PAPER ID: PCM121

PAPER TITLE: EFFECTIVENESS OF OPTIONS STRATEGY OF

INFORMATION TECHNOLOGICAL SECTOR INTRODUCED BY
NATIONAL STOCK EXCHANGE FOR HIGHEST MARKET
CAPITALIZATION OF INDIA

Author code Author code

AM183 AM184
Shaikh Mohammadimran Abdulsaeed Dr. Munira Habibullah
Assistant Professor (Co Author ) Professor, Ph.d Guide (Main Author )
S.R.Luthra Institute of Management G. H Bhakta - Department of business &
Contact no: 9879068469 Industrial management. DBIM
Email: imran15381@yahoo.co.in V. N. S. G. U. SURAT

ABSTRACT:
National stock exchange has introduce 22 stock and index option strategies for investor. In which
investors can trade and book profit or loss. These 22 strategies are divided in bull and bearish
strategies. 12 strategies are bull and 10 are bearish strategies. But these strategies are not define how
to enter in bull or bear strategies. This study will help how to define bull and bear strategies, and
checking the strategies return , whether the return in the strategies are according to said result in
strategy or not. The strategies define by national stock exchange are in predefine environment. If bear
market then invest in bear strategies and bull market then invest in bull strategies. Investing in option
strategies required technical and investment experience. For testing the effectiveness information
technology sector has been preferred. And from that highest 7 market capitalization stock has been
selected. There are approximately 250 stock and 5 index in which investors can invest. But how to
invest and when to invest in stock option is not define. These stock has been selected HCL
Technologies Ltd., Infosys, TCS, WIPRO, NIITTECH, OFSS, and TECHMAHINDRA

Key words: Market capitalization, derivative, options, effectiveness

 Effectiveness of options strategy of information technological sector
introduced by National Stock Exchange for highest market capitalization
of India
Introduction:
NSE has declared so many instruments for investor to invest and to hedge also. But all the
instrument now not trading with that perspectives. More than 85% of the volume on NSE and BSE
comes from derivatives segments. It is implied that these all instrument are now converting to
speculate. As investors speculate it may give return either positive or negative. Which is very risky.
So options introduced, with the unique features like safety option. Maximum profit and maximum
loss features were added too. They some strategy was also intruded in options. There are 11 strategies
for bull and 11 for bear. Just need to understand bull or bear market and take the position. In this
research the study focuses on which option strategy of more fruitful for which company.
Derivatives defined:- In the Indian context the Securities Contracts Regulation Act, 1956 [SCRA
defines “derivative’ to include”-
1. A security derived from a debt instrument, share, and loan whether secured or unsecured, risk
instrument or contract for differences or any other form of security.
2. A contract, which derives its value from the prices, or index of prices, of underlying
securities.
Derivatives are securities under the SCRA and hence the regulatory framework under the SCRA
governs the trading of derivatives.

OPTIONS:- Options are of two types call and puts. Calls give the buyer the right but not the
obligation to buy a given quantity of the underlying asset, at a given price on or before a given future
date. Puts give the buyer the right, but not the obligation to sell a given quantity of the underlying
asset at a given price on or before a given date.
Strategies introduce by National Stock Exchange for investors
Strategies Bullish Strategies Bearish Strategies
Strategy 1: Long Call Strategy 1: Long Call Strategy 1: Short Call
Strategy 2: Synthetic Long Strategy 2: Long Put
Strategy 2: Short Call
Call
Strategy 3: Synthetic Long Call Strategy 3: Short Put Strategy 3: Protective Call
Strategy 4: Long Put Strategy 4: Covered Call Strategy 4: Covered Put
Strategy 5: Short Put Strategy 5: Long Combo Strategy 5: Short Straddle
Strategy 6: Covered Call Strategy 6: Long Straddle Strategy 6: Short Strangle
Strategy 7: Long Strangle Strategy 7: Bull Put Spread
Strategy 7: Long Combo
Strategy
Strategy 8: Collar Strategy 8: Bear Call Spread
Strategy 8: Protective Call
Strategy
Strategy 9: Bull Call Spread Strategy 9: Bear Put Spread
Strategy 9: Covered Put
Strategy Strategy
Strategy 10: Bull Put Spread Strategy 10: Long Call Butterfly
Strategy 10: Long Straddle
Strategy
Strategy11: Short Call Strategy 11: Long Call Condor
Strategy 11: Short Straddle
Butterfly
Strategy 12: Short Call
Strategy 12: Long Strangle
Condor
Strategy 13: Short Strangle
Strategy 14: Collar
Strategy 15: Bull Call Spread
Strategy
Strategy 16: Bull Put Spread
Strategy
Strategy 17: Bear Call Spread
Strategy
Strategy 18: Bear Put Spread
Strategy
Strategy 19: Long Call Butterfly
Strategy 20: Short Call Butterfly
Strategy 21: Long Call Condor
Strategy 22: Short Call Condor

