INFY
Earnings Report Straddle
Strategy Analysis. Position is initiated in ATM Strikes of the
Result Month Series.
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.
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.
can you update up to current status.
ReplyDeleteThe 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