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  • Assignment Details Strategy Details: Name Roll No. Section Batch Company Chosen NATIONAL ALUMINIUM Company (NALCO)

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    Harshit Gupta
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    1) Most of the strategies are giving losses because of lack of liquidity and wide spreads between bid and ask prices. 2) The strategies with long positions like long straddle, long strangle, strip and strap resulted in losses of around Rs. 7-12 lakhs due to the falling prices. 3) Short positions like short straddle and short strangle gained profits of around Rs. 7-8 lakhs as the prices fell.

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    1) Most of the strategies are giving losses because of lack of liquidity and wide spreads between bid and ask prices. 2) The strategies with long positions like long straddle, long strangle, strip and strap resulted in losses of around Rs. 7-12 lakhs due to the falling prices. 3) Short positions like short straddle and short strangle gained profits of around Rs. 7-8 lakhs as the prices fell.

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    11 views29 pages

    Assignment Details Strategy Details: Name Roll No. Section Batch Company Chosen NATIONAL ALUMINIUM Company (NALCO)

    Uploaded by

    Harshit Gupta
    1) Most of the strategies are giving losses because of lack of liquidity and wide spreads between bid and ask prices. 2) The strategies with long positions like long straddle, long strangle, strip and strap resulted in losses of around Rs. 7-12 lakhs due to the falling prices. 3) Short positions like short straddle and short strangle gained profits of around Rs. 7-8 lakhs as the prices fell.

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    © All Rights Reserved
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    of 29

    Assignment Details Strategy D

    Name Kaveti Hruday KIRAN Sl.No. Name of Strate


    Roll No. 76 1 Long Straddle
    Section B 2 Short Straddle
    Batch 2019-21 3 Long Strangle
    Company Chosen NATIONAL ALUMINIUM Company (NALCO) 4 Short Strangle
    Beginning Price ₹ 36.35 5 Strip
    Closing Price ₹ 34.70 6 Strap
    7 Bull Spread using call
    8 Bull Spread using put
    9 Bear Spread using call
    10 Bear Spread using put
    11 Butterfly Spread using ca
    12 Butterfly Spread using pu
    13 Condor Spread using call
    14 Condor Spread using put
    15 Condor Spread using call
    16 Calendar Spread
    17 Diagonal Spread
    18 Box Spread
    Total P
    Summary:
    1) Most of the strategies are giving loses because of lack of liquidity. There is a very wide spread between Bid pr
    2) Further the Lot size is also very big adding to the woes.
    Strategy Details
    Name of Strategy Profit/Loss
    Long Straddle -47.05
    Short Straddle 42.05
    Long Strangle -47.00
    Short Strangle 50.70
    Strip -66.15
    Strap -75.00
    Bull Spread using call -12.05
    Bull Spread using put -12.10
    Bear Spread using call 0.35
    Bear Spread using put 8.45
    Butterfly Spread using call -5.70
    Butterfly Spread using put -5.35
    Condor Spread using call -13.60
    Condor Spread using put -4.95
    Condor Spread using call and put -14.00
    Calendar Spread 0.00
    Diagonal Spread 0.00
    Box Spread -2.45
    Total Profit/Loss -203.85

    ide spread between Bid price and ask price.


    Price as on 05 September 2020

    Strike call put Strike


    650 DOTM 18.75 31.3 610 DOTM
    640 OTM 23.25 25.55 620 OTM
    Buy Offer price
    630 ATM 28.85 20.55 630 ATM
    620 ITM 34.75 16.25 640 ITM
    610 DITM 41.35 12.75 650 DITM
    650 DOTM 18.25 30.2 610 DOTM
    640 OTM 22.4 24.5 620 OTM
    sell Bid price 630 ATM 26.65 19.8 630 ATM
    620 ITM 25.05 15.65 640 ITM
    610 DITM 37.95 12.25 650 DITM
    Deep out of money

    Deep in the money


    Price as on 15th september 2020 After closing of tomorrow, update the prices acco

