Friday, September 13, 2013

INFOSYS Earnings Report Trading Strategy In Options

INFY  Earnings Report  Straddle Strategy  Analysis. Position is initiated in ATM Strikes of the Result Month Series. 

Underlying INFY  share value for determining ATM strike is taken on the Expiry Day of the previous month series  i.e. if result is coming in April then position has to be initiated on expiry day of March series in April Series Contract and therefore the Underlying Value has to be selected thus. This makes analysis worth study.

Data has been taken carefully from the National Stock Exchange website. EOD LTP values have been taken as the position has been analysed on a daily basis.

Impact of Implied Volatility on the CE & PE values is accounted for in the EOD LTP of the Options. 

Some details of Images Posted :
1. Entry Day is the Expiry Day of the previous month series.


2.  Net Position is computed by Subtracting the value [Amount] of CE+PE on the Entry Day from the value of [Amount] CE+PE on any other day. 
Eg. In April-12 Series Image Net Position on Result Day is [K20-K11] . 

CLICK ON IMAGE FOR ENLARGED WINDOW OF IMAGE

APRIL - 2012 INFY RESULT 



 JULY - 2012 INFY RESULT



 OCTOBER -2012 INFY RESULT


JANUARY - 2013 INFY RESULT 


APRIL - 2013 INFY RESULT 


JULY - 2013 INFY RESULT


Disclaimer: This analysis is just for Study purpose and no recommendation is being made for trading purpose. Factual and analytical aspect is from the study point of view.



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2 comments:

  1. jackpotoptionJuly 4, 2014 at 10:22 PM

    can you update up to current status.

    ReplyDelete
  2. Trade CatcherJuly 7, 2014 at 3:52 PM

    The post was done as an example of a tradable strategy so the data was collected for the previous few quarters. May be in future I'll try to update.

    ReplyDelete

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