BankNifty BN expected movement with 0.5 SD to 3.5 SD
How to use this table – Let us take 2.5 Standard deviation. Chances that the options outside this range will expire worthless is 98.7%. Hence 26400 PE/26300 PE and 27200 CE/ 27300 CE. This trade will fetch you 1.34% returns. Do buy equal lots of PE and CE at a suitable distance as a hedge. …
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