High Capital, High Winning Probability Option Stregtegy

Doing abv for monthly contract at start of the month can get u good premiums I suppose. Also in case u have earned 50% + profit by 15 days, then repeat the same process but this time u need to divide the monthly vix by 2 and accordingly calculate strike prices. For weekly there are range selling and buying restrictions, so I suggested monthly :slightly_smiling_face:

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Considering the range you specify, if we roughly calculate for Nifty June 24 expiry, the overall iron condor premium is barely 0.35%.

You can try something with covered call. Where in you will buy one lot in cash segment and then sell one OTM call every month If stock goes up and call goes ITM; exit. If not keep doing that.

For black swan, you can probably hedge it with buying a put. You have to put in some effort to work on it, but its possible.

Can you give an example? I am only worried about if market goes down for so long.

I am presenting May monthly example wrt to 30th April date… for June, shall update on 31st May the probable values…

Kindly check values for the below mentioned strikes on 30th April close
For Eg. On 30th April 2021, Nifty Close was 14631 and India Vix Close was 23.03
So monthly vix for May = 23.03/3.46 = 6.65%
So Nifty’s expected upper band = 14631*(1+6.65%) = 15603
And Nifty’s expected lower band = 14631*(1-6.65%) = 13658
Hence, strikes to sell = Monthly Expiry’s 15600 CE which was priced @ ~Rs. 50 & Monthly Expiry’s 13600 PE which was priced @ ~Rs. 73
Therefore, Total Premium of strikes to be shorted = 50+73 = Rs. 123
To hedge, we will buy the options 400 points away from shorted strikes i.e. 16000 CE which was priced @ ~Rs. 16 & 13200 PE which was priced @ ~Rs. 39
So, price of options bought = 16+39 = Rs. 55
Therefore, Total Premium of Iron Condor = 123-55 = Rs. 68 * 75 = Rs. 5100
Margin required would be ~Rs. 70,000

Strikes Transaction Entry Price CMP Net Gain
13200 PE Buy 16 4.5 -11.5
13600 PE Sell 50 4.25 45.75
15600 CE Sell 73 22.3 50.7
16000 CE Buy 39 5 -34
68 17.05 50.95
Current Profit (in Rs.) 3821.25
% Returns as on 18th May 5.5%

Is this considered legal?

you need to backtest this in cases where nifty has broken these bands…the key here is adjustment & i see that many fail in this aspect.

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I am trying this example as I write I mean i havent done it personally so maybe you have to do some changes around it.

Suppose you buy Niftybees one lot (7-8 L) when nifty is 15K. You sell a call based on your R&R, Say you sell 15500C (30 delta) and get premium of 150-200 and you do it every month so till December you will get a credit of around 600-700. Also, Buy a PUT for December 15000 which probably is around 500-600.

So, you credit received from selling call should compensate your Put buy and your Nifty lot is hedged for black swan. You will make return on nifty and maybe some extra on sold calls.

I will try and publish backtested results from opstra… both in calm and turbulent times like march 2020.
Offcourse as iron Condor is not a fire and forget strategy, once the range is breached on one side, we need to adjust the strategy by closing profit side leg and selling option with same delta as that of losing side.
@Sensibull, @abid … there is no backtesting feature in sensibull … kindly add the same.

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you can check for months - apr’20, nov’20, feb’20, mar’20. i don’t know if sensibull would help but you can check historic data from nse.

of course

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BUY NIFTYBEES ( 160 * 7500=1200000)

DEC 15000 PE : 655 (BUY)

DEC 15000 CE 1010 (SELL).

Now Points to consider when nifty Expiring in December.

Expiring : 15000
profit : 355

Expiring : 16000
profit : 1000 ( nifty bees) - 655 (put) = 345

Expiring : 14000
profit : 1010 (call) + 345 (put) - 1000 ( nifty bess) = 345

Selling 15500 CE will be suitable

Even if we sell 15500CE, then according to the above hedged strategy, the return comes out to be 3.53% max, after 7 months. Better to invest in Debt mutual funds rather than this.

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I backtested the strategy on iron Condor based on vix criteria…
In one case adjustment was done i.e. the trade was closed if price hit the breakeven point of expiry, in other case it was allowed to go upto expiry… to summarise the results are not that impressive as I had expected.

1% per month? Why not put that in mutual fund and enjoy life?

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What happens if these values of 15000,14000,16000 happen before december?

P/L remain same. It’s hedges position

No no… it’s not 1% per month… see generally it will take avg 60K-70K for constructing an iron Condor depending on volatility … so in a year on your same 60-70K invested 12 times in a year … you are getting that 13k odd … say 10K net after giving all brokerages and taxes … finance experts to check if returns calculated below are right…
So all in all 10K/60K = 16.67% around annually … in times of corona… may be more earlier years…

Still not impressed…

Interesting , have you back tested (Straggle) -remove any Buy CE/PE. Can you publish the results please . Thanks

Covered call sounds good.

Only problem is Niftybees might have liquidity problems beyond 2 lakhs. With Nifty futures in a bearish market you have to keep booking losses.

So I guess you have to stick with index funds, but selling at desired price for index fund is tricky.

Because NAV is calculated on an EOD basis.