Nifty Bread and Butter

GOLDEN INTRADAY
NIFTY BREAD &

BUTTER SHORT
STRADDLE &
STRANGLES OPTION
STRATEGY:
Date &time: 19-Jun-2021 at 03:00 PM
(IST)
SPEAKER PROFILE:
CHETAN PANCHAMIA
❖Trader , trainer & learner.
❖Over 20 years experience in markets in

fundamental & technical.
❖ Teacher by heart
❖ Specialize in Bank nifty & nifty option

buying and selling strategies
2
DISCLAIMER
➢ I am not a SEBI registered investment advisor.
➢Any system /method will not perform uniformly and so you must
back test any system and make it your own before applying it in real
life.
➢Trading or investments in Markets can have big risk and one must be
informed about it before evaluating to take a investment or trading
decision.
TWITTER HANDLE:@123CHETANP 3
MOTIVATION
In markets & life when you practice then excellence

becomes a habit.
WHAT IS TRADING EDGE ?
• A trading edge is a technique RESEARCHED

ENTRY POINT
or observation /approach
which can create an advantage
over fellow market players.
PRECISION TRADING
STOP LOSS EDGE
POINT GENERATED
PROFIT EXIT
• In trading the sweet spot between entry ,

stop exit and profit exit is the trading edge.
QUANTIFICATION OF A TRADING EDGE
• Every profitable strategy will have the following equation

positive.
❑ Profitable trader: Average profitable trades * number of profitable trades

should be greater than average loss making trades * number of loss making
trades.
PILLARS OF TRADING EDGE
Trading strategy • Plan(how to • Understanding • Defining your
Risk Management
Psychology
decide to your nature capital risk per
trade) and defining trade .
• Assets to trade a strategy in • Fixing the
• Entry synch with your benchmark to
• Stop exit style. stop the
• Profit exit. strategy when
• Discipline to it is not
follow your working.
system in case • Defining the
of losses and set parameter
drawdown. to increase or
• Adherence to decrease
your strategy position sizing.
in the middle
of profitable
trades.
Nifty 50 is anBANK
index NIFTY
of top 50 stocks which
represents top sectors and accounts for roughly
50 % of total market cap of Indian Markets.
Top Stocks in nifty are :
HDFC
HDFC Bank
Reliance Industries
ICICI Bank
TCS
Infy
Hind Unilver
ITC
Kotak Bank
Sbin
Tata Steel
Maruti
Tata Motors.
NIFTY TOP SECTORS:
Banking and IT stocks

finance have second • Oil & Gas
sector has
companies highest high
have highest weightage weightage
weightage as namely top because of
sectors in two IT stocks Reliance
Industries .
Nifty. TCS and Infy.
TERMINOLOGIES
➢Options : Derivatives product which

gives the buyer the right but not the
obligation to buy or sell nifty options
at a particular price (strike price)
within a certain time period (expiry)
by paying a certain amount of
premium.
➢ Call Option : Gives the buyer the
right but not the obligation to buy the
asset.
➢Put Option : Gives the buyer the right
but not the obligation to sell the asset.
10
TERMINOLOGIES
➢Buyer /Owner: pays the premium to

the writer/ seller and thus gains the
right.
➢ Seller /Writer : Receives the
premium thus gives up his right. His
maximum profits is the premium
received.
➢Option premium : The amount paid
by the buyer to the seller and consists
of two parts intrinsic value premium
&time value premium.
11
TERMINOLOGIES
➢At the money strikes: When the spot

price is taken the strikes nearest to the
spot , Atm ( at the money) strikes have
no intrinsic value and only time value
premium. Nifty current price 15700
➢In the money strikes :Those strikes
call strike puts
which have both intrinsic value and ATM-250 ITM 15500 OTM ATM-250
times values are called ITM. ATM-200 ITM 15550 OTM ATM-200
ATM-100 ITM 15600 OTM ATM-100
➢Out of money strikes : The Strikes ATM-50 ITM 15650 OTM ATM-50
which are away from the current price ATM ATM 15700 ATM ATM
and having only time value premium ATM+50 OTM 15750 ITM ATM+50
are called OTM. ATM+100 OTM 15800 ITM ATM+100

