BKC
Bac Kan Mineral Jsc
stock NYSE

**Hi everyone,**
**I’m a quant developer at a Dubai-based prop firm expanding into the Indian Futures and Options (FnO) market. I’ve been handed a strict institutional mandate for our initial strategy build and am looking for structural perspectives from those who trade at scale in the NSE/BSE.**
**The Mandate:**
**Capital: 100 Crore INR (\~$12M USD)**
**Target Return: 1% monthly**
**Max Monthly Drawdown: 0.5% (Very tight)**
**Target Win Rate: \~75%**
**Constraint: Must deploy this size with zero to minimal slippage.**
**Given the scale and liquidity, we're strictly looking at Nifty/Bank Nifty index products. Basic directional plays won't survive the drawdown limit. I'm primarily considering delta-neutral option writing, calendar spreads, or statistical arbitrage.**
**Questions for institutional quants/traders here:**
**1. Capacity & Slippage: At 100cr, how are you mitigating impact cost in index options? Are standard TWAP/VWAP execution algos enough, or is custom logic required to hide size?**
**2. Tail-Risk Insurance: A 0.5% monthly DD limit leaves absolutely no room for overnight gap-ups/downs. How are you pricing deep OTM hedges to protect the book without destroying the 1% return target?**
**3. Infrastructure: To maintain this strict risk/reward profile, is NSE colocation (BKC/GIFT City) absolutely necessary, or can a smart execution algo operating via standard FIX protocols handle it?**
**4. Tax Friction: Do the Indian STT (Securities Transaction Tax) and exchange transaction charges kill high-frequency arb models at this scale?**
**Would love to hear how you would architect a strategy around these specific constraints. Thanks!**

**Hi everyone,**
**I’m a quant developer at a Dubai-based prop firm expanding into the Indian Futures and Options (FnO) market. I’ve been handed a strict institutional mandate for our initial strategy build and am looking for structural perspectives from those who trade at scale in the NSE/BSE.**
**The Mandate:**
**Capital: 100 Crore INR (\~$12M USD)**
**Target Return: 1% monthly**
**Max Monthly Drawdown: 0.5% (Very tight)**
**Target Win Rate: \~75%**
**Constraint: Must deploy this size with zero to minimal slippage.**
**Given the scale and liquidity, we're strictly looking at Nifty/Bank Nifty index products. Basic directional plays won't survive the drawdown limit. I'm primarily considering delta-neutral option writing, calendar spreads, or statistical arbitrage.**
**Questions for institutional quants/traders here:**
**1. Capacity & Slippage: At 100cr, how are you mitigating impact cost in index options? Are standard TWAP/VWAP execution algos enough, or is custom logic required to hide size?**
**2. Tail-Risk Insurance: A 0.5% monthly DD limit leaves absolutely no room for overnight gap-ups/downs. How are you pricing deep OTM hedges to protect the book without destroying the 1% return target?**
**3. Infrastructure: To maintain this strict risk/reward profile, is NSE colocation (BKC/GIFT City) absolutely necessary, or can a smart execution algo operating via standard FIX protocols handle it?**
**4. Tax Friction: Do the Indian STT (Securities Transaction Tax) and exchange transaction charges kill high-frequency arb models at this scale?**
**Would love to hear how you would architect a strategy around these specific constraints. Thanks!**