Beta Hedge Desk

Portfolio₹1.00 Cr

Portfolio β1.08

Beta notional₹1.08 Cr

Delta coverage68%

NIFTY 50 06 Aug 2026 · 15:30 IST24,614.9-0.64%

01 / HEDGE CONSTRUCTION

Size the downside

Reliance exposure 1.00 Cr₹25 L₹5 Cr60-day beta 1.080.501.60Target coverage 65%20%100%Premium budget 1.75%0.50%4.00%

MODEL OUTPUT

Defensive hedge

29/50 RSI weak

NIFTY lots650 units · lot size 65

Beta base9.54 lots

Signal overlay+0.30

Round-up buffer0.17

Net premium₹90,610

Budget₹1.75 L

Within budget

Basis risk remains: Reliance can diverge from NIFTY 50 even when beta is stable.

02 / OPTION TICKET

Defined-risk structure

DEMO WEEKLY

Spot24,614.9

IV13.8%

ATM Δ-0.46

BUY

24,600 PE10 lots · ₹226.8

₹1.47 L

SELL

23,800 PE10 lots · ₹87.4

−₹56,810

Analysis only · Upstox market data is read-only · no order endpoints

03 / DEMO BREADTH

NIFTY 50 signal map

BiasDefensive

β-weighted score-0.14−1 bearish · +1 bullish

RSI(16) below 5029/50

BB% below mid-band29/50

BearishNeutralBullish

DirectionBuy downside convexity

StructureATM / 3.2% OTM put spread

Quantum10 lots after β + signal overlay

04 / STRESS TEST

At-expiry scenarios

Excludes vol / theta path

NIFTYRELIANCE β P&LOPTION P&LNET P&L

-10%−₹10.80 L₹4.29 L−₹6.51 L

-5%−₹5.40 L₹4.29 L−₹1.11 L

-2%−₹2.16 L₹2.20 L₹3,699

0%₹0−₹90,610−₹90,610

+5%₹5.40 L−₹90,610₹4.49 L

Proxy result assumes Reliance moves exactly with its 60-day beta. Realised basis, gap risk, IV and execution can materially change the outcome.

05 / CONTRIBUTOR AUDIT

What is driving the hedge?

ConstituentWeightβRSI 16BB%Signal

HDFCBANKHDFC Bank8.97%0.7634.00.23-0.56

LTLarsen & Toubro5.57%1.2137.00.18-0.54

INFYInfosys6.13%1.1262.00.67+0.39

RELIANCEReliance Industries7.42%1.0842.80.34-0.28

ICICIBANKICICI Bank8.16%0.8541.00.34-0.32

ITCITC5.07%0.7244.00.29-0.30

BAJFINANCEBajaj Finance3.15%1.1747.00.24-0.29

BHARTIARTLBharti Airtel6.74%1.0355.00.56+0.15