2 Pair Strategy - LT vs BHEL

Over the past few week, a sell-off in the capital goods sector has resulted in a breakdown in the co-relation between BHEL and LT, thus widening the historical price ratio relationship. One year co-relation between BHEL and LT is at 92%.

I will open this trade next week to go long on LT (1 Lot Sep futures) and short BHEL (1 lot Sep futures ) at price ratio above 6.40 with Stop loss placed at 6.28 for target of 6.61.

Strategy : 

Long LT September Future CMP : 1351, Lot size 250
Long LT Put 1350 Sep CMP : 43.70, Lot size 250
Short Bhel September Future CMP : 211, Lot size 1000
Long Bhel Call 210 Sep CMP : 8:30, Lot size 1000

*~Outlflow(`1.5lacs), Time horizon - 30days, Expected return 5-10%

Disclosure/Disclaimer and FAQ

*If you have any questions, queries or need more explanation, leave comments below.


2 comments:

  1. Trade Initiated Today :

    Longed LT September Future CMP : 1364
    Longed LT Put 1350 Sep CMP : 37.50
    Shorted Bhel September Future CMP : 213
    Longed Bhel Call 210 Sep CMP : 9.00

    ReplyDelete
  2. I will exit this trade today Cost to cost. This strategy is not supporting us hence its better to exit.

    ReplyDelete

Thanks for giving your valuable inputs, TRENDGURUS

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