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  • FnO RiskReward Calc

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    Pooja Gupta
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    The document outlines various hedging strategies using options and futures contracts across different scenarios with varying underlying prices. It provides details like lot sizes, strike rates, premiums, margins, profits/losses for each strategy under each scenario. The maximum potential loss is Rs. 19,000 in the most unfavorable scenarios. Liquidity is noted as an important factor to consider for options nearing expiry when looking to exit positions. Cash returns ranging from 21% to -19% are shown depending on the underlying price at expiry.

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    The document outlines various hedging strategies using options and futures contracts across different scenarios with varying underlying prices. It provides details like lot sizes, strike rates, premiums, margins, profits/losses for each strategy under each scenario. The maximum potential loss is Rs. 19,000 in the most unfavorable scenarios. Liquidity is noted as an important factor to consider for options nearing expiry when looking to exit positions. Cash returns ranging from 21% to -19% are shown depending on the underlying price at expiry.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    6 views3 pages

    FnO RiskReward Calc

    Uploaded by

    Pooja Gupta
    The document outlines various hedging strategies using options and futures contracts across different scenarios with varying underlying prices. It provides details like lot sizes, strike rates, premiums, margins, profits/losses for each strategy under each scenario. The maximum potential loss is Rs. 19,000 in the most unfavorable scenarios. Liquidity is noted as an important factor to consider for options nearing expiry when looking to exit positions. Cash returns ranging from 21% to -19% are shown depending on the underlying price at expiry.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    of 3

    SBI YES FEB OPTIN

    OW Hedge Future Hedge


    Sell CE BUY CE Buy FutureBUY PE
    Lot Size Lot Size 3000 3000
    Strike rate Strike rate 284 295
    Premium Premium 16
    Margin Margin 78000
    Net Profit Net Profit
    Final Final

    Expiry Expiry Scenario 1


    284
    Scenario 2
    290
    Scenario 3
    295
    Scenario 4
    300
    Scenario 5
    310
    Scenario 6
    280
    Scenario 7
    275
    Scenario 8
    270
    Scenario 9
    260
    LIQUIDITY MATTERS SAIL NO FEB SAIL option
    Future Hedge
    Buy FutureBUY PE Hawa CASH
    Lot Size 19000 19000
    Strike rate 74.2 79
    Premium 5.8 1
    Total Prem 1409800 110200
    Margin 123939
    Net Profit
    Final
    Max Loss -19000 FnO Return
    Expiry Scenario 1
    90 300200 -167200 133000 107%
    Scenario 2
    85 205200 -167200 38000 31%
    Scenario 3
    82 148200 -167200 -19000 -15%
    Scenario 4
    80 110200 -129200 -19000 -15%
    Scenario 5
    77 53200 34200 87400 71%
    Scenario 6
    75 15200 -34200 -19000 -15%
    Scenario 7
    70 -79800 60800 -19000 -15%
    Scenario 8
    65 -174800 155800 -19000 -15%
    Scenario 9
    60 -269800 250800 -19000 -15%
    HOW TO SOLVE THIS
    Problem in selling in illiquid ones for expiry?

    Cash Returns

    21%

    15%

    11%

    8%

    4%

    1%

    -6%

    -12%

    -19%

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