We started this simple calendar spread strategy from July month.

Here we are selling slightly OTM PUT and CALL options in NIFTY/BANKNIFTY for weekly expiry and hedging the trades by buying the same strikes PUT and CALL for the monthly expiry.

Profit is earned through the time decay in weekly options. There is time decay in monthly options but that is less than the decay in weekly options. The difference is our profit.

In case of a big move, we are protected from unlimited loss by the bought options. The protection is against unlimited loss, not loss. Some loss will happen at times.

At first I thought that 12 weeks is too short time to publish a review. But then it is 12 sets of trades. If we can review Money In The Bank after 11 months, why not this strategy after 12 weeks.

NIFTY Trades:

10 gaining weeks, 2 losing weeks , a profit of Rs. 39171.

Considering that the margin money is under Rs. 100000, the gains are quite handsome.

BANKNIFTY Trades:

Not as good as NIFTY trades but still profitable. But is only 8 weeks, 2 losing and 6 gaining. Profit is Rs. 12939.

What next?:

Let us agree that 12 weeks and 8 weeks is too short time to assess the performance of the strategy.

We keep on trading in the same manner and see where it takes us in another one month. As long as profits keep coming, it is fine. The conclusive results can be seen only after one year.

Keep trading cautiously, it looks like it may work.

Disclaimer: This post and examples are for teaching purpose only and are not meant as advice/suggestion to trade in these stocks. Trading in Futures and Options can lead to big losses and should be done with appropriate knowledge and advice only. Mentioning the stocks here does not imply that I have a trading position or likely to take a trade in these stocks.