reversion result

Sep21-W4: Nifty mean reversion trades give me highest ROI till date

My memory is not serving me correctly as to when I started building up short positions for mean reversion. I should start using tag feature of Zerodha for effective tracking. The strike was 17700 CE which was sold upon every 50 points rise of Nifty since September 16 for sure, if not September 15. I bought hedges with objective to squeeze more margin.

On September 17, the price of option had breached 100. I then started selling more lots on rise of every 10 points of option price. I hit the tilt and did not have funds to sell more even though Nifty continued to rise. The unrealized loss was over Rs. 50,000. I moved away from the screen. I think I came back to screen by 1130 AM and things started moving in favor. I exited half quantity by noon when LTP was 80ish. The remaining quantity was exited sometime later.

The rest of the week was not easy to trade. September 20 and 21 had long wicks leading to high VIX. Somehow, the trades just worked out. I wonder how much of this entire week was my skill and how much was luck.

So I took positions in a week whose candles were like this:

Here are the results:

Net Profit (after deducting brokerage)Capital deployed (approx)Week’s ROIAnnualized ROI for this weekTotal no. of weeks traded till todayAnnualized  return till today
Rs. 24703.95Rs. 7,58,2933.25%429.66%1518.73

The following is breakdown of week’s positions

DISCLAIMER: I am not a SEBI registered adviser. All the information provided on this website is for educational / informational purposes only and should not be taken as investment advice.

1 thought on “Sep21-W4: Nifty mean reversion trades give me highest ROI till date”

  1. Pingback: Sep21-W4: The edge is in selling ATM options during mean reversion

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