Strategy Link: https://www.tradetron.tech/strategy/21174
|Tags||ShortGamma, MarketNeutral, Pairs|
INDEX OPTIONS STAT ARB STRATEGY
This strategy will take pair trade position in Nifty and BankNifty options based on my proprietary indicators and adjusts strikes dynamically to hedge gamma risk.
IMPORTANT: The default position size for 1x multiplier is 1 lot. Keep in mind that smaller the quantity means your transactions costs will eat bigger portion of profits. Hence, we advise at least 2x multiplier. For serious players, 5x is recommended.
Capital Required will depend on the leverage provided by your broker. Assuming 10K per lot of Nifty & BankNifty options, required capital is 20K for 1x multiplier. Keep 15-20K MTM buffer also, so total 40K. Adjust the capital requirement and MTM buffer according to your broker leverage and risk-taking appetite.
Disclaimer : These results are based on simulated or paper trading or hypothetical performance results that have certain inherent limitations. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
|Capital||₹ 200 K|
|PNL||₹ 267.9 K|
|Jun, 20||₹ 11.5 K||5.77|
|Jul, 20||₹ 239.5 K||119.76|
|Aug, 20||₹ 16.9 K||8.44|