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Derivative Practical Assignment

The document outlines various trading strategies involving options, including Protective Put, Long Straddle, Short Strangle, and Strip, with details on strike prices, premiums, maximum profit/loss, and cash market prices. Each strategy is presented with a table showing potential outcomes based on different cash market prices. Key metrics such as break-even points and net payoffs are provided for each strategy.

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3 views2 pages

Derivative Practical Assignment

The document outlines various trading strategies involving options, including Protective Put, Long Straddle, Short Strangle, and Strip, with details on strike prices, premiums, maximum profit/loss, and cash market prices. Each strategy is presented with a table showing potential outcomes based on different cash market prices. Key metrics such as break-even points and net payoffs are provided for each strategy.

Uploaded by

dishadayblog
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd

STRATEGY - PROTECTIVE PUTBUT 1 STOCK OPTION & 1PUT OPTION

CMP - 3000
PUT OPTION STRIKE PRICE - 2800 BREAK EVEN AT 2800 & 3120
PREMIUM - 120 MAX PROFIT - MAX
2380LOSS - 320

CMP Cash Market PUT OPTION Y/N CM P/OFFPUT OPTION P/OFFPREMIUM NET P/OFF
0 0 Y -3000 2800 -120 -320
500 500 Y -2500 2300 -120 -320
1500 1500 Y -1500 1300 -120 -320
2500 2500 Y -500 300 -120 -320
2800 2800 N -200 0 -120 -320
2880 2880 N 120 0 -120 0
3000 3000 N 0 0 -120 -120
3120 3120 N 120 0 -120 0
3500 3500 N 500 0 -120 380
4200 4200 N 1200 0 -120 1080
5000 5000 N 2000 0 -120 1880
5500 5500 N 2500 0 -120 2380

STRATEGY - LONG STRADDLEBUT 1 CALL OPTION & 1 PUT OPTION WITH SAME STRIKE PRICE AND SAME EXPIRY
CMP - 3000
CALL OPTION STRIKE PRICE - 3000 BREAK EVEN AT 2750 & 3250
PUT OPTION STRICKE PRICE - 3000 MAX PROFIT - 2550
CALL PREMIUM - 140 MAX LOSS - 250
PUT PREMIUM - 110

CMP CALL OPTION Y/N PUT OPTION Y/N CALL P/OFF PUT P/OFF PREMIUM NET P/OFF
200 N Y 0 2800 -250 2550
900 N Y 0 2100 -250 1850
1700 N Y 0 1300 -250 1050
2400 N Y 0 600 -250 350
2750 N Y 0 250 -250 0
2900 N Y 0 100 -250 -150
3000 N N 0 0 -250 -250
3150 Y N 150 0 -250 -100
3250 Y N 250 0 -250 0
3600 Y N 600 0 -250 350
4300 Y N 1300 0 -250 1050
5200 Y N 2200 0 -250 1950
STRATEGY - SHORT STRANGLE
WRITE 1 CALL OPTION & WRITE 1 PUT OPTION

CMP - 2500
CALL OPTION STRIKE PRICE - 2400 BREAK EVEN
PUT OPTION STRICKE PRICE - 1800 2560
CALL PREMIUM - 70 1640
PUT PREMIUM - 90 MAX PROFIT = 160
TOTAL PREMIUM - 160 MAX LOSS = 1640

CMP CALL OPTION Y/N PUT OPTION Y/N CALL P/OFF PUT P/OFF PREMIUM NET P/OFF
400 N Y 0 -1400 160 -1240
900 N Y 0 -900 160 -740
1400 N Y 0 -400 160 -240
1640 N Y 0 -160 160 0
1800 N N 0 0 160 160
2100 N N 0 0 160 160
2400 N N 0 0 160 160
2560 Y N -160 0 160 0
2900 Y N -500 0 160 -340
3500 Y N -1100 0 160 -940
4200 Y N -1800 0 160 -1640

STRATEGY - STRIP BUY 1 CALL OPTION & 2 PUT OPTION

CMP - 4200
CALL OPTION STRIKE PRICE - 4200 BREAK EVEN AT 3935 & 4720
PUT OPTION STRICKE PRICE - 4200 MAX PROFIT - 7270
CALL PREMIUM - 210 MAX LOSS - 530
PUT PREMIUM - 160

CMP 1 CALL OPTION Y/N 2 - PUT OPTION Y/N CALL P/OFF 2 - PUT P/OFF PREMIUM NET P/OFF
300 N Y 0 7800 -530 7270
900 N Y 0 6600 -530 6070
1600 N Y 0 5200 -530 4670
3000 N Y 0 2400 -530 1870
3935 N Y 0 530 -530 0
4200 N N 0 0 -530 -530
4400 Y N 200 0 -530 -330
4730 Y N 530 0 -530 0
5200 Y N 1000 0 -530 470
6000 Y N 1800 0 -530 1270
7000 Y N 2800 0 -530 2270

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