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Intraday Short Gamma Strategy


Intraday Short Gamma Strategy is designed to earn time value of Options but on INTRADAY basis. Here we sell ATM options and hedge them with far OTM options which creates moderate risk and moderate returns. We control Delta to control movement risk using Alogrithmic Trading Software. This strategy is suitable for investors who wants to earn from Intraday Trading. Further, this being an intraday strategy, additional returns can be generated by taking position using equity stock or FDs as margin.



Strategy Overview

  • Moderate Risk and Moderate Return
  • Sell Straddle and Hedge the position with Far OTM Strikes.
  • Strategy Testing done on past 10 months Intraday Data.
  • Tested data on live market simulation
  • Considered all the Transaction Costs


Advantages

    • Totally Intraday Trades
    • No Over Night Risk
    • Completely Hedged
    • Stop Loss Mechanism
    • Algorithm Trading


Month Monthly Return Cumulative Return in % Term
May/2015 672,614 672,614 6.73%
Jun/2015 455,565 1,128,179 11.28%
Jul/2015 301,343 1,429,522 14.30%
Aug/2015 186,973 1,616,495 16.16%
Sep/2015 261,878 1,878,373 18.78%
Oct/2015 215,811 2,094,184 20.94%
Nov/2015 5,271 2,099,455 20.99%
Dec/2015 413,236 2,512,691 25.13%
Jan/2016 -277,618 2,235,073 22.35%
Feb/2016 -196,507 2,038,566 20.39%


How to Start

  • Complete KYC – Process
  • Risk Profiling
  • Discussing the Product
  • Implementation of Strategy





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