FUTURES
Date Expiry Open Close Futures Open
5-Oct-18 25-Oct-18 223.65 217.15 222.75
8-Oct-18 25-Oct-18 210.5 213.5 217.8
9-Oct-18 25-Oct-18 206.1 185.2 205.7
10-Oct-18 25-Oct-18 186.55 189.45 186
11-Oct-18 25-Oct-18 180.7 183.25 180.65
12-Oct-18 25-Oct-18 182.65 184.2 185.95
15-Oct-18 25-Oct-18 185.95 184.8 186.5
16-Oct-18 25-Oct-18 186.8 186.15 185.2
17-Oct-18 25-Oct-18 187.8 179.7 187.6
19-Oct-18 25-Oct-18 178.8 174.75 178.95
22-Oct-18 25-Oct-18 176.15 170.85 176.4
23-Oct-18 25-Oct-18 169.95 170.95 170
24-Oct-18 25-Oct-18 173.45 171.05 173.9
25-Oct-18 25-Oct-18 168.45 165.2 168.95
UNDERLYING STOCK
Basis
179.95 -0.25 0.4
174.7 0.05
170.75 0.1 0.2
170.65 0.3
0
170.65 0.4
8 8 8 8 8 8 8
165.35 -0.15 -1 -1 -1 -1 -1 -1 -1 -1
ct
-0.2 ct ct ct ct ct ct ct
O O O O O O O O
5- 8- 9- 10- 11- 12- 15- 16- 1
-0.4
Date
250
200
150
Closing Price
100
50
0
8 8 8 8 8 8 8 8 8 8
-1 -1 -1 -1 -1 -1 -1 -1 -1 -1
ct ct ct c t c t c t ct ct ct ct c
O O O O O O O O O O O
5- 8- 9- 10- 11- 12- 15- 16- 17- 19- 22-
Date
Basis
8 8 8 8 8 8 8 8 8 8 8 8 8
-1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1 -1
ct ct ct ct ct ct ct ct ct ct ct ct ct
O O O O O O O O O O O O O
9- 10- 11- 12- 15- 16- 17- 19- 22- 23- 24- 25-
Date
Close Futures
Close Underlying Stock
8 8 8 8 8 8 8 8 8 8 8 8 8
-1 t-1 t-1 t-1 t-1 t-1 t-1 t-1 t-1 t-1 t-1 t-1 t-1
c c c c c c c c c c c c
O O O O O O O O O O O O
9- 10- 11- 12- 15- 16- 17- 19- 22- 23- 24- 25-
Date
Underlying Asset Prices Future Price
Date Open Close % Price Changes Open Close
03-09-2018 271.4 266.6 -1.7686072218 268.5 267.75
04-09-2018 270.5 261.95 -3.1608133087 269.95 262.9
05-09-2018 261 266.5 2.1072796935 262 268.25
06-09-2018 269.7 269.95 0.0926955877 272.6 271.75
07-09-2018 269.55 277.4 2.912261176 271.3 278.2
10-09-2018 276 275.7 -0.1086956522 275 276.6
11-09-2018 277.25 267.3 -3.5888187556 278 267.9
12-09-2018 268.2 262.4 -2.1625652498 268.5 263.85
14-09-2018 265 266.6 0.6037735849 267.15 267.45
17-09-2018 263.35 260.25 -1.1771406873 264.75 260.75
18-09-2018 257.75 251.5 -2.4248302619 258.9 251.65
19-09-2018 253.55 252.6 -0.3746795504 254.4 253.55
21-09-2018 255.05 250.35 -1.8427759263 255.55 250.45
24-09-2018 250.2 240.2 -3.996802558 250.2 241
25-09-2018 241 240.8 -0.0829875519 241 241.25
26-09-2018 242.3 233.35 -3.6937680561 242.35 233.95
27-09-2018 234.8 225.25 -4.0672913118 235.25 224.8
Standard Deviation 2.099854359
Correalation 0.9696466751
28-09-2018 227.9 223.7 -4.2 228.85
01-10-2018 225 229.35 4.35 225.25
03-10-2018 230 227.6 -2.4 229.95
04-10-2018 224 223.25 -0.75 224.6
05-10-2018 222.75 216.25 -6.5 223.65
