Harsh Gandhi, D018 SAP ID: 80101190221

Strap position - Case 1 (A)

Position taken on 19/08/2020
Mean Reversion Price- 1248.68
Entry Exit
Price 1238.1 1247.8
SIEMENS CE 1240 PE 1240
Entry @ 10:24 32.85 34.45
Exit @ 11:35 31.45
Exit @ 11:47 36.45
Profit 3.6 -3
Lots 2 1
Lot Size 550 550
Net Profit 3960 -1650
ROI 2310 4.2%
Rationale:- The Mean Reversion price was
higher. So I took a call heavy position (Strap)
where I bought 2 Lot of Call and 1 Lot of Put
of same strike price and expiry, basically to
manage the risk of down-side. When the
price was moving as per my forecast, I used
Reverse Disposition effect and I exited the
losing side (put position) and when the price
neared the target, I exited the call position.

Strip Position Case 1 (B)

Position taken on 20/08/2020
Mean Reversion Price- 8.6
Entry Exit
Price 8.75 8.6
IDEA CE 9 PE 9
Entry @ 10.35 0.6 0.9
Exit @ 1.30 0.55
Exit @ 1.53 1
Profit -0.05 0.1
Lots 1 2
Lot Size 140000 140000
Net Profit -7000 28000
ROI 21000 6.3%
Rationale:- The Mean Reversion Price was
lower, so I took a Strip position (1 Lot of Call
and 2 Lot of Put option, same strike, same
expiry) and as the price gradually came
down, I used Reverse Disposition effect and
I first exited the losing side of Call option
and when the Mean Reversion price was
reached, I exited the Put option. I took strip
position in order to mitigate the risk.
Harsh Gandhi, D018 SAP ID: 80101190221
StrIp Position to Straddle- Case 2 (A)
Position taken on 19/08/2020
Mean Reversion Price- 522.10
Entry Exit
Price 527.6 531.5/529.25
BHARTIARTL 530 CE 530 PE
Entry @ 10:24 13.85 16
Entry @ 11:22 14.7
Exit @ 11:47 15.5
Exit @ 12:.02 15.5
Profit 2.45 -1
Lots 2 2
Lot Size 1851 1851
Net Profit 4534.95 -1851
ROI 2683.95 2.4%
Rationale:- The Mean Reversion price was lower,
so initially I took the position of Strip (1 Lot of Call
Option & 2 Lot of Put Option). But gradually the
price of underlying was increasing and moving
away from Mean Reversion price. So I took
opposite position by buying 1 more Lot of Call
option to manage risk using Reverse Disposition
effect. As the price continued to increase and
move away from Mean Reversion price, I exited
from Put Option position. As the price reached the
peak, I exited the Call option position to minimize
losses.

Strap Position to Straddle- Case 2 (B)

Position taken on 06/08/2020
Mean Reversion Price- 123.9
Entry Exit
Price 122 122.8, 121.20
VEDL CE 120 PE 120
Entry @ 11:22 6.6 3.8
Entry @ 12:01 4
Exit @ 12:59 6.25
Exit @ 01:20 4.6
Profit -0.7 0.6
Lots 2 2
Lot Size 6200 6200
Net Profit -4340 7440
ROI 3100 2.4%
Rationale:- The Mean Reversion price was higher
so I took a Strap position (2 Call options and 1 Put
option) but the underlier price instead of going
higher, started going down, so I bought another
Put option making my position as Straddle. The
underlier was still sliding so I sold my 2 Lot of Call
option using Reverse Disposition effect and waited
for underlier to go further down. When the
underlier further slided, I sold my 2 Lot of Put
option. The magnitude of downside of underlier
was high which helped me gain substancially on
my Put position.

Case 3 (A)
Mean Reversion Price- 359.80
Position on 20/08/2020
Entry Exit
Price 355.85 353.35, 355.55
ADANIPORTS CE 360 PE 360
Entry @ 10:58 5.3 9.65
Exit @ 01:51 10.95
Exit @ 02:45 5
Profit -0.3 1.3
Lots 2 1
Lot Size 2500 2500
Net Profit -1500 3250
ROI 1750 3.5%
Rationale:- The Mean Reversion price was high so I
took a Strap position (2 lot of Call option and 1 lot
of Put option). The underlier kept on moving
sideways so I used Dispositon effect and when the
underlier first hit its trough, I first exited from the
Put position. When the underlier price made a
peak, I exited from my call position eventually
managing the risk and avoiding the high losses.

Case 3 (B)
Mean Reversion Price- 209.5
Position taken on 19/08/2020
Entry Exit
Price 208.1 207.75, 206.75
IBULHSGFIN CE 205 PE 205
Entry @ 10:23 9.7 9.85
Exit @ 11:11 9.25
Exit @ 12:54 9.85
Profit -0.45 0
Lots 2 1
Lot Size 3100 3100
Net Profit -2790 0
ROI -2790 -3.1%
Rationale:- The Mean Reversion price was higher
so I entered into Strap position (2 Lot of Call Option
and 1 Lot of Put option). Observed for a while but
the underlier kept on moving sideways so I used
Disposition effect and managed the risk by exiting
the call position in its peak and exited the put
position in its trough which helped me to minimize
the losses.