Problem statement:
The main research question to be studied here is “Effectiveness of options strategy introduced
by National Stock Exchange for highest market capitalization of India” There are 22 different strategy
with the combination of bull and bear period of the market. But strategy hadn't define which strategy
will be effective for which company. This study will help those investors who trade in option but don't
know in which company which strategy should implement.
Literature review:
Adam and Maurer (1999) suggest that the non-linear pay off characteristics of options
requires the use of dynamic portfolio rebalancing. However, from practical point of view, dynamic
portfolio rebalancing is often neither feasible nor desirable, instead, investors prefers to implement a
buy-and- hold strategy over specific period of time.
Therefore, the present study has used buy-and-hold strategies involving future & options and a
combination their-off, like Naked Future, Covered Call, Straddle and Strangle
In an attempt to make appropriate investment decisions in particular under risk the portfolio
manager must be able to compare the hedging effectiveness of the strategies involving the use of
options under covered call and the pure option strategies like straddle and strangle. The study also
examines the risk and return associated to taking of future position as buy-and-hold strategy vis-à-vis
cash position.
Shafiqur Rahman (2001) examined the impact of trading in the Dow Jones Industrial Average
(DJIA) index futures on the conditional volatility of component stocks. He investigated the contention
that the introduction of futures on the DJIA could increase volatility in the 30 stocks comprising the
DJIA. Using data from April through June 1997 (pre-futures period) and April through June 1998 (for
post-futures period), the conditional volatility of intraday returns for each stock was estimated with
the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and then compared
to determine if the estimated parameters have changed significantly after the introduction of the
various derivatives. The results suggested that the introduction of index futures on the DJIA has
produced no structural changes in the conditional volatility of component stocks.
Thiripalraju. M & Prabhakar R. Patil (2002) investigated non-linear volatility with the help of
ARCH model to find out volatility changes due to introduction of index futures in S&P CNX NIFTY
and its underlying stocks. Using data from June 22, 1999 to May 31, 2001, he concluded that the
volatility is non-linear and there is a reduction in volatility both in the cash index and in its underlying
stocks after the introduction of trading on index futures in the Indian stock market.
Premalatha Shenbagaraman (2003) examined the impact of introduction of NSE NIFTY index
futures on NIFTY index. Using an event study over the period from October 1995 to December 2002,
she tested for changes in the volatility before and after the introduction. Using GARCH techniques to
model the time series, she concluded that futures trading have not led to a change in the volatility of
the underlying stock index but the structure of volatility seemed to have changed in post-futures
period.
Nagaraj KS and Kotha Kiran Kumar (2004) studied the impact of Index futures trading on
spot market volatility using the data from June 12, 2000 to Feb. 27, 2003 of S&P CNX NIFTY. Using
ARMA-GARCH Model, the study also examined the effect of the Sept. 11 terrorist attack on the
NIFTY spot-futures relation. The study found that the post Sept. 11 attack, the relation between
futures trading activity and spot volatility has strengthened, implying that the market has become
more efficient in assimilating the information into its prices.
Research design:
Type of research: - explorative: This study is basically an explorative study as it will take a good
amount of time to explore the effectiveness of the strategy. In this research we will check whether the
strategy practically applicable or not. So after completion of the research an investor will come to
know what ever is there in the book is practically true or not.