08-10-2018 217.8 212.35 -5.45 210.5
09-10-2018 205.7 184.35 -21.35 206.1
10-10-2018 186 188.75 2.75 186.55
11-10-2018 180.65 182.95 2.3 180.7
12-10-2018 185.95 183.75 -2.2 182.65
15-10-2018 186.5 184.35 -2.15 185.95
16-10-2018 185.2 185.85 0.65 186.8
17-10-2018 187.6 179.95 -7.65 187.8
19-10-2018 178.95 174.7 -4.25 178.8
22-10-2018 176.4 170.75 -5.65 176.15
23-10-2018 170 170.65 0.65 169.95
24-10-2018 173.9 170.65 -3.25 173.45
25-10-2018 168.95 165.35 -3.6 168.45
Payoff Table
Stock MTM Future MTM
Date Stock Closing PriStock futures clo
28-09-2018 223.7 224.75
01-10-2018 229.35 230.55 24792.2 -26100
03-10-2018 227.6 228.5 -7679 9225
04-10-2018 223.25 224.5 -19087.8 18000
05-10-2018 216.25 217.15 -30716 33075
08-10-2018 212.35 213.5 -17113.2 16425
09-10-2018 184.35 185.2 -122864 127350
10-10-2018 188.75 189.45 19307.2 -19125
11-10-2018 182.95 183.25 -25450.4 27900
12-10-2018 183.75 184.2 3510.4 -4275
15-10-2018 184.35 184.8 2632.8 -2700
16-10-2018 185.85 186.15 6582 -6075
17-10-2018 179.95 179.7 -25889.2 29025
19-10-2018 174.7 174.75 -23037 22275
22-10-2018 170.75 170.85 -17332.6 17550
23-10-2018 170.65 170.95 -438.8 -450
24-10-2018 170.65 171.05 0 -450
25-10-2018 165.35 165.2 -23256.4 26325
-256039.8 267975
Total Profit/Loss 11935.2
Hedging killed the loss and gave a profit of Rs.11935.2.Therefore hedging the stock po
%Price Change
-0.2793296089
-2.6115947398
2.3854961832
-0.311812179
2.5433099889
0.5818181818
-3.6330935252
-1.7318435754
0.1122964627
-1.5108593012
-2.8003089996
-0.3341194969
-1.9956955586
-3.6770583533 One Day Hedge Ratio 0.9757507161
0.1037344398 approximate value 1
-3.4660614813 TATAMOTORS Lot Size 1500
-4.4420828905 Optimal Hedge Ratio 2.854396095
2.078055854
0
te 78 81 82 83 84 85 88 89
Risk Free Rate 7% Da 433 433 433 433 433 433 433 433
Close Futures
Column D
Column E
2 3 4 5 8 9 0 2 5 6 7 8
338 338 338 338 338 338 339 339 339 339 339 339
4 4 4 4 4 4 4 4 4 4 4 4
Symbol Date Expiry Option Type Strike Price Open
TATAMOTORS 04-Oct-18 25-Oct-18 PE 220 9.25
TATAMOTORS 05-Oct-18 25-Oct-18 PE 220 9.35
100
80
60
40
Loss
Profit/Loss of Long Stock Profit/Loss of Long Put
100
80
60
40
Profit/Loss
20
0
180 190 200 210 220 230 240 250 260 270 280 290 300 310
-20
-40
-60
Spot Price
No. of contracts Turnover in Lacs Premium Turnover
Open Int Change in OI Underlying Value
1561 5345.9 194.6 768000 4500 223.25
1747 6032.12 267.02 732000 -36000 216.25
CALL OPTION
Date Option Type Strike Price Settle Price Adj Close
05-Oct-18 CE 220 9.65 216.25
08-Oct-18 CE 220 7.25 212.35
09-Oct-18 CE 220 2.3 184.35
