Dhaba Portfolio: Managing Risk #9

Wednesday, December 17, 2008

As I wrote before the week started, expect continued high volatility...alleged scandals do not improve market sentiment...I continue to exercise caution and expect reversion back to 2500 levels over the next few weeks.

As the Satyam saga started to unfold, I covered two positions:  bought the Nifty Jan 2800 Put for Rs 92 and sold the Jan 2800 Call for Rs 345.  This was a day position with the idea of rolling the equivalent December positions.  The market tanked and I sold my Nifty Dec 2800 Put for Rs 25 and bought back the Nifty Dec 2800 call for Rs 170.

Below you will find the current Dhaba portfolio as at Dec 17, 2008....actual contracts and graphical representation of the pay-off structure.

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