Top quantitative strategies for the week

Option Writing
STRATEGY 1 
Writing against Cash / Futures Holding 
Sell BANK INDIA 110 CE 31-MAY-18 @ 0.70 
Target Level : 0 
Stop Loss Level : 1.05 
Gross Monthly Yield : 2 per cent 
ROI : 5.15 per cent 
Margin : Rs 82,000 
Days to Expiry : 11 

Writing with Hedging 
Leg 1: Sell BANK INDIA 110 CE 31-MAY-18 
@ 0.70 
Leg 2: Buy BANK INDIA 120 CE 31-MAY-18 
@ 0.30 
Target Level : 0 
Stop Loss (Spread) Level : 0.65 
Gross Monthly Yield : 1.20 per cent 
ROI : 3 per cent 
Margin : Rs 79,000 
Days to Expiry : 11 

STRATEGY 2
Writing against Futures Holding 
Sell DCB BANK 195 CE 31-MAY-18 @ 1.10 
Target Level : 0 
Stop Loss Level : 1.65 
Gross Monthly Yield : 1.70 per cent 
ROI : 4.15 per cent 
Margin : Rs 1,20,500 
Days to Expiry : 11 

Writing with Hedging 
Leg 1: Sell DCB BANK 195 CE 31-MAY-18 
@ 1.10 
Leg 2: Buy DCB BANK 205 CE 31-MAY-18 
@ 0.50 
Target Level : 0 
Stop Loss (Spread) Level : 0.95 
Gross Monthly Yield  1 per cent 

ROI : 2.30 per cent 
Margin : Rs 1,18,000 
Days to Expiry : 11 

Pair Trading
STRATEGY 1 
Leg 1: Buy HDFC LTDNSE -0.64 % 1 LOT 
31-MAY-18 @ 1860.20 
Leg 2 : Sell HDFC BANK 1 LOT 
31-MAY-18 @ 2012.35 
Tenure : 8-9 Days 
Target Profi t : 3.95 per cent 
Stop Loss : 1.85 per cent 
Margin : Rs 2,40,000 

This pair has 97 per cent correlation over the past year. Pair has Trade lot ratio of 1 with price ratio of 0.92. It has been moving in a spread of -15 to 115 points from last couple of quarters and recently it highly deviated to its trading spread so as per statistical data expecting this pair to come towards its mean levels. 

Pair Trading
STRATEGY 2 
Leg 1 : Buy GODREJCP 1 LOT 
31-MAY-18 @ 1085.80 
Leg 2 : Sell GODREJIND 1 LOT 
31-MAY-18 @ 567.75 
Tenure : 7-8 Days 
Target Profi t : 4.90 per cent 
Stop Loss : 2.50 per cent 
Margin : Rs 2,15,000 

This pair has 89 per cent correlation over the last one year. Pair has Trade lot ratio of 1 with price ratio of 1.91. As per the statistical data, pair has deviated to the extreme zone of the trading band in last to last week and thus expecting it to continue its move towards statistical mean levels.