    Strike call put Strike


    38 DOTM 0.7 0.95 34 DOTM
    37 OTM 0.95 1.4 35 OTM
    Buy Offer price
    36 ATM 1.35 3.05 36 ATM
    35 ITM 1.9 3.55 37 ITM
    34 DITM 2.7 4.25 38 DITM
    38 DOTM 0.65 0.85 34 DOTM
    37 OTM 0.45 1.35 35 OTM
    sell Bid price 36 ATM 0.9 1.45 36 ATM
    35 ITM 1.25 1.6 37 ITM
    34 DITM 1.8 3.05 38 DITM
    rrow, update the prices accordingly. I took Friday's price. Cells are linked, so will be updated automatically
    Long Straddle
    Construction
    Leg 1: Buy 1 ATM Call
    Leg 2: Buy 1 ATM Put
    at the same exercise price
    and the same exercise date

    Calculation
    Contract Size 1 Lot
    Strike Price 630.00
    Cost of Strategy 49.40 Net of What you are paying
    Closing strategy on 15th sep -2.35 Net of What you are getting at closing
    Closing Price 34.70
    Profit/Loss 47.05

    On 05th September
    ATM Call 28.85
    ATM Put 20.55

    On 15th september
    ATM Call 0.9
    ATM Put 1.45

    Lot size 17000

    Profit/loss -799850
    Short Straddle
    Construction
    Leg 1: Sell 1 ATM Call
    Leg 2: Sell 1 ATM Put
    at the same exercise price
    and the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price 630.00
    Cost of Strategy -46.45
    Closing strategy on 15th sept 4.40
    Closing Price 34.70
    Profit/Loss -42.05

    On 05th September
    ATM Call 26.65
    ATM Put 19.8

    On 15th september
    ATM Call 1.35
    ATM Put 3.05

    Lot size 17000

    Profit/loss 714850
    Long Strangle
    Construction
    Leg 1: Buy 1 OTM Call
    Leg 2: Buy 1 OTM Put
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for Call 640.00
    Strike Price for Put 620.00
    Cost of Strategy 48.80
    Closing strategy on 15th sept -1.80
    Closing Price 34.70
    Profit/Loss 47.00

    On 05th September
    OTM Call 23.25
    OTM Put 25.55

    On 15th september
    OTM Call 0.45
    OTM Put 1.35

    Lot size 17000

    Profit/loss -799000
    Short Strangle
    Construction
    Leg 1: Sell 1 OTM Call
    Leg 2: Sell 1 DOTM Put
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for Call 640.00
    Strike Price for Put 610.00
    Cost of Strategy -52.60
    Closing strategy on 15th sept 1.90
    Closing Price 34.70
    Profit/Loss -50.70

    On 05th September
    OTM Call 22.4
    DOTM Put 30.2

    On 15th september
    OTM Call 0.95
    OTM Put 0.95

    Lot size 17000

    Profit/loss 861900
    Strip
    Construction
    Leg 1: Buy 1 ATM Call
    Leg 2: Buy 1 ATM Put
    Leg 3: Buy 1 ATM Put
    at the same exercise price
    and the same exercise date

    Calculation
    Contract Size 1 Lot
    Strike Price 630.00
    Cost of Strategy 69.95
    Closing strategy on 15th sep -3.80
    Closing Price 34.70
    Profit/Loss 66.15

    On 05th September
    ATM Call 28.85
    ATM Put 20.55

    On 15th september
    ATM Call 0.9
    ATM Put 1.45

    Lot size 17000

    Profit/loss -1124550
    Strap
    Construction
    Leg 1: Buy 1 ATM Call
    Leg 2: Buy 1 ATM Call
    Leg 3: Buy 1 ATM Put
    at the same exercise price
    and the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price 630.00
    Cost of Strategy 78.25
    Closing strategy on 15th sept -3.25
    Closing Price 34.70
    Profit/Loss 75.00

