FindNex
1. Quantitative Factor Analysis
GMR Airports Limited (GMRAIRPORT) scored 80.0 out of 100 based on a comprehensive Institutional Factor Model. This score reflects a robust price structure characterized by a current market price (CMP) of ₹100.66, coupled with a significant volume expansion of 1.6 times the average. Additionally, the stock exhibits a volatility tightness of 9.5%, indicating a favorable environment for potential price movement and breakout opportunities.
2. Institutional Execution Strategy
The execution strategy employed is a Dynamic Variance Hedging approach, which involves a multi-leg execution to manage risk effectively. In this case, the core position is established by buying GMRAIRPORT equity. To protect this position, a protective put option (GMRAIRPORT26MAY96PE) is purchased, providing downside protection. To finance this protective put, a call option (GMRAIRPORT26MAY113CE) is sold, allowing the premium received from the call to offset the cost of the put, thereby optimizing the overall hedging strategy.
3. Payout & Risk Matrix
The payout and risk matrix for this strategy is as follows: 🟢 Max Reward: +10.82% | 🔴 Max Risk: -5.86% | 📊 R:R Ratio: 1.8:1 | ⚖️ Breakeven: ₹101.97. This structured approach caps variance and clearly defines risk exposure, allowing for a calculated risk-reward profile that aligns with institutional investment strategies.
Entry: ₹100.66 | Put Strike: 96.0 | Call Strike: 113.0
Net Premium: ₹1.16 (+debit) | Est. Cost Basis: ₹101.97
Breakeven: ₹101.97 (+1.30% from entry)
Max Risk: -5.86% | Max Reward: +10.82% | R:R: 1.8:1
| Stock Move | Stock @ Expiry | Stock P&L | Option P&L | Net P&L | Net P&L % |
|---|---|---|---|---|---|
| -15% | ₹85.56 | ₹-15.10 | ₹+9.28 | ₹-5.97 | -5.86% |
| -10% | ₹90.59 | ₹-10.07 | ₹+4.25 | ₹-5.97 | -5.86% |
| -5% | ₹95.63 | ₹-5.03 | ₹-0.79 | ₹-5.97 | -5.86% |
| +0% | ₹100.66 | ₹+0.00 | ₹-1.16 | ₹-1.31 | -1.29% |
| +5% | ₹105.69 | ₹+5.03 | ₹-1.16 | ₹+3.72 | +3.65% |
| +10% | ₹110.73 | ₹+10.07 | ₹-1.16 | ₹+8.76 | +8.59% |
| +15% | ₹115.76 | ₹+15.10 | ₹-3.92 | ₹+11.03 | +10.82% |
4. Institutional Market Breadth
The following equities also exhibited high-probability quantitative factors during today's scan:
| Symbol | Factor Score |
|---|---|
| GMRAIRPORT | 80.0/100 |
| DELHIVERY | 80.0/100 |
| BHARATFORG | 75.0/100 |
| POLYCAB | 75.0/100 |
| CGPOWER | 75.0/100 |
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.
Continue with Google