ATM+150 OTM 15850 ITM ATM+150
ATM+200 OTM 15900 ITM ATM+200
12
THETA
➢Theta loss to the option buyer is

higher near to the expiry , the seller
gains more near to the expiry as time
is less.
➢We will use weekly expiry will
executing our strategy.
▪ Option premium is compared

to melting ice which loses mass
with passage of time.
13
EDGE: THETA OR TIME VALUE PREMIUM
▪ Theta is a measurement of the options time decay and it measures the rates at which options looses their time
value premium as it moves towards expiration .
▪Theta is expressed in negative number as it reflects how much option value will decrease every day.
SHORT STRADDLE
• Is a market neutral strategy

where we are not aware about
the direction but expect range
bound movement form the
current prices.
`
DRAWBACKS OF SHORT STRADDLE STRATEGY
❑ Works well in a range but can have unlimited loss if

directional movement takes place either side.
❑ Research has shown that 65 % of the time option
writers make money (average profits are lower ,
while average losses are higher.) The strategy is
overall profitable but average profits are lower.
OUR SHORT STRADDLE STRATEGY
❑ To overcome classical short straddle strategy

we will start with a short straddle at a particular time
every day with a fixed stop loss of each leg of call
&put.
❑ The edge here is that research has shown when a
particular stop is triggered we exit when we continue
the other position till the end of the day it gives
substantial higher returns compared to exiting the
combined position or holding the position without
stoploss till close.
OUR SHORT STRADDLE STRATEGY
❑Sell In the money strike (ATM-50) call option(leg 1)

❑ Sell In the money (ATM+50) put option (leg2)
❑ Both call and put are of same underlying
❑ Both belong to same expiry.
❑ We will trade in the weekly expiry and on the
last week we will trade on monthly expiry.
❑ We enter every day at a particular time & exit
before the end of the trading day.
GOLDEN NIFTY INTRA DAY BREAD & BUTTER STRATEGY
09:30 AM
Process to determine the strategy:
➢ Finding the strike price

➢ Determining the strategy
➢ Back testing the results
➢Forward testing.
09:30 AM OPENING RANGE BREAKOUT
➢ Finding the strike price:
❑ Look at the spot price of Nifty at 09:30 am

example 1:If the price is 15720 ( between 15675-15725) the ATM
strike will be :15700.
As we are trading one strike ITM options weekly expiry:
Our strike for Call will be 15700-50=15650(ATM-50)
Our strike for Put will be 15700+50=15750 (ATM+50)
➢Determining the strategy:

One we have decided the strikes we will check the 09:30 prices of
the strikes in the weekly expiry.
▪We will check 09:30 price of the ATM -50 strike for call.
▪We will check 09:30 price of the ATM +50 strike for put.
❖ Once we have identified the strike price we will put a stop loss Sell
Order 5points below the call price.
❖ The same thing we will put a stop loss Sell order 5 points below
the put sell.

➢Determining the strategy Stop loss:
❖ Once the stop loss sell is triggered in the call we will apply a stop loss
buy 35 points above the selling price.
❖ Once the stop loss sell is triggered in the put we will apply a stop loss
buy 30 points above the selling price.
➢ Determining the strategy exit:
❖ If any one of the call or put stop loss is triggered then we will hold
the other leg till our stop loss is triggered or will exit at 3.25 pm.
❖ If both the leges stop loss is not triggered then we exit both legs at
3.25 pm.
09:30 AM OPENING RANGE BREAKOUT : CASE STUDY
04.06.2021

➢Selection of strikes :
09: 30 am price of nifty spot is at 15713 , So ATM strike is 15700(15675-
15724)
▪We will check
09:30 price of the ATM -50 strike for call in the weekly expiry,
15700-50=15650. We check the 09:30 am price of 15650 call which
is 147.6
We will check 09:30 price of the ATM +50 strike for put in the weekly expiry,
15700+50=15750. We check the 09:30 am price of 15650 call which is
138.65
❖ Once we have identified the strike price we will put a stop loss Sell
Order 5points below the call price.
❖ The same thing we will put a stop loss Sell order 5 points below
the put sell.
09:30 AM : CASE STUDY 04.06.2021 15650 CALL
• 15650 call 09:30 am price

We will see in the chart 147.6.
• We will put a stop loss on the
put order 5 points below 147.6
which is 142.6 , put stop loss sell
gets triggered at 09:50-09:55
am candle.
• Put stop loss buy is placed
35 points above entry price which
is 142.6+35=177.6
• The stop loss was not
triggered & trade was exited
at 03:25 pm at 117.25.
• Profit in the trade is 25.35
TWITTER HANDLE:@123CHETANP points. 24
09:30 AM : CASE STUDY 04.06.2021 15750 PUT
• 15750 put 09:30 am price

We will see in the chart 138.25.
• We will put a stop loss on the
put order 5 points below
138.25
which is 133.25 , put stop loss
sell
gets triggered at 09:55-10:00
am candle.
• Put stop loss buy is placed
30 points above entry price
which is 133.25.+30=163.25
• The stop loss was triggered
at11.20-11.25 candle.
• Total loss in the trade is 30
TWITTER HANDLE:@123CHETANP
points. 25
➢ Back testing the results:

There is a back testing engine where the following strategy can
be back tested by the name of Stockmock.in
TWITTER HANDLE: @123CHETANP 26

09:30 AM : BACK TESTING FROM :15 FEB 2019 TO 4 JUN2021


❑ The above back testing results does not contain brokerage,
security transaction taxes and other government expenses along
with slippages.
❑ There are rare times when the stop loss is triggered in real time in
a split second but it does not record in the normal chart (as it
triggers the stop loss and falls in a split second ) so there is a
disconnect and this is called stop loss hunting and this happens about 4-
5 times a year.
❑ In important events like credit policy or budget or elections the

performances is not impacted much as per historical data.


