Riskless Algo Strategy : Long Box

Riskless Algo Strategy : Long Box is an Algo Strategy which is executed when options are underpriced than their expiry Values.

Strategy :

SELL OTM Call

BUY ITM Call

BUY ITM PUT

SELL OTM PUT

Formula : Higher Strike Price of Call/Put – Lower Strike Price of Call/Put -Net Premium Paid

Let me Explain with this an Example : Lot Size NIFTY Index in India is 50

NIFTY FUTURES 16705

SELL OTM CALL NIFTY 16750 Premium Rs. 63 Received

BUY ITM CALL NIFTY 16650 Premium Rs.115 Paid

BUY ITM PUT NIFTY 16750 Premium Rs. 120 Paid

SELL OTM PUT NIFTY 16650 Premium Rs.75 Received

So According to Formula : 16750 ( Higher Strike Price ) – 16650(Lower Strike Price ) + OTM CALL Premium Received 63 -ITM CALL Premium Paid 115 +OTM PUT Premium Received 75 -ITM PUT Premium Paid 120

= ( 16750-16650 + 63-115+75-120 ) X 50 (Lot Size of NIFTY) = 3 X 50 = 150

So Rs. 150 is Riskless Profit per Lot of NIFTY

So Now you are ready to execute the your First Riskless Algo Strategy : LONG BOX

ALGO Software Available :

Greek Soft : https://www.greeksoft.co.in/

Refinitiv : https://www.refinitiv.com/en/trading-solutions/nest-india-trading-platform#

Also See : https://financeloaninsurance.com/algo-trading/