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Disclaimer
The views expressed herein are solely of the analyst, Any review, retransmission, or any
information contained herein is from publicly available data or other sources believed to
way promoting or criticizing any policy /reform. Sharekhan does not comment on the pro
mentioned herein. Each recipient of this information may take their own decisions based
objectives and financial position and using such independent advisors, as they believe negood faith and Sharekhan Ltd makes no representations or warranties, express or implied
of the information and shall have no liability to you or your representative(s) resulting fr
carries on proprietary trading.
StrategiView Demo
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other use is prohibited. The
be reliable. Sharekhan is not in any
fitability of theproduct/scrip
on their specific investment
cessary. This information is given inas to the accuracy or completeness
om use of this information.Sharekhan
ies
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25000
*** Margin Assumption per lot can be changed by user
Bullish
Portfolio
Protection
Bearish
Margin Assumption (Rs.) per lot
Straddle
Butterfly
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Refresh Data
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Type Bullish
Bullishness timeframe * Dec
Bullish from * 5800
Bullish Upto * 6000
Price 5800-Dec-CE 154.5
Price 6000-Dec-CE 47.5
Qty to be bought(lots) * 1
Ratio (In case of Ratio spread) * 2
Qty to be bought 5800-Dec-CE 50
Qty to be Sold 6000-Dec-CE 100
* Compulsory Input field
View - Bullish
ResultHome
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NIFTY Buy CE NIFTY Buy CE
Month Dec Month Dec
Strike 5800 Strike 5800
Quantity 50 Quantity 50
Price 154.5 Price 154.5Value 7725 Value 7725
Outflow (Rs.) 7725 Outflow (Rs.)
Inv/Margin *** 7725 Inv/Margin ***
Max Profit (Rs.) Unlimited Max Profit (Rs.)
Max Loss (Rs.) 7725 Max Loss (Rs.)
Breakeven Point 5955 Max Profit Level
Return:Risk - Breakeven Point
Return:Risk
BACK HOME Nifty Level
6000
*** Inv/Margin has been assumed & can be changed
Entry Rules
Nifty - CMP 5869.95 Nifty - CMP 5869.95
Nifty (+/-) Change points 0 Nifty (+/-) Change points 100
Days Expired 0 Days Expired 2
Sensitivity Date 5/13/2013 Sensitivity Date 5/15/2013
Current Call Ivs 14.8800 Current Call Ivs Dec-5800 14.8800
Volatility (+/-) 0 Current Call Ivs Dec-6000 13.9900
Price : Dec-5800-CE #VALUE! Volatility Change (+/-) 0
Portfolio P&L #VALUE! Price : Dec-5800-CE #VALUE!
Price : Dec-6000-CE #VALUE!
Portfolio P&L #VALUE!
Scenario Analysis Expiry
at
53
59
60
0.
Option 1 : Buy Option Option 2 : Bull Spread
53
303
46
Portfolio Sensitivity Portfolio Sensitivity
15000
20000
25000
30000
2000.00
4000.00
6000.00
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-10000
-5000
0
5000
10000
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
6500
P&L on Expiry P&L Sensitivity -6000.00
-4000.00
-2000.00
0.00
5200
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
6500
P&L on Expiry P&L Sen
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Sell CE NIFTY Buy CE Sell CE
Dec Month Dec Dec
6000 Strike 5800 6000
-50 Quantity 50 -100
47.5 Price 154.5 47.5-2375 Value 7725 -4750
Outflow (Rs.)
Inv/Margin ***
Max Profit (Rs.)
Breakeven Point
Max Profit Level
Loss will start above
Return:Risk
P&L(Rs.) Nifty Level P&L
4650.00 6000.0 7025.00
In Above Case level 6000
Exit Rules
Nifty - CMP 5869.95
Nifty (+/-) Change points 0
Days Expired 0
Sensitivity Date 5/13/2013
Current Call Ivs Dec-5800 14.8800
Current Call Ivs Dec-6000 13.9900
Volatility Change (+/-) 0
Price : Dec-5800-CE #VALUE!
Price : Dec-6000-CE #VALUE!
Portfolio P&L #VALUE!
Scenario Analysis Expiry
at
0
7
5860
Note: Exit ratio strategy once you reach the strike
where you sold extra.
