Iron Fly Strategy in the Bank Nifty for the week ended 2nd September 2021

[Michael Gonsalves]

On Thursday, 26th August, I executed an Iron Fly options strategy in the Bank Nifty with the straddle at 35600 and the wings at 34800PE and 36400CE. The Break Even points are 35111 to 36089.

As of date, the trade is at a profit of 1.19 lakh, equivalent to 1.66% of the margin capital deployed.

Some adjustment may be required on Monday, 30th August, as the market is expected to open gap up.

[Michael Gonsalves]

The surge in the Bank Nifty by 720 points to 36360 forced me to shift the straddle to 36200 with wings at 35700PE and 36400CE. There is a MTM loss of Rs. 1.33 lakh (2.2%) in the position.

[Michael Gonsalves]

Today, i had to further shift to 36300 straddle with wings at 35800 and 36800. After i made the adjustment, the Bank Nifty spurted further to 36400+ putting more pressure.

However, my BEP on the upside is 36600 and i will wait for 36500 to be breached before shifting the straddle higher.

As of now, there is a MTM loss of Rs.103000.

[Michael Gonsalves]

Thankfully, by the EOD, my MTM loss is reduced to 56000. Hopefully, if the markets are stagnant tomorrow, the MTM loss will reduce further or even turn positive.

[Michael Gonsalves]

The rapid surge in the morning session, where the Bank Nifty surged to 36900, was unmanageable. I escaped with a loss of about 1.92 lakh, which is about 1% of the margin deployed.