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SMC, one of the largest and most reputed financial services providers in India is a vertically integrated

investment solutions company, with a pan-India presence. SMC was founded in 1990, jointly by Mr.
Subhash Chand Aggarwal and Mr. Mahesh Chand Gupta. Based in New Delhi, SMC is a full financial
services firm catering to all classes of investors traded in NSE, BSE, F&O, NCDEX, MCX,DGCX
&
Currency Derivative Trading. Currently, the company has its regional offices in Metros. In addition,
it has a rapidly expanding retail distribution network of more than 1350 offices, in over 350
cities/towns across India. The company caters to over 5 lacs satisfied investors with over 2.5 lacs
trades per day at 4400+ trading terminals of the various exchanges
.
Areas of Expertise
Equity & Derivative Trading
SMC Trading Platform offers online equity & derivative trading facilities for investors which provides a
convenient and hassle free trading experience. It provides ODIN Application, which helps in trading on
the NSE, BSE, F&O, NCDEX & MCX simultaneously from any destination. It also provides an access
to
multiple resources like live quotes, charts, research, advice and online assistance.
Mutual Funds and IPOs
SMC offers distribution and collection services of various schemes of most major fund houses and IPOs
through its network of branches across the country. The company is registered with AMFI as an
approved distributor of Mutual Funds. It is also registered with various leading fund houses
include Fidelity, Franklin Templeton and others.
which
Research and Advisory Services: Right advice at the right time
SMCs R&D facility caters to the need of investors who are in need of opportunities to enhance their
investments. It has a comprehensive in-house R&D wing with market experts, process and technology
resources providing complete research solutions on equity, derivatives, commodities, IPOs and mutual
funds. SMC offers proactive and timely research based advice and guidance to help its clients
in
making informed investment decisions
Depository Services
SMC is an ISO 9001:2000 certified depository participant with CDSL currently catering to more than
85,000 investors. We provide system of automated payin of Demat shares. We offers depository
services for both shares and commodities.
Insurance
brokingas a direct Insurance Broker for both Life and Non-Life products with
SMC
is licensed
thirst.

Portfolio Management Services


Preserving and growing capital is as hard as earning it. Knowing what you want is as
important those
as
achieving
goals. Assessing your risk profile and aligning potential returns for the
risk assumed
from
various investment options is the crucial task. As a discerning investor, one who is
not averse
to risk in order to achieve greater returns, you want your investments to be
taking
on more
managed
more actively compared to a mutual fund. You want your investments to be managed in a
way that
tries
to maximize value for you, and is customized just for you.
Merchant banking Services
SMC is a SEBI Registered Category - I Merchant Banking Company. It is
Promotedbyand
managed
a team of professionals from Corporate Finance, Investment Banking &
Advisory (CFIBA).
Growth Areas
SMC has planning to diversify its business to new domains like Asset Management
Company.
It has
also planned
to increase its size of operations in India as well as abroad largely
focusing and
on NRI
investors
institutional business. The company proposes to acquire in future the
memberships of

About our E-Broking Services

No auto square off


without communicating with
client
,

Free
portfolio
restructuring (by our in house
experts),

After each trading


session,
daily
trade
confirmation given over the
phone,

We offer multiple
Exchanges in a single screen
with
streaming
quotes,

Investment advisory
support with intraday calls &
flash
news
,

Non beatable
Online S/W (with enabled
Historical & technical tools),

24*7 web enabled


back office for you to keep
track of your ledger, research
reports,
trade
details
etc

OBJECTIVES
What is DVEGA Strategy?
To understand how the strategy works
To have an idea about the pros and cons of
the strategy
ROADMAP
Key Concepts
An Introduction to the strategy
Features
Advantages
Risk associated
Back tested results
Conclusion

KEY CONCEPTS
Greeks: Represents the sensitivities of
the price of derivative such as options to a change in
underlying parameters
Delta: Rate of change of option value with
respect to changes in the underlying asset's
price
Gamma: Rate of change in the delta with

respect to changes in the underlying price


Theta: Measures the sensitivity of the value
of the derivative to the passage of time
Vega: Vega is the gain or lose as volatility
rises or falls by 1%.
Dvega: Rate of change in the vega with
respect to the passage of time

INTRODUCTION
This strategy measures the rate of change in
the vega with respect to the passage of time
Buying of the at the money option and selling
of out of money options of the same
underlying
Position is taken as and when signals are
generated from mechanical system
A standard ratio of Greeks is maintained
Continuous Position management
zero, small debit/credit position in options
Max Profit = Intrinsic Value of option bought
Intrinsic Value of option sold - Commissions
Paid
Max Profit is achieved when Price of
Underlying is at the strike price of the
options sold

Example

Nifty

ATM

Rate

5400 5400 PE 140


4900 5400 PE 500
4600 5400 PE 800

OTM (10% Down)

Rate

OTM (OTM-200)

Rate

Net (Ratio 1:-3:1)

4900 PE
4900 PE
4900 PE

65
0
-900

4700 PE
4700 PE
4700 PE

40
0
100

15
500
0

PAYOFF
AT EXPIRY

TREND INDICATOR
Pure Mechanical in nature in-house developed
System
Entry/ Exit is Based on predefined rules
Mechanical system
incorporated from Price
trend, volume and volatility trend.

No Signal No trade

SALIENT FEATURES
The strategy makes money from Theta decay
and Vega Decay
Down side risk is limited, up to about a
movement of more than 10%-14% from the
entry point against the signal
Predefined rules based entry and exit points
Continuous position management
Well back-tested strategy
Rules based strategy

The strategy is Theta and Gamma positive


Continuous hedging is done to meet the
predefined ratios
Traded instruments are Nifty options

ADVANTAGES
Exposure is taken in F &O market hence benefit
of leverage
The strategy earns from time decay and fall in
market volatility
Near Delta
Strategy

neutral

and

Gamma

positive

RISK ASSOCIATED
Liquidity
Unlimited Risk
Volatility of option may rise

BACK TESTED
RESULTS
(ON A PORTFOLIO OF 10
LACS)

Our back-tested results on Nifty prices for last 28 months


data shows that above strategy offered sound profit in 26 months

BACK
TESTED RESULTS

RI
SK RETURN MATRIX

COMPA
RISON WITH THETA
Basis
Risk
No. of Trades
Safety against
market movement
Returns

Theta
Medium
3-4 trades per
month
Medium
20%-27%

DVega
Lower Risk
1.5-2 trades per
month
High
18%-22%

CONCLUSION
consistent returns of more than 50% per
annum in the year 2008 and more than 25%
per annum in the year 2009. In the current
year 2010 the product has more than 25%
(compounded). Average returns for last 28
months (2008- June 2010) are more than 33%
per annum (annualized)
Portfolio Diversification

Better suited for risk averse individuals