Non-Directional Strategy : To take advantage of high implied volatility existing in near the options , we have derived a non-directional strategy. To capture the high Vega of near the options , we have formed short straddle and in order to make the strategy Delta-neutral, we have bought outer strike options. The unique feature of this strategy is it’s risk-reward ratio. It gives high reward on very small risk. The open interest trend suggests a range bound market in the days to come. Thus we have selected the profitable range of 2906-3094 for the strategy with maximum risk of Rs. 300 in any market condition.
Minimal Risk – High reward strategy : Sell 1 lot Nifty Dec 3000 Put @ 277 , & Buy 1 lot Nifty Dec 2900 Put @ 211 , Sell 1 lot Nifty Dec 3000 Call @ 89, & Buy 1 lot Nifty Dec 3100 Call @ 61 , Execute the strategy with minimum net credit of Rs. 94 per share. Strategy is profitable in the Nifty range of 2906-3094. Risk- Reward: 300: 4700