Payoff Formula Inputs and Outputs (call o

In the above example you can identify several inputs that our payoff formul

1. Strike price of the option = 45

2. Initial price for which we have bought the option = 2.35
3. Underlying price for which we want to calculate the profit or loss = 49

The output is the profit or loss that we want to calculate.

Call Option Value Formula

Call Option Profit or Loss Formula
puts (call option)
our payoff formula will take – they are the numbers we already know:

45
2.35
ofit or loss = 49 49

1.65
Payoff Formula Inputs and Outputs (put o
In the above example you can identify several inputs that our payoff formul

1. Strike price of the option = 45

2. Initial price for which we have bought the option = 2.35
3. Underlying price for which we want to calculate the profit or loss = 49

The output is the profit or loss that we want to calculate.

Call Option Value Formula

Call Option Profit or Loss Formula
puts (put option)
our payoff formula will take – they are the numbers we already know:

45
2.35
ofit or loss = 49 49

-2.35
Merging Call and Put Payoff Ca
Enter call or put
1. Strike price of the option = 45
2. Initial price for which we have bought the option = 2.35
3. Underlying price for which we want to calculate the profit or loss = 49
The output is the profit or loss that we want to calculate.

Option Value Formula

Option Profit or Loss Formula
ayoff Calculations
call
45
2.35
ofit or loss = 49 49

1.65
Merging Call and Put Payoff Ca
Enter call or put
1. Strike price of the option = 45
2. Initial price for which we have bought the option = 2.35
3. Underlying price for which we want to calculate the profit or loss = 49
4. Contract size (how many shares one option contract represents)
5. Position size (number of contracts we are holding)
6. Direction (long or short)
The output is the profit or loss that we want to calculate.

Option Value Formula

Option Profit or Loss Formula
Contract Value Formula
Contract Profit or Loss Formula
ayoff Calculations
call call
45 put
2.35
ofit or loss = 49 49
presents) 25
-1 (add minus sign for short/sell)

1.65

-100

-41.25
strategy Call and Put Payoff Ca
Enter call or put
1. Strike price of the option = 45
2. Initial price for which we have bought the option = 2.35
3. Underlying price for which we want to calculate the profit or loss = 49
4. Contract size (how many shares one option contract represents)
5. Position size (number of contracts we are holding)
6. Direction (long or short) (add minus sign for short/sell)
The output is the profit or loss that we want to calculate.

Option Value Formula

Option Profit or Loss Formula
Contract Value Formula
Contract Profit or Loss Formula
ayoff Calculations
call call call call call
45 45 45 45 put
2.35 2.35 2.35 2.35
ofit or loss = 49 49 49 49 49
presents) 25 25 25 25
1 1 1 1
-1 1 -1 1

4 4 4 4

1.65 1.65 1.65 1.65

-100 100 -100 100

-41.25 41.25 -41.25 41.25 0

strategy with chart Call and Pu
Enter call or put
1. Strike price of the option
2. Initial price for which we have bought the option
3. Underlying price for which we want to calculate the profit or loss
4. Contract size (how many shares one option contract represents)
5. Position size (number of contracts we are holding)
6. Direction (long or short) (add minus sign for short/sell)
The output is the profit or loss that we want to calculate.

Option Value Formula

Option Profit or Loss Formula
Contract Value Formula
Contract Profit or Loss Formula
 and Put Payoff Calculations
put put call call call
45 50 55 60 put
0.95 2.75 2.65 0.8 chart incr
ofit or loss 54 54 54 54 chart start
presents) 100 100 100 100
5 5 5 5 2000
1 -1 -1 1

1500

0 0 0 0 0 1000

-0.95 2.75 2.65 -0.8 3.65

500

0 0 0 0 0

-475 1375 1325 -400 1825 0

1 4

underlying leg1 leg2 leg3 leg4 -500

40 2025 -3625 1325 -400 -675
40.5 1775 -3375 1325 -400 -675
41 1525 -3125 1325 -400 -675 -1000