0
6141
2.4
6000
9
Option 3 : Bull Ratio Spread
0 2975
7025
50 52975
0
Portfolio Sensitivity
-10000.00
-5000.00
0.00
5000.00
10000.00
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
6500
6600
6700
6800
6900
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itivity -45000.00
-40000.00
-35000.00
-30000.00
-25000.00
-20000.00
-15000.00
P&L on Expiry P&L Sensitivity
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Type BearishBearish timeframe * Jan
Bearish from * 5600
Bearish Upto * 5300
Price 5600-Jan-PE 29.30
Price 5300-Jan-PE 9.05
Qty to be bought(lots) * 1
Ratio (In case of Ratio spread) * 2
Qty to be bought 5600-Jan-PE 50
Qty to be Sold 5300-Jan-PE 100
* Compulsory Input field
View - BEARISH
Home
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NIFTY Buy PE NIFTY Buy PE
Month Jan Month Jan
Strike 5600 Strike 5600
Quantity 50 Quantity 50
Price 29.3 Price 29.3Value 1465 Value 1465
outflow (Rs.) 1465 outflow (Rs.)
Inv/Margin *** 1465 Inv/Margin ***
Max Profit (Rs.) Unlimited Max Profit (Rs.)
Max Loss (Rs.) 1465 Max Loss (Rs.)
Breakeven Point 5571 Max Profit Level
Return:Risk - Breakeven Point
Return:Risk
BACK HOME Nifty Level5600
Entry Rules
Nifty Spot - CMP 5869.95 Nifty Spot - CMP 5869.95
Nifty (+/-) points Change 0 Nifty (+/-) points Change 100
Days Expired 0 Days Expired 20
Sensitivity Date 5/13/2013 Sensitivity Date 6/2/2013
Current Put IVs Jan-5600 15.6100 Current Put IVs Jan-5600 15.6100
Volatility Change(+/-) 0 Current Put IVs Jan-5300 18.0900
Price : Jan-5600-PE #VALUE! Volatility Change(+/-) 0
Portfolio P&L #VALUE! Price : Jan-5600-PE #VALUE!
Price : Jan-5300-PE #VALUE!Portfolio P&L #VALUE!
Scenario Analysis Expiry
at
13
10
55
53
13
26
Option 1 : Buy Option Option 2 : Bear Spread
10
Portfolio Sensitivity Portfolio Sensitivity
30000
35000
40000
12000.00
14000.00
16000.00
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-5000
0
5000
10000
15000
20000
25000
4900
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
P&L on Expiry P&L Sensitivity
-2000.00
0.00
2000.00
4000.00
6000.00
8000.00
10000.00
47
00
48
00
49
00
50
00
51
00
52
00
53
00
54
00
55
00
56
00
P&L on Expiry P&L S
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Sell PE NIFTY Buy PE Sell PE
Jan Month Jan Jan
5300 Strike 5600 5300
-50 Quantity 50 -100
9.05 Price 29.3 9.05-453 Value 1465 -905
outflow (Rs.)
Inv/Margin ***
Max Profit (Rs.)
Breakeven Point
Max Profit Level
Loss will Start below
Return:Risk
P&L(Rs.) Nifty Level P&L(Rs.)
-1012.50 5200 9440.00
In Above Case level 5300
Exit Rules
Nifty Spot - CMP 5869.95
Nifty (+/-) points Change 0
Days Expired 0
Sensitivity Date 5/13/2013
Current Put IVs Jan-5600 15.6100
Current Put IVs Jan-5300 18.0900
Volatility Change(+/-) 0
Price : Jan-5600-PE #VALUE!
Price : Jan-5300-PE #VALUE!Portfolio P&L #VALUE!
Scenario Analysis Expiry
at
25.8.8
Note: Exit ratio strategy once you reach the strike where
you sold extra.
13
501180
5589
530000
88 14440
5056013
Option 3 : Bear Ratio Spread
13 560
Portfolio Sensitivity
10000.00
20000.00
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57
00
58
00
59
00
60
00
61
00
nsitivity -40000.00
-30000.00
-20000.00
-10000.00
0.00
4300
4400
4500
4600
4700
4800
4900
5000
5100
5200
5300
5400
5500
5600
5700
P&L on Expiry P&L Sensitivity
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Type
NIFTY Spot
Protection timeframe *
Portfolio Value (Rs) *
Portfolio Description *
Assumed Beta
Protection from *
Protection Upto *
Price 5700-Dec-PE
Price 5400-Dec-PE
Qty to be bought(lots)
Ratio (In case of Ratio spread) *Qty to be bought 5700-Dec-PE
Qty to be sold 5400-Dec-PE
* Compulsory Input field
Home
View - Portf
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Portfolio Protection
5869.95
Dec
1000000
Midcap
1.4
5700
5400
21.3
4.45
5
2250
500
Result
lio Protection
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NIFTY Buy PE NIFTY Buy PE
Month Dec Month Dec
Strike 5700 Strike 5700
Quantity 250 Quantity 250
Price 21.3 Price 21.3Value 5325 Value 5325
Outflow (Rs.) 5325 Outflow (Rs.)
