result

Option 1 : Buy Option NIFTY Buy PE Month Dec Strike 5700 Quantity 250 Price 21.3 Value 5325 Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Max Loss (Rs.) Breakeven Point Return:Risk 5325 5325 Unlimited 5325 5679 -

NIFTY Month Strike Quantity Price Value

Option 2 : Bear Spread Buy PE Dec 5700 250 21.3 5325 4213 129213 70788 4213 5400 5683 16.8 0.4 Nifty Level 5399

Outflow (Rs.) Inv/Margin *** Max Profit (Rs.) Max Loss (Rs.) Max Profit Level Breakeven Point Return:Risk Protection Cost(%) Scenario Analysis Expiry at

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

Portfolio Sensitivity Nifty Spot - CMP 5869.95 Nifty (+/-) Change points 0 Days Expired 0 Sensitivity Date 5/13/2013 Current Put Ivs Dec-5700 15.1800 Volatility Change (+/-) 0 Price : Dec-5700-PE #VALUE! Portfolio P&L #VALUE!

Portfolio Sensitivity Nifty Spot - CMP 5869.95 Nifty (+/-) Change points 100 Days Expired 20 Sensitivity Date 6/2/2013 Current Put Ivs Dec-5700 15.1800 Current Put Ivs Dec-5400 20.0100 Volatility Change (+/-) 0 Price : Dec-5700-PE #VALUE! Price : Dec-5400-PE #VALUE! Portfolio P&L #VALUE!
80000.00 70000.00 60000.00 50000.00 40000.00 30000.00

200000 150000 100000

50000

-50000 P&L on Expiry P&L Sensitivity 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 P&L on Expiry P&L Sensitivity 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400

30000.00 20000.00 10000.00 0.00 -10000.00

r Spread Sell PE Dec 5400 -250 4.45 -1113 4213 129213 70788 4213 5400 5683 16.8 0.4 P&L(Rs.) 70787.50 NIFTY Month Strike Quantity Price Value

Option 3 : Bear Ratio Spread Buy PE Dec 5700 250 21.3 5325 3100 253100 71900 5688 5400 5112 23.2 0.3 Nifty Level 5661

Sell PE Dec 5400 -500 4.45 -2225

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

P&L(Rs.) 6650.00

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

Portfolio Sensitivity Nifty Spot - CMP 5869.95 Nifty (+/-) Change points 0 Days Expired 0 Sensitivity Date 5/13/2013 Current Put Ivs Dec-5700 15.1800 Current Put Ivs Dec-5400 20.0100 Volatility Change (+/-) 0 Option Price : Dec-5700-PE #VALUE! Option Price : Dec-5400-PE #VALUE! Portfolio P&L #VALUE!

100000.00 50000.00 0.00 -50000.00 -100000.00 4400 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200

P&L Sensitivity -200000.00 P&L on Expiry P&L Sensitivity -150000.00 -100000.00 4400 4500 4600 4700 4800 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200

Butterfly
Type * Bullish Butterfly Timeframe * Middle Strike * Degree of movement * Qty to be bought(lots)Dec-5700-CE* Buy Dec-CE Strike Sell Dec-CE Strike Buy Dec-CE Strike Price Dec-5700-CE Price Dec-5800-CE Price Dec-5900-CE Qty to be bought Dec-5700-CE Qty to be Sold Dec-5800-CE Qty to be Bought Dec-5900-CE Butterfly Cost * Compulsory Input Field Home CE Dec 5800 100 1 5700 5800 5900 233 154.5 90.9 50 -100 50 14.9

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 Dec 5700 50 233 11650 Dec 5800 -100 154.5 -15450 745 50745 4255 5800 5885 5715 5.7 5700.0 -745.0

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

Entry Rules
BACK
Portfolio Sensitivity Nifty Spot - CMP 5869.95 Nifty (+/-) Change points 100 Days Expired 02 Sensitivity Date 5/15/2013 Current 5700-CE IVs 15.78 Current 5800-CE IVs 14.88 Current 5900-CE IVs 14.26 Volatility Change (+/-) 0 Price -5700-Dec-CE #VALUE! Price -5800-Dec-CE #VALUE! Price -5900-Dec-CE #VALUE! Portfolio P&L #VALUE!

5000.0 4000.0 3000.0 2000.0 1000.0 0.0 -1000.0 5100 5200 5300

Buy CE Dec 5900 50 90.9 4545

45

745

255

800

885

715

.7 -745.0

etween Breakeven I & II

Exit Rules HOME

5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500
P&L on Expiry

P&L (Sensitivity)

Straddle
Month * Action * Strike * Qty to be bought(lots) * Price 5700-Feb-CE Price 5700-Feb-PE Quantity 5700-Feb-CE Quantity 5700-Feb-PE Total Straddle Inflow * Compulsory Input field Home Feb Sell 5700 1 316.15 63.75 -50 -50 379.9

Result

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

Option Straddle SELL SELL CE Feb 5700 -50 316.15 -15807.5 18995 68995 18995 Unlimited 6080 5320 5700 Unlimited 5664

Entry Rules BACK

Portfolio Sensitivity Nifty Spot - CMP Nifty (+/-) Change points Days Expired Sensitivity Date Current Call Ivs Feb-5700 Current Put Ivs Feb-5700 Volatility Change (+/-) Option Price : Feb-5700-CE Option Price : Feb-5700-PE Portfolio P&L 5869.95 100 20 6/2/2013 8.3700 16 5 #VALUE! #VALUE! #VALUE!

HOME

SELL SELL PE Feb 5700 -50 63.75 -3188 18995 68995 18995 Unlimited 6080 5320 5700 Unlimited 17195

Exit Rules

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

P&L on Expiry P&L (Sensitivity)

5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400

Entry / Exit Rules

Bullish
When? Naked option View is extremely +ve and dont want to limit the upside participation.

Theta Decay will be high, if view doesnt go Keep in Mind right within the desired time frame, timely EXIT is critical. When? View is Bullish & wants to reduce some component of the initial outflow.

Spreads

Upside Potnetial is Limited (till the Upper Keep in Mind Strike). 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 Keep in Mind will reduce and EXIT around the Upper Strike is critical to avoid big losses. "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.

When?

Butterfly

If there is extreme movement in the underlying in shorter span of time, results will vary. The strike to be written /sold, (Middle Keep in Mind Strike) should be the 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 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

When?

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

For Disclaimer : Read Main sheet

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

MAIN PAGE

Bullish

Bearish

Butterfly Straddle

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

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