1 May 2012

NIFTY STRANGLE STRATEGY


OPTION CALL PUT STRATEGY

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Nifty is being trading in a range bound session since a long time, a break out is expected  at this point. We suggest nifty strangle strategy  as follows
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NIFTY STRANGLE STRATEGY

LEG1: BUY NIFTY 5200 PUT @ 70
LEG2: BUY NIFTY 5400 CALL @ 45
COST =115          
 RISK PER LOT = 5750
RETURN = UNLIMITED
UPPER BREAK GIVEN POINT=5515
LOWER BREAK GIVEN POINT=5085
Pay off table


Strike Price
Call Option Price
Strike Price
Call Option Price
Strike rate
Closing price
Lot size
net investment
Total Investment
Payoff
5400
45
5200
70
50
4550
50
5750
5750
26750
5400
45
5200
70
50
4600
50
5750
5750
24250
5400
45
5200
70
50
4650
50
5750
5750
21750
5400
45
5200
70
50
4700
50
5750
5750
19250
5400
45
5200
70
50
4750
50
5750
5750
16750
5400
45
5200
70
50
4800
50
5750
5750
14250
5400
45
5200
70
50
4850
50
5750
5750
11750
5400
45
5200
70
50
4900
50
5750
5750
9250
5400
45
5200
70
50
4950
50
5750
5750
6750
5400
45
5200
70
50
5000
50
5750
5750
4250
5400
45
5200
70
50
5050
50
5750
5750
1750
5400
45
5200
70
50
5100
50
5750
5750
-750
5400
45
5200
70
50
5150
50
5750
5750
-3250
5400
45
5200
70
50
5200
50
5750
5750
-5750
5400
45
5200
70
50
5250
50
5750
5750
-5750
5400
45
5200
70
50
5300
50
5750
5750
-5750
5400
45
5200
70
50
5350
50
5750
5750
-5750
5400
45
5200
70
50
5400
50
5750
5750
-5750
5400
45
5200
70
50
5450
50
5750
5750
-3250
5400
45
5200
70
50
5500
50
5750
5750
-750
5400
45
5200
70
50
5550
50
5750
5750
1750
5400
45
5200
70
50
5600
50
5750
5750
4250
5400
45
5200
70
50
5650
50
5750
5750
6750
5400
45
5200
70
50
5700
50
5750
5750
9250
5400
45
5200
70
50
5750
50
5750
5750
11750
5400
45
5200
70
50
5800
50
5750
5750
14250
5400
45
5200
70
50
5850
50
5750
5750
16750
5400
45
5200
70
50
5900
50
5750
5750
19250
5400
45
5200
70
50
5950
50
5750
5750
21750
5400
45
5200
70
50
6000
50
5750
5750
24250
5400
45
5200
70
50
6050
50
5750
5750
26750
5400
45
5200
70
50
6100
50
5750
5750
29250
5400
45
5200
70
50
6150
50
5750
5750
31750
5400
45
5200
70
50
6200
50
5750
5750
34250

The long options strangle is an unlimited profit, limited risk strategy that is taken when the options trader thinks that the underlying stock will experience significant volatility in the near term. Long strangles are debit spreads as a net debit is taken to enter the trade.

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