41.5 1275 -2875 1325 -400 -675

42 1025 -2625 1325 -400 -675
42.5 775 -2375 1325 -400 -675
43 525 -2125 1325 -400 -675
43.5 275 -1875 1325 -400 -675
44 25 -1625 1325 -400 -675
44.5 -225 -1375 1325 -400 -675
45 -475 -1125 1325 -400 -675
45.5 -475 -875 1325 -400 -425
46 -475 -625 1325 -400 -175
46.5 -475 -375 1325 -400 75
47 -475 -125 1325 -400 325
47.5 -475 125 1325 -400 575
48 -475 375 1325 -400 825
48.5 -475 625 1325 -400 1075
49 -475 875 1325 -400 1325
49.5 -475 1125 1325 -400 1575
50 -475 1375 1325 -400 1825
50.5 -475 1375 1325 -400 1825
51 -475 1375 1325 -400 1825
51.5 -475 1375 1325 -400 1825
52 -475 1375 1325 -400 1825
52.5 -475 1375 1325 -400 1825
53 -475 1375 1325 -400 1825
53.5 -475 1375 1325 -400 1825
54 -475 1375 1325 -400 1825
54.5 -475 1375 1325 -400 1825
55 -475 1375 1325 -400 1825
55.5 -475 1375 1075 -400 1575
56 -475 1375 825 -400 1325
56.5 -475 1375 575 -400 1075
57 -475 1375 325 -400 825
57.5 -475 1375 75 -400 575
58 -475 1375 -175 -400 325
58.5 -475 1375 -425 -400 75
59 -475 1375 -675 -400 -175
59.5 -475 1375 -925 -400 -425
60 -475 1375 -1175 -400 -675
60.5 -475 1375 -1425 -150 -675
61 -475 1375 -1675 100 -675
61.5 -475 1375 -1925 350 -675
 0.5
40

2000

1500

1000

500 Column Q

0
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43

-500

-1000
strategy with chart Call and Pu
Enter call or put
1. Strike price of the option
2. Initial price for which we have bought the option
3. Underlying price for which we want to calculate the profit or loss
4. Contract size (how many shares one option contract represents)
5. Position size (number of contracts we are holding)
6. Direction (long or short) (add minus sign for short/sell)
The output is the profit or loss that we want to calculate.

Option Value Formula

Option Profit or Loss Formula
Contract Value Formula
Contract Profit or Loss Formula
 and Put Payoff Calculations
put put call call
0 0 0 15750
0 0 0 115.95
ofit or loss 0 0 0 15862
presents) 0 0 0 75
1 1 1 1
1 -1 -1 1

