The bottom line is selling out-of-the-money puts to keep the position before expiration. If the option goes into money, then I get the underlying asset at prices that are acceptable to me, and if the option burns, then I earn a premium on which I sell the new options of the next expiration just as out of the money.
In implementing this strategy, three problems arise in the Russian market:
1) On options, there is little liquidity. For this reason, the majority of shares that are currently traded at reasonable prices just cannot be written out an alternative.
2) Options for forts are marginal. This means that the variation margin is calculated on each clearing, and does not remain “paper.” For such options, more collateral is required, and therefore higher financial risks.
3) Forts are traded options for stock futures, not the shares themselves. This also adds the risk of recalculation of the variation margin. But you should pay attention to this when the expiration dates of futures and options are very different.
Dealt with risks. Now it is necessary to choose the issuer whom I will trade. As I already wrote above, the choice is tiny. I stopped at papers of Gazprom (GZZ6). The company is actively underestimated and is lager about MICEX to the index. Considering that the share was traded in quite narrow range at meager relative prices, the yield on dividends makes about 12-13% (not precisely). Proceeding from these calculations, it is possible to gather a position in the amounts of 134-136 rub for the common stock.
Here also short options will be useful. Having sold to fetters with a strike 13500 we will provide ourselves or a premium to the option, or an award + with a position in the primary asset
. Generally, I and made. Data on the transaction are given below.
