HEDGING ON INDEX FUTURES

[sunandaC]

View : Stock Price is Undervalued.

Strategy: Long Stock & Short S&P CNX Nifty Futures.

Scenario :

Long ITC : Rs.10,00,000.

Beta Value : 1.2

Short Index Futures. : Rs.12,00,000

(ie,CNX Nifty Futures) (10,00,000 * 1.2)

CNX Nifty Futures. : 990

(26th June expiration)

: Vp * Bp / Vi

: 10,00,000 * 1.2/990*200

No. of Contracts. : 6 Contracts

Value of Short Index Futures : Rs.11,88,000


On 26th June CNX Nifty 882 848

Long ITC Profit/ (Loss) 12000 15000

Short Index Futures 129600 170400
Profit/ (Loss)

Net Result 9600 20400
Profit/ (Loss)

 

[rosemarry2]

View : Stock Price is Undervalued.

Strategy: Long Stock & Short S&P CNX Nifty Futures.

Scenario :

Long ITC : Rs.10,00,000.

Beta Value : 1.2

Short Index Futures. : Rs.12,00,000

(ie,CNX Nifty Futures) (10,00,000 * 1.2)

CNX Nifty Futures. : 990

(26th June expiration)

: Vp * Bp / Vi

: 10,00,000 * 1.2/990*200

No. of Contracts. : 6 Contracts

Value of Short Index Futures : Rs.11,88,000


On 26th June CNX Nifty 882 848

Long ITC Profit/ (Loss) 12000 15000

Short Index Futures 129600 170400
Profit/ (Loss)

Net Result 9600 20400
Profit/ (Loss)

hello dear,

Here I am up-loading Stock Index Futures, please check attachment below.