0 0 0 112 112

0 0 0 -3.95 -3.95

0 0 0 8400 8400

0 0 0 -296.25 -296.25

underlying leg1 leg2 leg3 leg4

15400 0 0 0 -8696.25 -8696.25

15450 0 0 0 -8696.25 -8696.25
15500 0 0 0 -8696.25 -8696.25
15550 0 0 0 -8696.25 -8696.25
15600 0 0 0 -8696.25 -8696.25
15650 0 0 0 -8696.25 -8696.25
15700 0 0 0 -8696.25 -8696.25
15750 0 0 0 -8696.25 -8696.25
15800 0 0 0 -4946.25 -4946.25
15850 0 0 0 -1196.25 -1196.25
15900 0 0 0 2553.75 2553.75
15950 0 0 0 6303.75 6303.75
16000 0 0 0 10053.75 10053.75
16050 0 0 0 13803.75 13803.75
16100 0 0 0 17553.75 17553.75
16150 0 0 0 21303.75 21303.75
16200 0 0 0 25053.75 25054
16250 0 0 0 28803.75 28804
16300 0 0 0 32553.75 32553.75
16350 0 0 0 36303.75 36304
16400 0 0 0 40053.75 40054
16450 0 0 0 43803.75 43804
16500 0 0 0 47553.75 47553.75
16550 0 0 0 51303.75 51303.75
16600 0 0 0 55053.75 55054
16650 0 0 0 58803.75 58804
16700 0 0 0 62553.75 62553.75
16750 0 0 0 66303.75 66304
16800 0 0 0 70053.75 70054
16850 0 0 0 73803.75 73804
16900 0 0 0 77553.75 77553.75
16950 0 0 0 81303.75 81303.75
17000 0 0 0 85053.75 85054
17050 0 0 0 88803.75 88804
17100 0 0 0 92553.75 92553.75
17150 0 0 0 96303.75 96304
17200 0 0 0 100054 100054
17250 0 0 0 103804 103804
17300 0 0 0 107553.75 107554
17350 0 0 0 111303.75 111304
17400 0 0 0 115053.75 115054
17450 0 0 0 118804 118804
17500 0 0 0 122553.75 122554
17550 0 0 0 126304 126304
ons
call

put

chart increment 50
chart start 15400

2000
1825
1825
1825
1825
1825
1825
1825
1825
1825
1825
1825

1575 1575
1500
1325 1325

1075 1075
1000

825 825

575 575
500 Column Q
325 325

75 75
0
1 3 5 7 9 1 1 1 3 1 5 1 7 1 9 21 23 25 27 29 31 3 3 3 5 3 7 3 9 4 1 4 3
-175 -175

-425 -425
-500
-675
-675
-675
-675
-675
-675
-675
-675
-675
-675
-675 -675
-675
-675
-675

