What is a Bearish Diagonal Call Spread?
Bearish Diagonal Call spread is neutral to bearish strategy which is executed by buying long-dated in the money call option and concurrently selling short-dated out of the money call option.
In Nifty futures on monday morning price opened with a big gap down and trading 500 points lower and also broken the recent trendline levels and the immediate trading sentiment turned negative.
The objective is to trade a short term setup for the expiry with a reasonable risk reward ratio especially in a fearful and rising volatile environment.
Bear Call diagonal spread creation
Short 1 lot of 9300CE – Current week expiry @ 188/lot
Long 1 lot of 9400CE – next week expiry @ 232/lot
Breakeven levels are at 8860 – 9578 levels and the strategy also has limited risk and limited reward style which suits execution especially after a big gap down day where you have to come up with controlled thinking.
What if Scenario on 7th May 2019 Expiry
| Underlying | Exit Date | PNL | PNL Percentage |
|---|---|---|---|
| 8,700.00 | 07-May-20 | -1,813.94 | -16.84% |
| 8,725.00 | 07-May-20 | -1,640.50 | -15.23% |
| 8,750.00 | 07-May-20 | -1,450.65 | -13.46% |
| 8,775.00 | 07-May-20 | -1,243.34 | -11.54% |
| 8,800.00 | 07-May-20 | -1,017.50 | -9.44% |
| 8,825.00 | 07-May-20 | -772.06 | -7.17% |
| 8,850.00 | 07-May-20 | -505.92 | -4.70% |
| 8,875.00 | 07-May-20 | -218 | -2.02% |
| 8,900.00 | 07-May-20 | 92.78 | 0.86% |
| 8,925.00 | 07-May-20 | 427.49 | 3.97% |
| 8,950.00 | 07-May-20 | 787.2 | 7.31% |
| 8,975.00 | 07-May-20 | 1,172.94 | 10.89% |
| 9,000.00 | 07-May-20 | 1,585.71 | 14.72% |
| 9,025.00 | 07-May-20 | 2,026.50 | 18.81% |
| 9,050.00 | 07-May-20 | 2,496.24 | 23.17% |
| 9,075.00 | 07-May-20 | 2,995.83 | 27.81% |
| 9,100.00 | 07-May-20 | 3,526.11 | 32.73% |
| 9,125.00 | 07-May-20 | 4,087.86 | 37.94% |
| 9,150.00 | 07-May-20 | 4,681.83 | 43.46% |
| 9,175.00 | 07-May-20 | 5,308.68 | 49.27% |
| 9,200.00 | 07-May-20 | 5,969.00 | 55.40% |
| 9,225.00 | 07-May-20 | 6,663.33 | 61.85% |
| 9,250.00 | 07-May-20 | 7,392.12 | 68.61% |
| 9,275.00 | 07-May-20 | 8,155.76 | 75.70% |
| 9,300.00 | 07-May-20 | 8,954.53 | 83.11% |
| 9,325.00 | 07-May-20 | 7,913.67 | 73.45% |
| 9,350.00 | 07-May-20 | 6,908.31 | 64.12% |
| 9,375.00 | 07-May-20 | 5,938.51 | 55.12% |
| 9,400.00 | 07-May-20 | 5,004.25 | 46.45% |
| 9,425.00 | 07-May-20 | 4,105.42 | 38.11% |
| 9,450.00 | 07-May-20 | 3,241.86 | 30.09% |
| 9,475.00 | 07-May-20 | 2,413.29 | 22.40% |
| 9,500.00 | 07-May-20 | 1,619.39 | 15.03% |
| 9,525.00 | 07-May-20 | 859.76 | 7.98% |
| 9,550.00 | 07-May-20 | 133.92 | 1.24% |
| 9,575.00 | 07-May-20 | -558.66 | -5.19% |
| 9,600.00 | 07-May-20 | -1,218.59 | -11.31% |
