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    sarlagrover
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    The document describes a long-short straddle options strategy involving going long a straddle at a strike of 800 and short a straddle at a strike of 830. The maximum loss of this strategy is calculated to be 27.2. To offset this maximum loss, it is recommended to buy 0.4 units of a bond. Tables with spot prices, call and put values, premiums earned/paid, and profit calculations are shown for both the long and short positions.

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    The document describes a long-short straddle options strategy involving going long a straddle at a strike of 800 and short a straddle at a strike of 830. The maximum loss of this strategy is calculated to be 27.2. To offset this maximum loss, it is recommended to buy 0.4 units of a bond. Tables with spot prices, call and put values, premiums earned/paid, and profit calculations are shown for both the long and short positions.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    9 views6 pages

    FD Assignment

    Uploaded by

    sarlagrover
    The document describes a long-short straddle options strategy involving going long a straddle at a strike of 800 and short a straddle at a strike of 830. The maximum loss of this strategy is calculated to be 27.2. To offset this maximum loss, it is recommended to buy 0.4 units of a bond. Tables with spot prices, call and put values, premiums earned/paid, and profit calculations are shown for both the long and short positions.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 6

    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

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