Data collection methods: - Data collection is the most important factor and a heart of the project as
without it no study can be done. In this paper data has been collected from NSEINDIA.COM web
site. The most authenticated source.

Secondary data: -
Secondary data comes from the national stock exchange website. And from their NCFM
departments option module and some data from the study magazines and different websites also. All
the option strategy has been given in for the purpose of guidelines by national stock exchange. And
for the same there are so many books available for this strategy also. Some data has been collected
from research article of national stock exchange and Indian institute of management.
Period of Study: - The study has been done for the period (October, November and December 2018)

The main objectives of the study are:-

1. Effectiveness of strategy for highest market capitalization stock of Indian Information technology
companies listed on national stock exchange.
2. To identify various strategies that is formed using options. Checking which strategy is best for
different stocks.
3. Practically examine the option strategies introduce by “National Stock Exchange”

Advantages:
1. This study will help those investors who invest or want to invest in options segment
2. This study will focus on the part where investor can take strategy according to market
condition.
3. This study will also focus on liquidity part of the option segment
4. This study will also help investors to hedging strategy.
5. Stock specific option can be also taken by this study

Stocks consider for data collections and strategy implementations

Company Name Market Cap (Rs. cr)

TCS 7,03,000

Infosys 2,88,700

Wipro 1,46,430

HCL tech 1,30,000

Tech Mahindra 67,000

Oracle finance 31,000

NIIT TECH 6,915

The combined market capitalisation all these 7 companies are 13, 73,045 crore
 Bases of stock for option strategies. ( Bull and Bear terminology)
 Symbol price on 04/09/2018 Daily Moving Average bull/bear result
5o day moving average =1950 Bull
TCS 150 day moving average = 1863 Bull Bull
2065 200 day moving average = 1813 Bull
5o day moving average = 662 Bull
Infosys 150 day moving average = 673 Bull Bull
707 200 day moving average = 650 Bull
5o day moving average =326 Bull
Wipro 150 day moving average = 301 Bull Bull
326 200 day moving average = 296 Bull
5o day moving average = 992 Bull
HCL TECH 150 day moving average = 991 Bull Bull
1077 200 day moving average = 985 Bull
5o day moving average = 702 Bull
TECH MAHINDRA 150 day moving average = 699 Bull Bull
720 200 day moving average = 688 Bull
5o day moving average =3562 Bull
OFSS 150 day moving average = 3843 Bull Bull
3968 200 day moving average = 3887 Bull
5o day moving average = 1141 Bull
NIIT TECH 150 day moving average =1177 Bull Bull
1200 200 day moving average = 1130 Bull

Taking strategies:
Name Of The Stock Bull Or Bear
TCS Bull
Infosys Bull
Wipro Bull
HCL tech Bull
Tech Mahindra Bull
Oracle finance Bull
NIIT TECH Bull
Implementation of bullish strategies
Bullish strategy 1.Long call: - buy a call
Scrip Strike Buy Lot Costing
TCS price
2100 price
62 size
250 15500
Infosys 720 39 1200 46800
Wipro 340 4 2400 9600
HCL tech 1100 32 700 22400
Tech 760 50 1200 60000
Mahindra
Oracle 4000 211 150 31650
finance
NIIT TECH 1250 144 750 108000

Bullish strategy 2.Synthetic long call: - buy stock + buy put.

Scrip stock buy price Put strike price Lot Put buy Costing of buying put
size rate
 TCS 2065 2050 250 37 9250
Infosys 707 680 1200 8 9600
Wipro 326 300 2400 3 7200
HCL tech 1077 1020 700 17 11900
Tech Mahindra 720 700 1200 15 18000
Oracle finance 3968 3900 150 87 13050
NIIT TECH 1200 1100 750 6.5 4875

