first day of month, nifty future trading at discount, never seen this before
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FII is selling heavily from now a days
Mutual fund will bleed today around 3%
I must be missing something. Could you give context as to how youāre closer, a quote perhaps? Anyway, arenāt you to going to sell at Dec 22k pe at 200? Honestly, it might still make a U turn hereā¦NIFTY is not trustable at all.
Nah. I have already sold 24000pe of Feb. I donāt want extra leverage.
Btw, when you meant cash secured put sell, do you mean do you hold full cash to take loss until 0?
If NIFTY is trading at 25k and you sold 24kpe. Does that mean you hold 15 lakh per lot(24000x65) in cash or do you mean you have 15lakh worth of NIFTY Etfs per lot sold?
Wow, backwardation in Nifty fut. Good catch, donāt know how I missed itā¦ 
1000 INR charges to get in/out 1 lot. Still make a good profit in 3 weeks unless the margin calculation is wrong or thereās some other catch! 
In debt funds
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Donāt think so. NIFTY close was a VWAP of last 30m. In a way, NIFTY close was manipulated by nse. Futures close is not manipulated.
NIFTY actually closed at 24768
Near Futures closed at 24791 with a premium of around 23 points, definitely less than expected, but not a discount - premium loss is mainly because of the speed of fall.
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Jason, couple of queries for you. Would be grateful if you can answer them. Thanks
With this STT increase, would your approach of āShort ITM PUTā instead of going āLong future + Short OTM Callā be the peferred mode?
I read an old post of yours where you talk about profitability of Nifty covered calls. Now with relatively low VIX regime (barring current budget drama). What is the kind of return you expect from covered calls? How much OTM do you go while selling typically 2% or 3%? Any mental model, for eg. Short Closer in weaker markets, or no covered calls if in sharp draw down like now to get full convexity on rebound?
I want to do something similar, but constant covered call on all months seems like there are so many drags. I ball park estimate that a 2%-3% Monthly OTM may cap upside in 3 out of 12 month. If the upside capped is on an average around 1-1.5% then, 3 to 4% per annum of unrealized gains in Niftybees are gone.
Premium pre tax of 2.5-3% OTM calls in current VIX regime will be 0.6-0.7% per month. After tax and transaction costs say 0.4% per month. So roughly 4.8% per annum premium gained, but at a cost of capping unrealized gains of roughly similar magnitude. So I am struggling to find any premium. Could you please advice me on these numbers. Is there some error? Many thanks in advance. Loved your posts.
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I do not go short ITM usually because I keep moving my strikes.
Once my puts go ITM, I take futures and sell OTM against it. With futures I will be 2 months away. But with calls. I am in weekly. Letās say I am going long in futures at 24800 today. I may sell weekly call of 25200. But as it comes closer I will be moving weekly call to 25300 or 400 depending on the premium. So in these 2 months, unless nifty goes up in one direction, I capture at 6 to 8 percent. Obviously my call goes itm again, then I close these positions and sell OTM put again. So I make a lot of adjustments on weekly basis. Now if nifty goes down, then weekly one will obviously give me lower premium. So it can go both ways.
The entire wheel strategy along with equity returns and debt funds return is giving me 25 to 30 percent per annum at account level. So thatās like outperformance of 12 plus percent to nifty returns.
If nifty gives negative return, my returns too will come down. My basis assumption of this strategy is that nifty will give cagr of 12percent.
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Much appreciated Jason. This is really helpful and clear.
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Gift nifty up 700 point
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Didnāt break. But so closeā¦