Monday, 15 November 2021

Banknifty trading strategy for Dec'21

2% Return in 10 days

Safe Banknifty Option Trading Strategies

I am documenting my options strategy in this blog for myself. My target is to earn consistent returns with minimum drawdown.

The top 2 benefits of these deployments are:

1. This strategy gives regular income from weekly Iron fly.
2. The range of the strategy is extensive, so I don't have to adjust the positions.

How combined BATMAN and IRONFLY strategy can give 50% return in a year.

I back-tested the data for the last two years using Fintester and Opstra backtests simulator. I found the results are very encouraging. Hence, I decided to conduct a forward test for the next 12 months. In this blog, I will do a journal of my daily trading and all rationals and mistakes I committed in a live market.

BNF hourly chart

The market is weak and closed below VWAP and all other critical moving averages in a one-hour chart. There was a good OI build-up of around 39000. 

Astroview is negative for tomorrow. 

Hence, I sold an extra call 41000.

BATMAN strategy payoff chart

As long as BNF is trading within 36100 and 41800, the trade will not give a loss. The strategy will give maximum profit at 37000 and 41000.

Planned adjustments along with price movements

1. Once the price crosses and trades below 38300 ( 1SD), will buy far OTM put near 36000. Once the price crosses 41000, will by OTM call around 41800.

2. If the price crosses below 37000, will sell 20 delta calls. If the price crosses 41000, will sell 20 deltas put. I usually do 1 and 2 together, but it depends on the volatility of the market. It is better to avoid option buying while volatility is up.

3. If price crossed breakeven, booked the profitable legs and converted the strategy to an inverted strangle.

However, I prefer to close the strategy at 37000 or 41000. I will deploy a new system because adjustment of the existing process creates more issues.

Positions details

Position greeks

Delta -10
Theta 2990
Vega -13904
Gama -0.04

3 essential points regarding option greeks

  1. ATM options are most sensitive to volatility
  2. Theta decays fast for far OTM options.
  3. Theta decay rate increases with an increase in volatility.

Click the link to understand the ironfly strategy using banknifty weekly options.

I started this experiment on 9-11-2021. Click the Banknifty trading strategy using options to know the previous trade details.

I will track the profit and loss without other expenses

15-11-2021 PnL 9246

Please click the link to get "day3" update on banknifty option strategy performance

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