Bullish strategy 3.Short put:-

Scrip Strike price Short price Lot size Costing
TCS 2100 59 250 14750
Infosys 720 21 1200 25200
Wipro 340 22 2400 52800
HCL tech 1100 50 700 35000
Tech Mahindra 760 37 1200 44400
Oracle finance 4000 126 150 18900
NIIT TECH 1250 34.5 750 25875
Bullish strategy 4.Covered calls: - buy stock + sell call option
Call strike Lot Call sell Receives amount
Scrip Instrument buy price
price size rate of premium
TCS 2065 2100 250 62 15500
Infosys 707 720 1200 39 46800
Wipro 326 340 2400 4 9600
HCL tech 1077 1100 700 32 22400
Tech Mahindra 720 760 1200 50 60000
Oracle finance 3968 4000 150 211 31650
NIIT TECH 1200 1250 750 144 108000

Bullish strategy 5:-Long combo: - sell a put and buy a call

Put short Put sell Buy call Call buy Net

Scrip Lot size
strike rate rate strike rate rate payment
TCS 2050 37 2100 62 250 25
Infosys 680 8 720 39 1200 31
Wipro 300 3 340 4 2400 1
HCL tech 1020 17 1100 32 700 15
Tech Mahindra 700 15 760 50 1200 35
Oracle finance 3900 87 4000 211 150 124
NIIT TECH 1100 6.5 1250 144 750 137.5
 Bullish strategy 6:-Long straddle: - buy put + buy call
Put buy strike Put buy Buy call Call buy Net
Scrip Lot size
rate rate strike rate rate payment
TCS 2050 37 2100 62 250 99
Infosys 680 8 720 39 1200 47
Wipro 300 3 340 4 2400 7
HCL tech 1020 17 1100 32 700 49
Tech Mahindra 700 15 760 50 1200 65
Oracle finance 3900 87 4000 211 150 298
NIIT TECH 1100 6.5 1250 144 750 150.5

Bullish strategy 7:-Long strangle: - buy OTM put + buy OTM call
Put buy Put buy Buy call Call buy
Scrip Lot size Net payment
strike rate rate strike rate rate
TCS 2100 59 2050 87 250 146
Infosys 720 21 680 65 1200 86
Wipro 340 22 300 25 2400 47
HCL tech 1100 12 1020 86 700 98
Tech Mahindra 760 50 700 88 1200 138
Oracle finance 4000 126 3900 271 150 397
NIIT TECH 1250 34.5 1100 6.5 750 41

Bullish strategy 8:-Collars: - buy stock + buy put + sell call

Stock Put
Sell call Sell Net
Scrip buy at Put buy strike Lot size
rate price Receipt
cash rate
TCS 2065 37 2050 2100 62 250 25
Infosys 707 8 680 720 39 1200 31
Wipro 326 3 300 340 4 2400 1
HCL tech 1077 17 1020 1100 86 700 69
Tech Mahindra 720 21 700 760 50 1200 29
Oracle finance 3968 87 3900 4000 211 150 124
NIIT TECH 1200 21 1100 1250 144 750 123

Bullish strategy 9:- Bull call spread strategy: - buy ITM call + sell OTM call:-
Call buy strike Call buy Sell call Call Lot Net receipt of
Scrip
rate rate strike rate sell rate size premium
TCS 2100 62 2050 87 250 25
Infosys 720 39 680 65 1200 26
Wipro 340 4 300 25 2400 21
HCL tech 1100 32 1020 86 700 54
Tech Mahindra 760 50 700 88 1200 38
Oracle finance 4000 211 3900 271 150 60
NIIT TECH 1250 144 1100 264 750 120
Bullish strategy 10:- Bull put spread strategy: - sell put + buy put
Put sell Put sell Buy put Put buy Net receives
Scrip Lot size
strike rate rate strike rate rate of premium
TCS 2100 59 2050 37 250 22
Infosys 720 21 680 8 1200 13
Wipro 340 22 300 3 2400 19
HCL tech 1100 50 1020 17 700 33
Tech Mahindra 760 37 700 15 1200 22
Oracle finance 4000 126 3900 87 150 39
NIIT TECH 1250 35 1100 6.5 750 28.5

Bullish strategy 11:-Long call condor: - LONG CALL CONDOR: BUY 1 ITM CALL OPTION
(LOWER STRIKE), SELL 1 ITM CALL OPTION (LOWER MIDDLE), SELL 1 OTM CALL
OPTION (HIGHER MIDDLE), BUY 1 OTM CALL OPTION (HIGHER STRIKE)

