Determining put price
X1 800 X2
C1 109.6 C2
S1 800 S2
P1 48.09308 P2
r 0.08 r
Spot Price C1 PV of C1 P1 PV of P1 Premium earned/(paid)
600 0 0 200 184.6233 -157.7
700 0 0 100 92.31163 -157.7
800 0 0 0 0 -157.7
900 100 92.31163 0 0 -157.7
1000 200 184.6233 0 0 -157.7
1100 300 276.9349 0 0 -157.7
1200 400 369.2465 0 0 -157.7
The strategy involves a long straddle at 800 and a short straddle at 830. The maximum loss in this long+short straddle strat
the loss.
X1 830 X2
C1 96 C2
S1 800 S2
P1 62.18657 P2
r 0.08 r
Spot Price C1 PV of C1 P1 PV of P1 Premium earned/(paid)
600 0 0 200 184.6233 -144.093077109309
700 0 0 100 92.31163 -144.093077109309
800 0 0 0 0 -144.093077109309
900 70 64.61814 0 0 -144.093077109309
1000 170 156.9298 0 0 -144.093077109309
1100 270 249.2414 0 0 -144.093077109309
1200 370 341.553 0 0 -144.093077109309
Determining put prices
830
96
800
62.1865675009077
0.08
C2 PV of C2 P2 PV of P2 Premium earned/(paid)
0 0 -230 -212.3168 158.2
0 0 -130 -120.0051 158.2
0 0 -30 -27.69349 158.2
-70 -64.618144247 0 0 158.2
-170 -156.92977889 0 0 158.2
-270 -249.24141352 0 0 158.2
-370 -341.55304816 0 0 158.2
he maximum loss in this long+short straddle strategy is 27.2 . Hence we need to but .4 of a bond to offset
the loss.
800
109.6
800
48.0930771093086
0.08
C2 PV of C2 P2 PV of P2 Premium earned/(paid)
0 0 -230 -212.3168 171.786567500908
0 0 -130 -120.0051 171.786567500908
0 0 -30 -27.69349 171.786567500908
-100 -92.311634639 0 0 171.786567500908
-200 -184.62326928 0 0 171.786567500908
-300 -276.93490392 0 0 171.786567500908
-400 -369.24653855 0 0 171.786567500908
PV of Net Profit δB Overall Profit
-27.2 0.4 0
-27.2 0.4 0
-27.2 0.4 0.00
28.2 0.4 56.37396
28.2 0.4 56.37396
28.2 0.4 56.37396
28.2 0.4 56.37396
PV of Net Profit δB Overall Profit
0
0
0
0
0
0
0
Determining put price
X1 800 X2
C1 109.6 C2
S1 800 S2
P1 48.09308 P2
r 0.08 r
Spot Price C1 PV of C1 P1 PV of P1 Premium earned/(paid)
600 0 0 230 212.3168 -158.2
700 0 0 130 120.0051 -158.2
800 0 0 30 27.69349 -158.2
900 70 64.61814 0 0 -158.2
1000 170 156.9298 0 0 -158.2
1100 270 249.2414 0 0 -158.2
1200 370 341.553 0 0 -158.2
The strategy involves a long straddle at 800 and a short straddle at 830. The maximum loss in this long+short straddle strat
the loss.
X1 830 X2
C1 96 C2
S1 800 S2
P1 62.18657 P2
r 0.08 r
Spot Price C1 PV of C1 P1 PV of P1 Premium earned/(paid)
600 0 0 200 184.6233 -144.093077109309
700 0 0 100 92.31163 -144.093077109309
800 0 0 0 0 -144.093077109309
900 70 64.61814 0 0 -144.093077109309
1000 170 156.9298 0 0 -144.093077109309
1100 270 249.2414 0 0 -144.093077109309
1200 370 341.553 0 0 -144.093077109309
Determining put prices
830
96
800
62.1865675009077
0.08
C2 PV of C2 P2 PV of P2 Premium earned/(paid)
0 0 -200 -184.6233 157.7
0 0 -100 -92.31163 157.7
0 0 0 0 157.7
-100 -92.311634639 0 0 157.7
-200 -184.62326928 0 0 157.7
-300 -276.93490392 0 0 157.7
-400 -369.24653855 0 0 157.7
he maximum loss in this long+short straddle strategy is 27.2 . Hence we need to but .4 of a bond to offset
the loss.
800
109.6
800
48.0930771093086
0.08
C2 PV of C2 P2 PV of P2 Premium earned/(paid)
0 0 -230 -212.3168 171.786567500908
0 0 -130 -120.0051 171.786567500908
0 0 -30 -27.69349 171.786567500908
-100 -92.311634639 0 0 171.786567500908
-200 -184.62326928 0 0 171.786567500908
-300 -276.93490392 0 0 171.786567500908
-400 -369.24653855 0 0 171.786567500908
PV of Net Profit δB Overall Profit
27.2 0.4 55.386981
27.2 0.4 55.386981
27.2 0.4 55.39
-28.2 0.4 0.0000000
-28.2 0.4 0
-28.2 0.4 0
-28.2 0.4 0
PV of Net Profit δB Overall Profit
0
0
0
0
0
0
0