Arbitrage,mtm,beta Hedging Calculation
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Spot Future
presentdecision 300 buy 350 sell
future price Future decision 420 sell buy
spot future
results 120 profit here -70 loss here
Normal Case
net profit
50
Bonus issue Ratio price
1: 840
1 results 540 profit here -490 loss here
spot future net profit
50
stock split Ratio price
1: 4200
10
spot future net profit
Dividend dividend Rs.
14 Spot Future
results 3900 profit here -3850 loss here 50 presentdecision 286 buy 350 sell
future price Future decision 420 sell buy
results spot 120 profit here future -70 loss here dividend 14 net profit 64
Long Price Security Lot Size scurity amount
170 30% Amount 350 17850
59500 Maintainence
Future Closing Points change MTM account change Amount 174 4 1400 19250 no call 179 5 1750 21000 no call 171 -8 -2800 18200 no call 165 -6 -2100 16100 no call 155 -10 -3500 12600 margin 150 -5 -1750 10850 margin 170 20 7000 17850 no call 175 5 1750 19600 no call -175 -61250 -41650 margin 0 0 -41650 margin 0 0 -41650 margin
75%
call call
call call call
###
portfolio value Beta nifty future lot size number of contracs to be purchased
Nifty changed Portfolio change
70,050,000.00 1.5 3000 sold 50 sold contracts 701 of nifty
Actual beta Desired Beta
700.5
points change value change 15.0% 450 15761250 22.5% 15761250 net loss /gain 0
1.5 0
presentdecision 300 buy 350 sell
future price Future decision 420 sell buy
spot future
results 120 profit here -70 loss here
Normal Case
net profit
50
Bonus issue Ratio price
1: 840
1 results 540 profit here -490 loss here
spot future net profit
50
stock split Ratio price
1: 4200
10
spot future net profit
Dividend dividend Rs.
14 Spot Future
results 3900 profit here -3850 loss here 50 presentdecision 286 buy 350 sell
future price Future decision 420 sell buy
results spot 120 profit here future -70 loss here dividend 14 net profit 64
Long Price Security Lot Size scurity amount
170 30% Amount 350 17850
59500 Maintainence
Future Closing Points change MTM account change Amount 174 4 1400 19250 no call 179 5 1750 21000 no call 171 -8 -2800 18200 no call 165 -6 -2100 16100 no call 155 -10 -3500 12600 margin 150 -5 -1750 10850 margin 170 20 7000 17850 no call 175 5 1750 19600 no call -175 -61250 -41650 margin 0 0 -41650 margin 0 0 -41650 margin
75%
call call
call call call
###
portfolio value Beta nifty future lot size number of contracs to be purchased
Nifty changed Portfolio change
70,050,000.00 1.5 3000 sold 50 sold contracts 701 of nifty
Actual beta Desired Beta
700.5
points change value change 15.0% 450 15761250 22.5% 15761250 net loss /gain 0
1.5 0
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