Sell Sell Buy

Net
ITM call Call ITM Sell OTM OTM Buy
receives
Scrip strike buy call call call Call call call
of
rate rate strike rate strike strike rate
premium
rate rate rate
TCS 1950 160 2000 120 2050 87 2100 62 15
Infosys 700 51 720 39 740 29 760 20 3
Wipro 310 20 320 12 330 7 340 4 5
HCL tech 1000 101 1060 60 1100 32 1160 20 29
Tech 700 88 720 74 740 62 760 50 2
Mahindra
Oracle 3800 340 3900 271 4000 211 4100 160 18
finance
NIIT TECH 1100 264 1150 220 1200 180 1250 144 8

Bullish strategy 12:-Short call condor: - sell ITM call + buy ITM call + sell OTM call + buy
OTM call
Sell Sell Buy
Net
ITM call Call ITM Sell OTM OTM Buy
payment
Scrip strike buy call call call Call call call
of
rate rate strike rate strike strike rate
premium
rate rate rate
TCS 1950 160 2000 120 2050 87 2100 62 15
Infosys 700 51 720 39 740 29 760 20 3
Wipro 310 20 320 12 330 7 340 4 5
HCL tech 1000 101 1060 60 1100 32 1160 20 29
Tech 700 88 720 74 740 62 760 50 2
Mahindra
Oracle 3800 340 3900 271 4000 211 4100 160 18
finance
NIIT TECH 1100 264 1150 220 1200 180 1250 144 8
 Result of option strategy on expiry:
Long call: - buy a call
Rate on Profit or loss
Scrip Strike price Buy price Lot size Costing expiry
TCS 2100 62 250 15500 0.05 -15500
Infosys 720 39 1200 46800 0.05 -46800
Wipro 340 4 2400 9600 0.05 -9600
HCL tech 1100 32 700 22400 0.05 -22400
Tech Mahindra 760 50 1200 60000 0.05 -6000
Oracle finance 4000 211 150 31650 .01 -31600
NIIT TECH 1250 144 750 108000 3.35 -106000

Bullish strategy 2.Synthetic long call: - buy stock + buy put.

stock buy Stock on Profit of Put buy Profit on net P or
Scrip Lot size Sale rate
price expiry loss rate loss on put L
TCS 2065 1853 250 -53000 37 193 39000 -14000
Infosys 707 649 1200 -69600 8 37 34800 -34800
Wipro 326 319 2400 -16800 3 3.5 1200 -15600
HCL tech 1077 1005 700 -50400 17 38 14700 -35700
Tech Mahindra 720 651 1200 -82800 15 32 20400 -62400
Oracle finance 3968 3613 150 -53250 87 166 11850 -41400
NIIT TECH 1200 1181 750 -14250 6.5 0.7 -4350 -18600
Bullish strategy 3.Short put:-
Short rate on
Scrip Strike price P or L Lot size net P or L
price expiry
TCS 2100 59 250 -59 250 -14750
Infosys 720 21 76 -21 1200 -25200
Wipro 340 22 31 -22 2400 -52800
HCL tech 1100 50 116 -50 700 -35000
Tech Mahindra 760 37 98 -37 1200 -44400
Oracle finance 4000 126 266 -126 150 -18900
NIIT TECH 1250 34.5 25 9.5 750 7125
Bullish strategy 4.Covered calls: - buy stock + sell call option

stock buy stock sell Lot Call sell rate of P or l on P or L on net P

Scrip
rate rate size rate expiry stock call or L

TCS 2065 1853 250 62 0.05 -53000 15500 -37500

Infosys 707 649 1200 39 0.05 -69600 46800 -22800
Wipro 326 319 2400 4 0.05 -16800 9600 -7200
HCL tech 1077 1005 700 32 0.05 -50400 22400 -28000
Tech 720 651 1200 50 0.05 -82800 60000 -22800
Mahindra
Oracle 3968 3613 150 211 0.01 -53250 31650 -21600
finance
NIIT 1200 1181 750 144 3.35 -14250 105500 91250
TECH
Bullish strategy 5:-Long combo: - sell a put and buy a call