Inv/Margin *** 5325 Inv/Margin ***
Max Profit (Rs.) Unlimited Max Profit (Rs.)
Max Loss (Rs.) 5325 Max Loss (Rs.)
Breakeven Point 5679 Max Profit Level
Return:Risk - Breakeven Point
Return:Risk
BACK HOME Protection Cost(%)
Nifty Level
5399
*** Inv/Margin has been assumed & can be changed
Nifty Spot - CMP 5869.95 Nifty Spot - CMP 5869.95
Nifty (+/-) Change points 0 Nifty (+/-) Change points 100
Days Expired 0 Days Expired 20
Sensitivity Date 5/13/2013 Sensitivity Date 6/2/2013
Current Put Ivs Dec-5700 15.1800 Current Put Ivs Dec-5700 15.1800
Volatility Change (+/-) 0 Current Put Ivs Dec-5400 20.0100
Price : Dec-5700-PE #VALUE! Volatility Change (+/-) 0
Portfolio P&L #VALUE! Price : Dec-5700-PE #VALUE!
Price : Dec-5400-PE #VALUE!
Portfolio P&L #VALUE!
Option 1 : Buy Option Option 2 : Bear Spread
421
Scenario Analysis
Expiry at
707
16.
54
421
Portfolio Sensitivity Portfolio Sensitivity
0.
129
56
100000
150000
200000
40000.00
50000.00
60000.00
70000.00
80000.00
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-50000
0
50000
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
P&L on Expiry P&L Sensitivity-10000.00
0.00
10000.00
20000.00
.
4800
4900
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
P&L on Expiry P&L Sensit
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Sell PE NIFTY Buy PE Sell PE
Dec Month Dec Dec
5400 Strike 5700 5400
-250 Quantity 250 -500
4.45 Price 21.3 4.45-1113 Value 5325 -2225
Outflow (Rs.)
Inv/Margin ***
Max Profit (Rs.)
Breakeven point
Max Profit Level
Loss will Start below
Return:Risk
Protection Cost(%)
P&L(Rs.) Nifty Level P&L(Rs.)
70787.50 5661 6650.00
In Above Case level 5400
Nifty Spot - CMP 5869.95
Nifty (+/-) Change points 0
Days Expired 0
Sensitivity Date 5/13/2013
Current Put Ivs Dec-5700 15.1800
Current Put Ivs Dec-5400 20.0100
Volatility Change (+/-) 0
Option Price : Dec-5700-PE #VALUE!
Option Price : Dec-5400-PE #VALUE!
Portfolio P&L #VALUE!
Option 3 : Bear Ratio Spread
3 3100
Scenario Analysis Expiry at
88 71900
0.3
8
5112
0
3 5688
Portfolio Sensitivity
5400
4
13 253100
Note: Exit ratio strategy once you reach the strike where
you sold extra.
3
23.2
-50000.00
0.00
50000.00
100000.00
4400
4500
4600
4700
4800
4900
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
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ivity
-200000.00
-150000.00
-100000.00
P&L on Expiry P&L Sensitivity
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Type * CE
Bullish Butterfly Timeframe * Dec
Middle Strike * 5800
Degree of movement * 100
Qty to be bought(lots)Dec-5700-CE* 1
Buy Dec-CE Strike 5700
Sell Dec-CE Strike 5800
Buy Dec-CE Strike 5900
Price Dec-5700-CE 233
Price Dec-5800-CE 154.5Price Dec-5900-CE 90.9
Qty to be bought Dec-5700-CE 50
Qty to be Sold Dec-5800-CE -100
Qty to be Bought Dec-5900-CE 50
Butterfly Cost 14.9
* Compulsory Input Field
Butterfly
ResultHome
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NIFTY Buy CE SELL CE
Month Dec Dec
Strike 5700 5800
Quantity 50 -100
Price 233 154.5
Value 11650 -15450
Outflow (Rs.)
Inv/Margin ***
Max Profit (Rs.)
Max Profit Level
Breakeven - I **
Breakeven - II **
Risk/Reward
Entry Rules
BACK
Nifty Spot - CMP 5869.95
Nifty (+/-) Change points 100
Days Expired 02
Sensitivity Date 5/15/2013
Current 5700-CE IVs 15.78
Current 5800-CE IVs 14.88
Current 5900-CE IVs 14.26
Volatility Change (+/-) 0
Price -5700-Dec-CE #VALUE!
Price -5800-Dec-CE #VALUE!
Price -5900-Dec-CE #VALUE!
Portfolio P&L #VALUE!