❑ Overall profit/loss
❑Average profitable trade
❑Average loss trade
❑% of win days
❑ % of loss days
❑ Average profit on winning days
❑Average loss on winning days
❑Maximum drawdown.
❑Maximum winning streak
❑Maximum losing streak

09:30 AM OPENING RANGE BREAKOUT :
➢ What is the edge?

❑ This strategy has the unique edge where we are not entering the
trade at 09:30 am price of call and put but are waiting for down
filter of 5 points to get triggered , this entry filter improves profit
by 30% or more when you do not use a filter as on trending days
call or put stop loss filter for entry does not trigger.
❑ Doing weekly options gives us the higher theta benefit as compared
to monthly options.
❑ ITM & ATM strikes gives up more profit on trending days as
compared to OTM strikes
❑The strategy has the highest stop loss of Rs.4875 irrespective of
high or low volatility.(excluding brokerage)
➢ Ready for forward testing.

12:35 PM
➢ Finding the strike price

➢ Determining the strategy
➢ Back testing the results
➢Forward testing.
12:35 PM
➢ Finding the strike price:
❑ Look at the spot price of Nifty at 12:35 pm

example 1:If the price is 15720 ( between 15675-15725) the ATM
strike will be :15700.
As we are trading one strike ITM options weekly expiry:
Our strike for Call will be 15700 (ATM)
Our strike for Put will be 15700+50=15750 (ATM+50)
12:35 PM
➢Determining the strategy:

One we have decided the strikes we will check the 12:35 prices of
the strikes in the weekly expiry.
▪We will check 12:35 price of the ATM strike for call.
▪We will check 12.35 price of the ATM +50(ITM) strike for put.
❖ Once we have identified the strike price we will sell the call at
12.35 pm .
❖ The same thing we will do with the put we will sell it at 12:35 pm.
12:35 PM

➢Determining the strategy Stop loss:
❖ Once the call is sold we will apply a stop loss buy 25 points above the selling
price.
❖ Once the put in sold we will apply a stop loss buy 25 points above the
selling price.
( For calculation of the stop loss we will check 12:35 pm price of the call &
put from the chart and derive the stop loss from the price at 12:35 pm.)
➢ Determining the strategy exit:

❖ If any one of the call or put stop loss is triggered then we will hold
the other leg till our stop loss is triggered or will exit at 3.25 pm.
❖ If both the leges stop loss is not triggered then we exit both legs at 3.25 pm.
12:35 PM : CASE STUDY 11.06.2021

➢Selection of strikes :
12 :35 pm price of nifty spot is at 15776 , So ATM strike is 15800(15775-
15824)
▪We will check12:35 price of the ATM strike for call in the weekly expiry,
15800. We check the 12:35 pm price of 15800 call which is 84.5.
We will check 12:35 price of the ATM +50 strike for put in the weekly expiry,
15800+50=15850. We check the 12:35 Pm price of 15850 Put which is 138.45
❖ Once we have identified the strike price we will put a sell

order for the 15800 call at 12:35 pm @84.5
❖ The same thing we will put a sell order of 15850 put at 12:35 pm @138.45.
12:35 PM : CASE STUDY 11.06.2021 15800 CALL
• 15800 call 12:35 pm price

is at 84.5.
• We will sell the call at 12:35 Pm
price at 84.5.
• We need to place a call stop loss
buy25 points above entry price
which is 84.5+25=109.5
• The stop loss did not trigger and
exit at3.25 at 91.3 .
12:35 PM : CASE STUDY 11.06.2021 15850 PUT
• 15850 put 12:35 pm price

is at 138.45.
• We will sell the put at 12:35 Pm
price at 138.45
• We need to place a Put stop loss
buy25 points above entry price
which is 138.45+25=163.45.
• The stop loss did not trigger and
exit at3.25 at 112.7.
12:35 PM

There is a back testing engine where the following strategy can
be back tested by the name of Stockmock.in

12:35 PM : BACK TESTING FROM :15 FEB 2019 TO 11 JUN2021


with slippages.
5 times a year.



with slippages.
5 times a year.


