FindNex
1. Quantitative Factor Analysis
NMDC Limited has achieved a remarkable score of 90.0 out of 100 based on our Institutional Factor Model. This high score is attributed to several key factors: a robust price structure indicating upward momentum, a significant volume expansion of 6.5 times the average, and a volatility tightness of 11.3%. The combination of these elements suggests a strong bullish sentiment among institutional investors, positioning NMDC as a favorable candidate for investment.
2. Institutional Execution Strategy
In executing our strategy, we employed a Dynamic Variance Hedging approach, which involves a multi-leg execution to manage risk effectively. The core position was established by buying NMDC equity, while simultaneously purchasing NMDC26JUN94PE options to provide downside protection. To finance this protective put, we sold NMDC26JUN105CE options, allowing us to offset some of the costs associated with the hedge. This strategic combination ensures that we maintain a core position in NMDC while effectively managing our risk exposure.
3. Payout & Risk Matrix
The risk/reward profile for this strategy is as follows: 🟢 Max Reward: +7.62% | 🔴 Max Risk: -3.65% | 📊 R:R Ratio: 2.1:1 | ⚖️ Breakeven: ₹97.56. This structured approach caps variance and clearly defines our risk exposure, allowing for a calculated investment strategy that aligns with our institutional objectives.
Entry: ₹96.25 | Put Strike: 94.0 | Call Strike: 105.0
Net Premium: ₹1.17 (+debit) | Est. Cost Basis: ₹97.56
Breakeven: ₹97.56 (+1.37% from entry)
Max Risk: -3.65% | Max Reward: +7.62% | R:R: 2.1:1
| Stock Move | Stock @ Expiry | Stock P&L | Option P&L | Net P&L | Net P&L % |
|---|---|---|---|---|---|
| -15% | ₹81.81 | ₹-14.44 | ₹+11.02 | ₹-3.56 | -3.65% |
| -10% | ₹86.62 | ₹-9.62 | ₹+6.21 | ₹-3.56 | -3.65% |
| -5% | ₹91.44 | ₹-4.81 | ₹+1.39 | ₹-3.56 | -3.65% |
| +0% | ₹96.25 | ₹+0.00 | ₹-1.17 | ₹-1.31 | -1.35% |
| +5% | ₹101.06 | ₹+4.81 | ₹-1.17 | ₹+3.50 | +3.59% |
| +10% | ₹105.88 | ₹+9.63 | ₹-2.05 | ₹+7.44 | +7.62% |
| +15% | ₹110.69 | ₹+14.44 | ₹-6.86 | ₹+7.44 | +7.62% |
4. Institutional Market Breadth
The following equities also exhibited high-probability quantitative factors during today's scan:
| Symbol | Factor Score |
|---|---|
| NMDC | 90.0/100 |
| PERSISTENT | 70.0/100 |
| TECHM | 70.0/100 |
This report is a quantitative factor analysis generated by FindNex's AI Engine. It identifies mathematical probabilities based on historical volatility and momentum factors. It is NOT a buy/sell recommendation. Trading involves substantial financial risk.
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