Put Call rate

rate of Lot Net
Scrip sell buy on
expiry size payment
rate rate expiry loss on put loss on call loss in RS
TCS 37 193 62 0.05 250 25
156 61.95 -54487.5
Infosys 8 31 39 0.05 1200 31
23 38.95 -74340
Wipro 3 3.5 4 0.05 2400 1
0.5 3.95 -10680
HCL
17 37.65 32 0.05 700 15
tech 20.65 31.95 -36820
Tech
15 32.15 50 0.05 1200 35
Mahindra 17.15 49.95 -80520
Oracle
87 166 211 0.01 150 124
finance 79 210.99 -43498.5
NIIT
6.5 0.7 144 3.35 750 137.5
TECH -5.8 140.65 -101137.5

Bullish strategy 6:-Long straddle: - buy put + buy call

Put rate on Call rate on Lot loss on profit net P P or L in

Scrip buy buy
expiry expiry size call on put or L rs
rate rate
TCS 37 193 62 0.05 250
-61.95 156 94.05 23512.5
Infosys 8 31 39 0.05 1200
-38.95 23 -15.95 -19140
Wipro 3 3.5 4 0.05 2400
-3.95 0.5 -3.45 -8280
HCL
17 37.65 32 0.05 700
tech -31.95 20.65 -11.3 -7910
Tech
15 32.15 50 0.05 1200
Mahindra -49.95 17.15 -32.8 -39360
Oracle
87 166 211 0.01 150
finance -210.99 79 -131.99 -19798.5
NIIT
6.5 0.7 144 3.35 750
TECH -140.65 -5.8 -146.45 -109837.5

Bullish strategy 7:-Long strangle: - buy OTM put + buy OTM call

Scrip Put rate on Call rate on Lot P or P or L Net P or P or L in

buy expiry buy expiry size L on on Call L Rs
rate rate Put
TCS 59 252 87 0.35 250 193 -86.65 106.35 26587.5
 Infosys 21 76 65 0.35 1200 55 -64.65 -9.65 -11580

Wipro 22 31 25 12.15 2400 9 -12.85 -3.85 -9240

HCL tech 12 116 86 0.4 700 104 -85.6 18.4 12880

Tech 50 98 88 0.35 1200 48 -87.65 -39.65 -47580

Mahindra
Oracle 126 266 271 0.3 150 140 -270.7 -130.7 -19605
finance
NIIT 34.5 25 6.5 125 750 -9.5 118.5 109 81750
TECH

Collars: - buy stock + buy put + sell call

Stock put call Profit In

Put Sell Lot loss in
Scrip buy at rate on rate on call &
buy price size stock
cash expiry expiry put net profit
TCS 2065 37 62 250 -53000 193 0.05
54487.5 1487.5
Infosys 707 8 39 1200 -69600 31 0.05
74340 4740
Wipro 326 3 4 2400 -16800 3.5 0.05
10680 -6120
HCL tech 1077 17 86 700 -50400 37.65 0.05
74620 24220
Tech
720 21 50 1200 -82800 32.15 0.05
Mahindra 73320 -9480
Oracle
3968 87 211 150 -53250 166 0.01
finance 43498.5 -9751.5
NIIT
1200 21 144 750 -14250 0.7 3.35
TECH 90262.5 76012.5

Bullish strategy 9:- Bull call spread strategy: - buy ITM call + sell OTM call:-

profit
Call Call Net call call loss on in
buy sell Lot receipt of buy sell buying selling Net P P or L
Scrip rate rate size premium rate rate call call or L in Rs

TCS 62 87 250 25 0.05 0.35 -61.95 86.65 24.7 6175

Infosys 39 65 1200 26 0.05 0.35 -38.95 64.65 25.7 30840

Wipro 4 25 2400 21 0.05 12.15 -3.95 12.85 8.9 21360

HCL tech 32 86 700 54 0.05 0.4 -31.95 85.6 53.65 37555

 Tech
Mahindra 50 88 1200 38 0.05 0.45 -49.95 87.55 37.6 45120
Oracle
finance 211 271 150 60 0.01 0.3 -210.99 270.7 59.71 8956.5
NIIT
TECH 144 264 750 120 3.35 125 -140.65 139 -1.65 -1237.5

