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UNDERLYING STOCK

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

Close Underlying Stock Basis


216.25 0.9 1.4
212.35 1.15
184.35 0.85 1.2
188.75 0.7
1
182.95 0.3
183.75 0.45 0.8
184.35 0.45
185.85 0.3 0.6

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

Size of exposure 1000000


Number of shares bought 4387.889425 4388
Number of contracts to be hedged ov 2.854396095 3
Therefore hedging the stock position was a good decision.
Days Left to Expiry
Date Actual Price Theroritical FutuActual Future Prices
5-Oct-18 216.25 20 217.0810448205 250 217.15
8-Oct-18 212.35 17 213.0434489807 213.5
9-Oct-18 184.35 16 184.9165454883 185.2
10-Oct-18 188.75 15 189.2937611993 200 189.45
11-Oct-18 182.95 14 183.44186824 183.25
12-Oct-18 183.75 13 184.2086879899 184.2
15-Oct-18 184.35 10 184.7038871806 150 184.8
16-Oct-18 185.85 9 186.1710591906 186.15
17-Oct-18 179.95 8 180.2262995729 179.7
100
19-Oct-18 174.7 6 174.9011403599 174.75
22-Oct-18 170.75 3 170.8482679922 170.85
23-Oct-18 170.65 2 170.7154673491 170.95
50
24-Oct-18 170.65 1 170.6827305357 171.05
25-Oct-18 165.35 0 165.35 165.2

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

PUT OPTION UNDERLYING STOCK


Date Option Type Strike Price Settle Price Adj Close
05-Oct-18 PE 220 12.25 216.25
08-Oct-18 PE 220 13.65 212.35
09-Oct-18 PE 220 36.85 184.35
10-Oct-18 PE 220 34.95 188.75
11-Oct-18 PE 220 37.8 182.95
12-Oct-18 PE 220 36.4 183.75
15-Oct-18 PE 220 35.65 184.35
16-Oct-18 PE 220 34.2 185.85
17-Oct-18 PE 220 40.5 179.95
19-Oct-18 PE 220 43.8 174.7
22-Oct-18 PE 220 48.95 170.75
23-Oct-18 PE 220 47 170.65
24-Oct-18 PE 220 48.9 170.65
25-Oct-18 PE 220 0 165.35

Long Stock Pay Off Table


Buy Price Share Price Profit/Loss of Long Stock
222.75 180 -42.75
222.75 190 -32.75
222.75 200 -22.75
222.75 210 -12.75
222.75 220 -2.75
222.75 230 7.25
222.75 240 17.25
222.75 250 27.25
222.75 260 37.25
222.75 270 47.25
222.75 280 57.25
222.75 290 67.25
222.75 300 77.25
222.75 310 87.25

Optimal Hedge Ratio 3


Therefore We will buy three put options of TATA MOTORS
Lot Size
1500
Cost of Buying 3 put option lots 42075
Amount Left for Buying stocks 957925
Number of Stocks Purchased 4300.448934 4300
On Expiry Estimate -42970
High Low Close LTP Settle Price
10.1 6.55 9.2 9.3 9.2
13.3 8 12.25 13 12.25

LOT SIZE 1500

Long Put Pay off Table


Strike Price Spot Price Option Price Intrinsic Value Profit/Loss of L
220 180 9.35 40 30.65
220 190 9.35 30 20.65
220 200 9.35 20 10.65
220 210 9.35 10 0.65
220 220 9.35 0 -9.35
220 230 9.35 0 -9.35
220 240 9.35 0 -9.35
220 250 9.35 0 -9.35
220 260 9.35 0 -9.35
220 270 9.35 0 -9.35
220 280 9.35 0 -9.35
220 290 9.35 0 -9.35
220 300 9.35 0 -9.35
220 310 9.35 0 -9.35

Profit/Loss of Long Stock Profit/Loss of Long Put

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

Profit/Loss for 3 Options


91.95
61.95
31.95
1.95
-28.05
-28.05
-28.05
-28.05
-28.05
-28.05
-28.05
-28.05
-28.05
-28.05
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

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

LOT SIZE 1500


Total Cost of Buying a Lot 21000
Amount Lef 979000 20

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

Short Call Pay Off Table


Strike Price Spot Price Premium Intrinsic Value P/L
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

Profit/Loss per share 14


Total Profit 21000
20

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

Profit/ Loss for 1 option Short Call =


Profit/Loss for 1 Lot of Short Call =

Profit/Loss for 1 Option Short Put =


Profit/Loss for 1 Lot of Short Put =

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

250 260 270 280 290 300 310


250 260 270 280 290 300 310

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

Long Stock Pay Off Table


Buy Price Share Price Profit/Loss
222.75 180 -42.75
222.75 190 -32.75
222.75 200 -22.75
222.75 210 -12.75
222.75 220 -2.75
222.75 230 7.25
222.75 240 17.25
222.75 250 27.25
222.75 260 37.25
222.75 270 47.25
222.75 280 57.25
222.75 290 67.25
222.75 300 77.25
222.75 310 87.25

Optimal Hedge Ratio


Therefore
Lot Size We will buy three put options of TATA MOTORS

Cost of Selling 3 call option lots


Amount Left for Buying stocks
Number of Stocks Purchased
On Expiry Estimate
Low Close LTP Settle Price No. of contracts Turnover in Lacs
13.05 13.75 14.35 13.75 288 1014.92
9 9.65 9.3 9.65 907 3153.34

Short Call Payoff Table


Strike Price Spot Price Premium Intrinsic Value 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
Premium Turnover
Open Int Change in OI Underlying Value
64.52 277500 6000 223.25
160.24 477000 199500 216.25

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