10-Oct-18 CE 220 1.45 188.75
11-Oct-18 CE 220 0.75 182.95
12-Oct-18 CE 220 0.7 183.75
15-Oct-18 CE 220 0.6 184.35
16-Oct-18 CE 220 0.4 185.85
17-Oct-18 CE 220 0.25 179.95
19-Oct-18 CE 220 0.15 174.7
22-Oct-18 CE 220 0.05 170.75
23-Oct-18 CE 220 0.05 170.65
24-Oct-18 CE 220 0.05 170.65
25-Oct-18 CE 220 0 165.35
0
180 190 200 210
-20
P/L
-40
-60
-80
-100
-80
-100
High Low Close LTP Settle Price No. of contracts
18.2 13.05 13.75 14.35 13.75 288
15.5 9 9.65 9.3 9.65 907
0
180 190 200 210 220 230 240 250 260 270 280 290 300 310
-20
P/L
-40
P/L
-60
-80
-100
Spot Price
-80
-100
Spot Price
Turnover in Lacs Premium Turnover in Lacs Open Int Change in OI Underlying Value
1,014.92 64.52 2,77,500 6,000 223.25
3,153.34 160.24 4,77,000 1,99,500 216.25
erlying Value
Symbol Date Expiry Option Type Strike Price Open
TATAMOTORS 04-Oct-18 25-Oct-18 CE 220 15.7
TATAMOTORS 05-Oct-18 25-Oct-18 CE 220 14
TATAMOTORS 04-Oct-18 25-Oct-18 PE 220 9.25
TATAMOTORS 05-Oct-18 25-Oct-18 PE 220 9.35
Short Call Payoff Table
Strike Price Spot Price Premium Intrinsic Value SC Profit/loss
220 180 14 0 14
220 190 14 0 14
220 200 14 0 14
220 210 14 0 14
220 220 14 0 14
220 230 14 10 4
220 240 14 20 -6
220 250 14 30 -16
220 260 14 40 -26
220 270 14 50 -36
220 280 14 60 -46
220 290 14 70 -56
220 300 14 80 -66
220 310 14 90 -76
Estimate =
20
0
Spot Price 180 190 200 210 220 230 240 250 260 270 280
-20
0
Spot Price 180 190 200 210 220 230 240 250 260 270 280
-20
profit/loss
-40
-60
-80
-100
spot price
High Low Close LTP Settle Price No. of contracts
18.2 13.05 13.75 14.35 13.75 288
15.5 9 9.65 9.3 9.65 907
10.1 6.55 9.2 9.3 9.2 1561
13.3 8 12.25 13 12.25 1747
Short Put Payoff Table
Strike Price Spot Price Premium Intrinsic Value SP Profit/loss
220 180 13.3 40 -26.7
220 190 13.3 30 -16.7
220 200 13.3 20 -6.7
220 210 13.3 10 3.3
220 220 13.3 0 13.3
220 230 13.3 0 13.3
220 240 13.3 0 13.3
220 250 13.3 0 13.3
220 260 13.3 0 13.3
220 270 13.3 0 13.3
220 280 13.3 0 13.3
220 290 13.3 0 13.3
220 300 13.3 0 13.3
220 310 13.3 0 13.3
20 20
10 0
-20180 210 240 270 300
profit/loss
profit/loss
0
1 3 5 7 9 11 13 -40
-10 Column L SC Profit/los
-60
-20 -80
-30 -100
spot price spot price
Column F
Column L
Turnover in Lacs Premium Turnover
Open Int Change in OI Underlying Value
1014.92 64.52 277500 6000 223.25
3153.34 160.24 477000 199500 216.25
5345.9 194.6 768000 4500 223.25
6032.12 267.02 732000 -36000 216.25
0 0 0
24 27 30
SC Profit/loss
price
Symbol Date Expiry Option Type Strike Price Open High
TATAMOTORS 04-Oct-18 25-Oct-18 CE 220 15.7 18.2
TATAMOTORS 05-Oct-18 25-Oct-18 CE 220 14 15.5