Bullish strategy 10:- Bull put spread strategy: - sell put + buy put

Net rate rate

Put Put P or P or
Lot receives of of Net P or P or L
Scrip sell buy L on L on
size of short buy L in Rs
rate rate short buy
premium put put

252
TCS 59 37 250 22 193
-193 156 -37 -9250
76
Infosys 21 8 1200 13 31
-55 23 -32 -38400
31
Wipro 22 3 2400 19 3.5
-9 0.5 -8.5 -20400
116
HCL tech 50 17 700 33 37.65
-66 20.65 -45.35 -31745
Tech 98
37 15 1200 22 32.15
Mahindra -61 17.15 -43.85 -52620
266
Oracle
126 87 150 39 166
finance
-140 79 -61 -9150
NIIT 25
35 6.5 750 28.5 0.7
TECH 10 -5.8 4.2 3150

Bullish strategy 11:-Long call condor: - LONG CALL CONDOR: BUY 1 ITM CALL OPTION
(LOWER STRIKE), SELL 1 ITM CALL OPTION (LOWER MIDDLE), SELL 1 OTM CALL
OPTION (HIGHER MIDDLE), BUY 1 OTM CALL OPTION (HIGHER STRIKE)

Ca Se Bu
OT OT
ll Rate ll Rate Rate y Rate ITM
ITM M M P or
bu on cal on Ca on cal on call
Scrip call P call call L in
y expi l expi ll expi l expi P or
or L P or P or Rs
rat ry rat ry ry rat ry L
L L
e e e
- -
16 12 119.
TCS 0.55 0.45 87 0.35 62 0.25 159.4 86.6 61.7 -
0 0 55
5 5 5 3750
-
38.8
Infosys 51 0.25 39 0.15 29 0.15 20 0.15 - 28.8 19.8 -
5
50.75 5 5 3480
Wipro 20 6 12 2.3 7 0.8 4 0.3 -14 9.7 6.2 -3.7 -
 4320
- -
HCL 10 59.7
2 60 0.25 32 0.15 20 0.05 31.8 19.9 1914
tech 1 5
-99 5 5 5
Tech -
73.6
Mahin 88 0.45 74 0.35 62 0.25 50 0.25 - 61.7 49.7 -
5
dra 87.55 5 5 2280
Oracle 34 27 21 16 270. -
7 0.3 0 0
finance 0 1 1 0 -333 7 211 -160 1695
NIIT 26 22 18 14 3150
125 50 28 3 170
TECH 4 0 0 4 -139 152 -141 0

Bullish strategy 12:-Short call condor: - sell ITM call + buy ITM call + sell OTM call + buy
OTM call
Ca Se Bu
OT OT
ll Rate ll Rate Rate y Rate ITM ITM
M M P or
bu on cal on Ca on cal on call call
Scrip call call L in
y expir l expir ll expir l expir P or P or
P or P or Rs
rat y rat y y rat y L L
L L
e e e
- -
16 12
TCS 0.55 0.45 87 0.35 62 0.25 159. 119. 86.6 61.7
0 0
45 55 5 5 3750
- -
Infosys 51 0.25 39 0.15 29 0.15 20 0.15 50.7 38.8 28.8 19.8
5 5 5 5 3480
Wipro 20 6 12 2.3 7 0.8 4 0.3 14 -9.7 -6.2 3.7 4320
- -
HCL 10
2 60 0.25 32 0.15 20 0.05 59.7 31.8 19.9 1914
tech 1
99 5 5 5 5
Tech - -
Mahind 88 0.45 74 0.35 62 0.25 50 0.25 87.5 73.6 61.7 49.7
ra 5 5 5 5 2280
-
Oracle 34 27 21 16
7 0.3 0 0 270.
finance 0 1 1 0
333 7 -211 160 1695
-
NIIT 26 22 18 14
125 50 28 3 -170 3150
TECH 4 0 0 4
139 -152 141 0
 Data analysis and tabulation of bullish strategies

