Pair Trade: Long BPCL & Short IOC; Options strategy: Bank Nifty short straddles

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Pee Vee
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Pair Trade: Long BPCL & Short IOC; Options strategy: Bank Nifty short straddles

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DERIVATIVE NOTE

Pair Trade – Long BPCL & Short IOC
Buy BPCL March Future @ 665 (2 lot) and IOC March Future @ 387 (3 lot)

Entry price ratio: 1.70 to 1.72 ratio range
Target price ratio: 1.98
Stop loss price ratio: 1.65

Ratio: Current BPCL/IOC stands at 1.718 (i.e.665.3 (BPCL)/387.25 (IOC))

Options strategy: Bank Nifty short straddles (Monthly Option)

Trade idea: (4 leg strategy) Feb series 23rd expiry - Sell strike 20300 & 20600 calls @299/116 and Sell 20300 & 20600 puts @ 62/178.
Current inflow on spread is 655 points, stop loss on spread: 800. Target on spread: 480/400.

CALL SUCCESS

Pair Trade – Long HDFC Bank & Short IndusInd Bank

We recommend to book full profit in Pair trade of Long HDFC Bank Future & Short IIB Future (February series), given on February 10, 2016. The pair has delivered returns of ~6%, from the initiated entry levels of 0.995. Currently, the ratio has moved to 1.05 close to our target levels (1.06).

Amar Ambani
Head of Research
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