5715
** Profit will be made if market remain in the range between Br
Scenario Analysis Expiry
at5700.0
Portfolio Sensitivity
-74
5.7
5800
5885
4255
Bull Butterfly BUY
745
50745
-1000.0
0.0
1000.0
2000.0
3000.0
4000.0
5000.0
5100
5200
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Buy CE
Dec
5900
50
90.9
4545
Exit Rules
HOME
akeven I & II
5.0
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
6500
P&L on Expiry P&L (Sensitivity)
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Month * Feb
Action * Sell
Strike * 5700
Qty to be bought(lots) * 1
Price 5700-Feb-CE 316.15
Price 5700-Feb-PE 63.75
Quantity 5700-Feb-CE -50
Quantity 5700-Feb-PE -50
Total Straddle Inflow 379.9
* Compulsory Input field
Straddle
ResultHome
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NIFTY SELL CE
Month Feb
Strike 5700
Quantity -50
Price 316.15
Value -15807.5
Inflow(Rs.)
Inv/Margin ***
Max Profit (Rs.)
Max Loss (Rs.)
Loss will start above
Loss will start below
Max Profit Level
Max Loss Level
Entry Rules
BACK HOME
Nifty Spot - CMP 5869.95
Nifty (+/-) Change points 100
Days Expired 20
Sensitivity Date 6/2/2013
Current Call Ivs Feb-5700 8.3700
Current Put Ivs Feb-5700 16
Volatility Change (+/-) 5
Option Price : Feb-5700-CE #VALUE!
Option Price : Feb-5700-PE #VALUE!
Portfolio P&L #VALUE!
608
532
Unlimi
570
Option Straddle SELL
1899
6899
1899
Portfolio Sensitivity
Unlimi
Scenario Analysis Expiry at 5664
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SELL PE
Feb
5700
-50
63.75
-3188
Exit Rules
ted
5
5
5
17195
ted
-20000
-15000
-10000
-5000
0
5000
10000
15000
20000
25000
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000
6100
6200
6300
6400
P&L on Expiry P&L (Sensitivity)
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Bullish
When?View is extremely +ve and dont want to limit
the upside participation.
Keep in MindTheta Decay will be high, if view doesnt go
right within the desired time frame, timely
EXIT is critical.
When?View is Bullish & wants to reduce some
component of the initial outflow.
Keep in Mind
Upside Potnetial is Limited (till the Upper
Strike). Participation would be relatively less,
If there is fast movement in the Underlying.
When?View is Bullish with Limited movement in the
Underlying.
Keep in Mind
If the movement in the underlying is fast
towards the Upper Strike, the profit potential
will reduce and EXIT around the Upper Strike is
critical to avoid big losses.
When?
"CE Butterfly" View is +ve upto certain
level(Middle Strike) and you want to have
limited outflow(Low risk). Ideal to do when IVS
are high.
Keep in Mind
If there is extreme movement in the
underlying in shorter span of time, results will
vary. The strike to be written /sold, (Middle
Strike) should be the target of underlying or
Exit point. E.g. If NIFTY spot is 5700 and view
is 5900, then butterly will be Buy 5700CE
1Lot, Sell 5900CE 2 Lots and buy 6100CE lot.
Buy Straddle
When?
When the view is of extreme movement on
either side. It can be on account of an event (
RBI Policy, FED policy, Result Season etc).
Ideally should be avoided in sideways market
Keep in Mind
The strategy has unlimited upside potential.
However, if there is no movement after
entering into the trade, then theta decay will
be high & will work against the buyer .
Straddle
Entry / Exit Rul
Naked option
Spreads
Ratio
Butterfly
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For Disclaimer : Read Main she
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Bearish
View is extremely -ve and dont want to limit
the downside participation. Bullish Bearish
Theta Decay will be high, if view doesnt go
right within the desired time frame, timely
EXIT is critical. Butterfly Straddle
View is Bearish & wants to reduce some
component of the initial outflow.
Downside Potnetial is Limited (till the Lower
Strike). Participation would be relatively less,
If there is fast movement in the Unerderlying.
View is Bearish with Limited movement in
the Underlying.
If the movement in the underlying is fast
towards the Lower Strike, the profit potential
will reduce and EXIT around the Lower Strike
is critical to avoid big losses.
"PE Butterfly" View is -ve upto certain
level(Middle strike) and want to have limited
outflow(low Risk).Ideal to do when IVS are
high.
If there is extreme movement in the
underlying in shorter span of time, results
will vary. The strike to be sold (Middle Strike)
should be the target of underlying or Exit
point. E.g. If NIFTY spot is 5700 and view is
5500, then butterly will be Buy 5700PE 1Lot,
Sell 5300PE 2 Lots and buy 5100PE 1 lot.
Sell Straddle
When the view is sideways or rangebound
movement.
The strategy has unlimited Risk potential with
limited profits (Equivalent to Inflow). Ideally
should be done when IV's are high
MAIN PAGEs
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et
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