Company Long Synthetic Short Covered Long Long Long Collar Bull Call Bull Put Long Short
Call Long Call Put Call Combo Straddle Strangle Spread Spread Call Call
Strategy Strategy Condor Condor
-15500 -14000 - 26587.5
TCS
14750 -37500 -54487.5 23512.5 1487.5 6175 -9250 -3750 3750
-46800 - -11580
INFOSYS
-34800 25200 -22800 -74340 -19140 4740 30840 -38400 -3480 3480
-9600 - -9240
WIPRO
-15600 52800 -7200 -10680 -8280 -6120 21360 -20400 -4320 4320
-22400 - 12880
HCL
-35700 35000 -28000 -36820 -7910 24220 37555 -31745 -19145 19145
-6000 - -47580
TECHM
-62400 44400 -22800 -80520 -39360 -9480 45120 -52620 -2280 2280
-31600 - -19605
OFSS
-41400 18900 -21600 -43498.5 -19798.5 -9751.5 8956.5 -9150 -1695 1695
- - - 81750
NIIT 106000 7125
-18600 91250 101137.5 109837.5 76012.5 -1237.5 3150 31500 -31500
 Data analysis and finding
1. It was found from the study that applying 12 bullish strategy in TCS 7 strategies gives negative
return and 5 gives positive return. Long strangle being the best bullish strategy and long combo
being the worst strategy for TCS
2. It was found from the study that applying 12 bullish strategy in Infosys 9 strategies gives negative
return and 3 gives positive return. Bull call Spread being the best bullish strategy and long combo
being the worst strategy for INFOSYS
3. It was found from the study that applying 12 bullish strategy in WIPRO 10 strategies gives
negative return and 2 gives positive return. Bull call spread being the best bullish strategy and
short put being the worst strategy for WIPRO
4. It was found from the study that applying 12 bullish strategy in HCL TECH 8 strategies gives
negative return and 4 gives positive return. Bull call spread being the best bullish strategy and
long combo being the worst strategy for HCL TECH
5. It was found from the study that applying 12 bullish strategy in TECH MAHINDRA 10 strategies
gives negative return and 2 gives positive return. Bull call spread being the best bullish strategy
and long combo being the worst strategy for TECH MAHINDRA
6. It was found from the study that applying 12 bullish strategy in OFSS 10 strategies gives negative
return and 2 gives positive return. Bull call spread strategy being the best bullish strategy and
long combo being the worst strategy for OFSS
7. It was found from the study that applying 12 bullish strategy in NIIT TECH 6 strategies gives
negative return and 6 gives positive return. Long strangle being the best bullish strategy and long
straddle being the worst strategy for NIIT TECH
8. Out of 12 bullish strategies, the most profitable is bull call spread strategy
9. Out of 12 bullish strategies, the most avoidable is long combo strategy.

Bibliography
Books:-
1. Futures and options by John Hull:-
2. Futures and options by Vohra & Baghri:-
3. Derivatives Core Module by National Stock Exchange of India Limited

Journal of Business for literature reviews:-

1. Beckers, S., 1983. “Variances of Security Price Returns Based on High, Low, and Closing
Prices.” Journal of Business 56, 97-112.
2. Garman, M and M.Klass, 1980. “On the Estimation of Security Price Volatilities from
Historical Data.” Journal of Business, 53, 67-78.
3. Kunitomo, N., 1992.”Improving the Parkinson Method of Estimating Security Price
violations.” Journal of Business 65, 295-302.
4. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=986558
5. https://www.nseindia.com/content/research/comppaper195.pdf
6. http://www.indianjournals.com/ijor.aspx?target=ijor:sjbms&volume=4&issue=1&article=002
7. https://onlinelibrary.wiley.com/doi/abs/10.1002/fut.1702
8. https://www.nseindia.com/content/research/comppaper195.pdf
Websites referred:-
1. www.nseindia.com/f&o/historicaldata/securitywisedata
2. www.bseindia.com