    On 05th September
    ATM Call 28.85
    ATM Put 20.55

    On 15th september
    ATM Call 0.9
    ATM Put 1.45

    Lot size 17000

    Profit/loss -1275000
    Bull Spread using Call
    Construction

    Leg 1: Buy 1 ITM Call


    Leg 2: Sell 1 OTM Call
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for ITM Call 620.00
    Strike Price for OTM Call 640.00
    Cost of Strategy 12.35
    Closing strategy on 15th sept -0.30
    Closing Price 34.70
    Profit/Loss 12.05

    On 05th September
    ITM Call 34.75
    OTM Call 22.4

    On 15th september
    ITM Call 1.25
    OTM Call 0.95

    Lot size 17000

    Profit/loss -204850
    Bull Spread using Put
    Construction

    Leg 1: Buy 1 OTM Put


    Leg 2: Sell 1 ITM Put
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for ITM Call 640.00
    Strike Price for OTM Call 620.00
    Cost of Strategy 9.9
    Closing strategy on 15th sept 2.2
    Closing Price 34.70
    Profit/Loss 12.10

    On 05th September
    OTM put 25.55
    ITM put 15.65

    On 15th september
    OTM put 1.35
    ITM put 3.55

    Lot size 17000

    Profit/loss -205700
    Bear Spread using Call
    Construction

    Leg 1: Sell 1 ITM Call


    Leg 2: Buy 1 OTM Call
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for ITM Call 620.00
    Strike Price for OTM Call 640.00
    Cost of Strategy -1.80
    Closing strategy on 15th sept 1.45
    Closing Price 34.70
    Profit/Loss -0.35

    On 05th September
    ITM Call 25.05
    OTM call 23.25

    On 15th september
    ITM Call 1.9
    OTM call 0.45

    Lot size 17000

    Profit/loss 5950
    Bear Spread using Put
    Construction

    Leg 1: Buy 1 ITM Put


    Leg 2: Sell 1 OTM Put
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for ITM Put 640.00
    Strike Price for OTM Put 620.00
    Cost of Strategy -8.25
    Closing strategy on 15th sept -0.20
    Closing Price 34.70
    Profit/Loss -8.45

    On 05th September
    ITM put 16.25
    OTM put 24.5

    On 15th september
    ITM put 1.6
    OTM put 1.4

    Lot size 17000

    Profit/loss 143650
    Butterfly Spread using Call
    Construction
    Leg 1: Buy 1 ITM Call
    Leg 2: Sell 1 ATM Call
    Leg 3: Sell 1 ATM Call
    Leg 4: Buy 1 OTM Call
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for Call 1 640.00
    Strike Price for Call 2 630.00
    Strike Price for Call 3 630.00
    Strike Price for Call 4 620.00
    Cost of Strategy 4.70
    Closing strategy on 15th sept 1.00
    Closing Price 34.70
    Profit/Loss 5.70

    On 05th September
    ITM Call 34.75
    ATM call 26.65
    OTM call 23.25
    On 15th september
    ITM Call 1.25
    ATM call 1.35
    OTM call 0.45
    Lot size 17000

    Profit/loss -96900
    Butterfly Spread using Put
    Construction
    Leg 1: Buy 1 OTM Put
    Leg 2: Sell 1 ATM Put
    Leg 3: Sell 1 ATM Put
    Leg 4: Buy 1 ITM Put
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for Call 1 620.00
    Strike Price for Call 2 630.00
    Strike Price for Call 3 630.00
    Strike Price for Call 4 640.00
    Cost of Strategy 2.20
    Closing strategy on 15th sept 3.15
    Closing Price 34.70
    Profit/Loss 5.35

    On 05th September
    ITM put 16.25
    ATM Put 19.8
    OTM put 25.55
    On 15th september
    ITM Call 1.6
    ATM call 3.05
    OTM call 1.35
    Lot size 17000