12:35 PM : BACK TESTING FROM :15 FEB 2019 TO 11 JUNE

❑ Overall profit/loss
❑Average profitable trade
❑Average loss trade
❑% of win days
❑ % of loss days
❑ Average profit on winning days
❑Average loss on winning days
❑Maximum drawdown.
❑Maximum winning streak
❑Maximum losing streak

12:35 PM :
➢ What is the edge?

❑ This strategy has the unique time edge as 12:35pm there are
some European markets which are open and Indian market the second
half actions happens from 12:30 pm.
❑Doing weekly options gives us the higher theta benefit as compared
to monthly options.
❑ ITM & OTM strikes gives up more profit on trending days as
compared to OTM strikes
❑The strategy has the highest stop loss of Rs.3750 irrespective of
high or low volatility.(excluding brokerage)
➢ Ready for forward testing.

SPECIAL INCENTIVES FOR ALL PARTICIPANTS OF THE WEBINAR FROM
ELEARNMARKETS:
https://www.elearnmarkets.com/courses/display/learn-options-trading.
Any one who

wants to do the course
can join this with
the coupon code :AOT15

SPECIAL INCENTIVES FOR ALL PARTICIPANTS OF THE WEBINAR FROM
STOCKMOCK
Any one wants this special plan please login in via the url link below :
.
https://www.stockmock.in/#!/subscription?ot=spl_10

SPECIAL THANKS TO ALL MY STUDENTS FOLLOWING MY
GOLDEN BANK NIFTY STRATEGY .
Without your confidence this journey

would have been empty , the joy to
meet you and grow together has
made it exciting..
Thank you from the bottom of my
heart. TWITTER HANDLE:@123CHETANP 46
SPECIAL THANKS TO ALL MY STUDENTS FOLLOWING MY
GOLDEN BANK NIFTY STRATEGY & AOT 44 .
Every market player is a student of the

Market learning the lessons of life with
pain of losses & joy of profits.
SPECIAL THANKS
Nitesh Narang Vivek Bajaj Gour Gopal Das To all my teachers and
students.
A monk with a mind & heart

Founder Stock Mock Founder Elearnmarkets & of a motivator . With out them it would not have
Stockedge. been possible.
48
BE A DREAMER
➢ Keep living your life with the dreams in your eyes. Dreams come
true when you see it with open eyes with a belief in your mind that
nothing is impossible.
➢ Thank you.

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GOLDEN INTRADAY

NIFTY BREAD &

❖Over 20 years experience in markets in

❖ Specialize in Bank nifty & nifty option

➢ I am not a SEBI registered investment advisor.

In markets & life when you practice then excellence

• A trading edge is a technique RESEARCHED

• In trading the sweet spot between entry ,

• Every profitable strategy will have the following equation

❑ Profitable trader: Average profitable trades * number of profitable trades

Trading strategy • Plan(how to • Understanding • Defining your

Banking and IT stocks

➢Options : Derivatives product which

➢Buyer /Owner: pays the premium to

➢At the money strikes: When the spot

are called OTM. ATM+100 OTM 15800 ITM ATM+100

➢Theta loss to the option buyer is

▪ Option premium is compared

• Is a market neutral strategy

❑ Works well in a range but can have unlimited loss if

❑ To overcome classical short straddle strategy

❑Sell In the money strike (ATM-50) call option(leg 1)

Process to determine the strategy:

➢ Finding the strike price

Process to determine the strategy:

➢ Finding the strike price:

❑ Look at the spot price of Nifty at 09:30 am

Process to determine the strategy:

➢Determining the strategy:

Process to determine the strategy:

Process to determine the strategy:

• 15650 call 09:30 am price

• 15750 put 09:30 am price

Process to determine the strategy:

➢ Back testing the results:

TWITTER HANDLE: @123CHETANP 26

➢ Back testing the results:

TWITTER HANDLE: @123CHETANP 27

➢ Back testing the results:

❑ In important events like credit policy or budget or elections the

TWITTER HANDLE: @123CHETANP 28

➢ Back testing the results:

TWITTER HANDLE: @123CHETANP 29

➢ What is the edge?

TWITTER HANDLE: @123CHETANP 30

Process to determine the strategy:

➢ Finding the strike price

Process to determine the strategy:

➢ Finding the strike price:

❑ Look at the spot price of Nifty at 12:35 pm

Process to determine the strategy:

➢Determining the strategy:

Process to determine the strategy:

➢ Determining the strategy exit:

Process to determine the strategy:

❖ Once we have identified the strike price we will put a sell

• 15800 call 12:35 pm price

• 15850 put 12:35 pm price