Assignment Details Strategy Det

Name Nikita Tayal Sl.No. Name of Strategy

Roll No. 32 1 Long Straddle
Section B 2 Short Straddle
Batch 2019-21 3 Long Strangle
Company Chosen Larsen & Toubro 4 Short Strangle
Beginning Price ₹ 932.15 5 Strip
Closing Price ₹ 899.65 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 call
12 Butterfly Spread using put
13 Condor Spread using call
14 Condor Spread using put
15 Condor Spread using call a
16 Box Spread
Total Profit/
 Strategy Details
Name of Strategy Profit/Loss
Long Straddle -20.40
Short Straddle 19.80
Long Strangle -23.55 Note: As the Exercise dates are different, So didn't execute strategy for Ca
Short Strangle 23.20 profit/loss will be multiplied by lot size of Larsen and Toubro i.e. 550
Strip -12.60
Strap -48.60
Bull Spread using call -18.05
Bull Spread using put -18.30
Bear Spread using call 17.60
Bear Spread using put 17.65
Butterfly Spread using call -0.20
Butterfly Spread using put -2.80
Condor Spread using call -18.50
Condor Spread using put -19.10
Condor Spread using call and put -19.25
Box Spread 81.50
Total Profit/Loss -41.60
t execute strategy for Calendar Spread & Diagonal Spread. The per share
arsen and Toubro i.e. 550 to reach at the final figure of INR 22,880.
Price as on 7th September 2020
Price as on 18 September 2020
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 Share
Strike Price 940.00
Cost of Strategy 60.75
Closing Price 899.65
Profit/Loss -20.40
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 Share
Strike Price 940.00
Cost of Strategy -60.15
Closing Price 899.65
Profit/Loss 19.80
Long Strangle
Construction
Leg 1: Buy 1 OTM Call
Leg 2: Buy 1 OTM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 960.00
Strike Price for Put 920.00
Cost of Strategy 43.90
Closing Price 899.65
Profit/Loss -23.55
Short Strangle
Construction
Leg 1: Sell 1 OTM Call
Leg 2: Sell 1 OTM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 960.00
Strike Price for Put 920.00
Cost of Strategy -43.55
Closing Price 899.65
Profit/Loss 23.20
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 Share
Strike Price for Call 940.00
Cost of Strategy 93.30
Closing Price 899.65
Profit/Loss -12.60
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 Share
Strike Price for Call 940.00
Cost of Strategy 88.95
Closing Price 899.65
Profit/Loss -48.60
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 Share
Strike Price for Call 1 920.00
Strike Price for Call 2 960.00
Cost of Strategy -17.60
Closing Price 899.65
Profit/Loss 17.60
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 Share
Strike Price for ITM Call 920.00
Strike Price for OTM Call 960.00
Cost of Strategy 18.05
Closing Price 899.65
Profit/Loss -18.05
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 Share
Strike Price for Put 1 920.00
Strike Price for Put 2 960.00
Cost of Strategy -21.70
Closing Price 899.65
Profit/Loss -18.30
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 Share
Strike Price for Put 1 960.00
Strike Price for Put 2 920.00
Cost of Strategy 22.35
Closing Price 899.65
Profit/Loss 17.65
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 Share
Strike Price for Call 1 920.00
Strike Price for Call 2 940.00
Strike Price for Call 3 940.00
Strike Price for Call 4 960.00
Cost of Strategy 0.20
Closing Price 899.65
Profit/Loss -0.20
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 Share
Strike Price for Put 1 920.00
Strike Price for Put 2 940.00
Strike Price for Put 3 940.00
Strike Price for Put 4 980.00
Cost of Strategy 22.80
Closing Price 899.65
Profit/Loss -2.80
Condor Spread using Call

Construction
Leg 1: Buy 1 ITM Call
Leg 2: Sell 1 ITM Call
Leg 3: Sell 1 OTM Call
Leg 4: Buy 1 OTM Call
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 1 900.00
Strike Price for Call 2 920.00
Strike Price for Call 3 980.00
Strike Price for Call 4 960.00
Cost of Strategy 18.50
Closing Price 899.65
Profit/Loss -18.50
Condor Spread using Put

Construction
Leg 1: Buy 1 OTM Put
Leg 2: Sell 1 OTM Put
Leg 3: Sell 1 ITM Put
Leg 4: Buy 1 ITM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Put 1 900.00
Strike Price for Put 2 920.00
Strike Price for Put 3 980.00
Strike Price for Put 4 960.00
Cost of Strategy -20.90
Closing Price 899.65
Profit/Loss -19.10
Condor Spread using Call & Put

Construction
Leg 1: Buy 1 ITM Call
Leg 2: Sell 1 ITM Call
Leg 3: Sell 1 ITM Put
Leg 4: Buy 1 ITM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 1 900.00
Strike Price for Call 2 920.00
Strike Price for Put 1 980.00
Strike Price for Put 2 960.00
Cost of Strategy -0.75
Closing Price 899.95
Profit/Loss -19.25
Box Spread

Construction
Leg 1: Buy 1 ITM Call
Leg 2: Sell 1 OTM Put
Leg 3: Sell 1 OTM Call
Leg 4: Buy 1 ITM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 1 900.00
Strike Price for Put 1 920.00
Strike Price for Call 2 980.00
Strike Price for Put 2 960.00
Cost of Strategy -41.50
Closing Price 899.65
Profit/Loss 81.50
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