Algo Trading Strategy : Long Strangle is executed when a trader wants to take advantage of Significant rise in a Volatility or a strong move in either direction by underline stock on some news or data.
Strategy :
BUY OTM CALL
BUY OTM PUT
NIFTY 50 Underline : 17530
BUY OTM CALL Strike 17600 : Premium Paid Rs. 92
BUY OTM PUT Strike 17500 : Premium Paid Rs. 112
When NIFTY 50 Falls to 17200
Net Profit = 17500-17200-92-112 = Rs.96
When NIFTY 50 Rises to 17900
BUY OTM CALL Strike 17600 : Premium Paid Rs. 92
BUY OTM PUT Strike 17500 : Premium Paid Rs. 112
Net Profit = 17900-17600-92-112 = Rs.96
Formula for Maximum Profit :
Price of Underlying – Strike Price of Long Call – Net Premium Paid OR
Strike Price of Long Put – Price of Underlying – Net Premium Paid
Maximum Profit : Unlimited
Maximum Loss : Premium Paid + Brokerage
ALGO Strategy Synthetic Long : Algo Strategy : Long Straddle
NSE India Options Chain Website https://www.nseindia.com/option-chain
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