    Profit/loss -90950
    Condor Spread using Call
    Construction
    Leg 1: Buy 1 DITM Call
    Leg 2: Sell 1 ITM Call
    Leg 3: Sell 1 OTM Call
    Leg 4: Buy 1 DOTM Call
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for Call 1 610.00
    Strike Price for Call 2 620.00
    Strike Price for Call 3 640.00
    Strike Price for Call 4 650.00
    Cost of Strategy 12.65
    Closing strategy on 15th sept 0.95
    Closing Price 34.70
    Profit/Loss 13.60

    On 05th September
    DITM Call 41.35
    ITM Call 25.05
    OTM Call 22.4
    DOTM call 18.75
    On 15th september
    DITM Call 1.25
    ITM Call 1.9
    OTM Call 0.95
    DOTM call 0.65
    Lot size 17000

    Profit/loss -231200
    Condor Spread using Put
    Construction
    Leg 1: Buy 1 DOTM Put
    Leg 2: Sell 1 OTM Put
    Leg 3: Sell 1 ITM Put
    Leg 4: Buy 1 DITM Put
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for Call 1 610.00
    Strike Price for Call 2 620.00
    Strike Price for Call 3 640.00
    Strike Price for Call 4 650.00
    Cost of Strategy 3.90
    Closing strategy on 15th sept 1.05
    Closing Price 34.70
    Profit/Loss 4.95

    On 05th September
    DOTM put 31.3
    OTM put 24.5
    ITM put 15.65
    DITM put 12.75
    On 15th september
    DOTM put 0.85
    OTM put 1.4
    ITM put 3.55
    DITM put 3.05
    Lot size 17000

    Profit/loss -84150
    Condor Spread using Call & Put
    Construction
    Leg 1: Buy 1 DITM Call
    Leg 2: Sell 1 ITM Call
    Leg 3: Sell 1 ITM Put
    Leg 4: Buy 1 DITM Put
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for Call 1 610.00
    Strike Price for Call 2 620.00
    Strike Price for Put 3 640.00
    Strike Price for Put 4 650.00
    Cost of Strategy 13.40
    Closing strategy on 15th se 0.60
    Closing Price 34.70
    Profit/Loss 14.00

    On 05th September
    DITM Call 41.35
    ITM Call 25.05
    ITM Put 15.65
    DITM Put 12.75
    On 15th september
    DITM Call 1.8
    ITM Call 1.9
    ITM Put 3.55
    DITM Put 3.05
    Lot size 17000

    Profit/loss -238000
    Calendar Spread
    Construction
    Different Exercise dates. So didn't execute
    Leg 1: Buy 1 ATM Call
    Leg 2: Sell 1 ATM Call
    at the same exercise price
    but different exercise dates

    Calculation
    Contract Size
    Strike Price for Call 1
    Cost of Strategy
    Closing Price
    Profit/Loss
    Diagonal Spread
    Construction
    Leg 1: Buy 1 ATM Call Different Exercise dates, so didn't execute
    Leg 2: Sell 1 ATM Call
    at the different exercise prices
    but different exercise dates

    Calculation
    Contract Size 1 Share
    Strike Price for Call 1 785.00
    Strike Price for Call 2 795.00
    Cost of Strategy -6.72
    Closing Price 808.30
    Profit/Loss 16.72
    Box Spread
    Construction
    Leg 1: Buy 1 DITM Call
    Leg 2: Sell 1 DOTM Put
    Leg 3: Sell 1 DOTM Call
    Leg 4: Buy 1 DITM Put
    at the same exercise date

    Calculation
    Contract Size 1 lot
    Strike Price for Call 1 610.00
    Strike Price for Put 2 610.00
    Strike Price for Call 3 650.00
    Strike Price for Put 4 650.00
    Cost of Strategy 5.65
    Closing strategy on 15th se -3.20
    Closing Price 34.70
    Profit/Loss 2.45

    On 05th September
    DITM Call 41.35
    DOTM Put 30.2
    DOTM call 18.25
    DITM Put 12.75
    On 15th september
    DITM Call 1.8
    DOTM Put 0.95
    DOTM call 0.7
    DITM Put 3.05
    Lot size 17000

    Profit/loss -41650

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