-1000
 Column Q

5
 CALLS data dated 14-07-2021 @ 3.15
OI CHNG IN OVOLUME IV LTP CHNG BID QTY BID PRICE ASK PRICE
- - - - - - 75 2,631.05 2,691.50
- - - - - - 75 2,581.75 2,643.55
- - - - - - 75 2,523.25 2,625.00
- - - - - - 75 2,473.10 2,576.95
- - - - - - 75 2,423.25 2,524.25
- - - - - - 75 2,373.40 2,462.85
- - - - - - 75 2,332.45 2,395.10
- - - - - - 75 2,274.40 2,362.10
- - - - - - 75 2,224.20 2,320.15
- - - - - - 75 2,175.20 2,268.30
- - - - - - 75 2,125.35 2,217.10
- - - - - - 1,500 2,023.30 2,178.10
- - - - - - 75 2,025.40 2,106.50
- - - - - - 75 1,975.85 2,062.95
- - - - - - 75 1,925.90 2,009.90
- - - - - - 75 1,876.20 1,951.25
19 -2 3- 1,841.40 136.4 2,850 1,818.55 1,929.15
- - - - - - 75 1,775.45 1,848.20
- - - - - - 75 1,726.55 1,810.90
- - - - - - 75 1,676.25 1,745.40
- - - - - - 75 1,634.10 1,684.35
- - - - - - 75 1,580.85 1,635.65
- - - - - - 75 1,533.15 1,579.95
- - - - - - 75 1,479.85 1,530.20
2- - - - - 4,950 1,440.50 1,478.60
- - - - - - 75 1,392.95 1,435.95
17 6 10 - 1,360.00 87.85 75 1,349.15 1,357.30
3 1 4- 1,304.85 57.7 75 1,291.30 1,311.00
1- - - - - 750 1,240.00 1,258.40
3 1 2- 1,129.20 72.25 75 1,188.60 1,211.50
17 - 1- 1,093.00 -4.1 300 1,148.85 1,158.30
2- - - - - 1,500 1,093.40 1,108.10
16 - - - - - 1,125 1,050.75 1,056.75
2- - - - - 75 993.7 1,017.55
4- - - - - 5,250 942.8 957.55
4- - - - - 1,500 900.75 917.45
194 -14 42 - 866.3 49.35 225 854.5 857.25
36 - 2- 728 -42 150 800.15 808.15
71 -5 9- 763.25 55.25 7,125 751.55 757.65
29 - - - - - 5,400 703.2 707.9
79 -10 30 - 662 45.6 1,125 654.2 657.45
15 - 16 - 594.8 38.8 450 601 607.25
266 -27 293 - 560 40.45 2,250 555.05 557.45
 43 -1 20 - 516.6 48.45 3,525 501.85 508.05
745 -171 778 - 459 39.2 75 455.6 457.3
354 -5 136 - 408 41.55 75 406.3 407.15
8,614 5,527 12,556 - 360.25 40.85 75 357.45 358.25
3,194 -26 2,074 - 308.1 36.7 75 307.9 308.65
4,147 -1,465 34,099 - 260.75 36.25 75 260.25 260.7
2,299 -612 27,785 - 209.45 31.75 225 209.25 209.7
16,775 -7,059 242,670 - 161.65 26.95 75 161.7 162.05
12,584 -2,689 295,361 10.55 115.95 20.8 150 115.65 115.95
49,740 -6,315 1,356,602 10.93 74.25 12.65 450 74.2 74.3
40,001 2,755 1,051,153 10.39 39.7 4.25 150 39.55 39.65
80,964 20,455 1,635,553 10.23 17 -0.95 9,300 17 17.1
48,677 1,601 732,200 9.99 5.75 -1.95 10,200 5.7 5.75
85,059 13,219 855,842 10.89 2.6 -1.4 40,950 2.6 2.65
17,964 1,901 199,350 12.23 1.5 -0.9 6,375 1.5 1.55
52,061 6,999 318,513 14.21 1.1 -0.8 10,650 1.1 1.15
11,647 131 66,847 16.27 0.95 -0.75 14,175 0.95 1
38,284 -9,560 236,028 18.25 0.8 -0.7 79,500 0.8 0.85
4,509 -2,180 18,508 20.22 0.7 -0.65 11,625 0.7 0.75
29,190 -3,323 92,307 22.27 0.65 -0.5 42,750 0.65 0.7
2,636 -162 4,892 24.48 0.65 -0.5 225 0.6 0.7
16,240 -1,243 45,908 26.15 0.5 -0.55 35,100 0.5 0.55
1,389 176 2,201 27.97 0.55 -0.45 600 0.5 0.6
31,965 -6,513 93,250 28.99 0.35 -0.5 249,150 0.35 0.4
992 206 2,530 31.38 0.45 -0.5 225 0.35 0.5
5,474 -67 14,406 33.38 0.35 -0.45 17,475 0.35 0.4
471 158 426 35.35 0.55 -0.3 300 0.45 0.55
4,714 -891 10,879 37.31 0.4 -0.35 900 0.4 0.45
478 25 183 40.11 0.5 -0.35 150 0.45 0.6
3,562 189 9,676 40.68 0.4 -0.35 4,350 0.35 0.4
33 12 65 40.64 0.3 -0.35 4,575 0.2 0.3
2,327 390 5,356 43.86 0.35 -0.35 10,800 0.3 0.35
109 -2 34 46.32 0.4 -0.35 300 0.3 0.45
19,185 -7,516 31,731 46.03 0.2 -0.4 396,525 0.15 0.2
27 -20 4,712 45.67 0.2 -0.3 3,450 0.15 0.2
3,189 -49 4,030 48.57 0.15 -0.35 100,950 0.1 0.15
113 -21 180 49.05 0.15 -0.25 75 0.2 0.35
4,188 -59 6,401 49.06 0.15 -0.25 46,650 0.1 0.15
224 -40 70 50.68 0.1 -0.35 75 0.15 0.25
9,563 -424 8,546 54.05 0.1 -0.25 187,950 0.1 0.15
547 -137 783 59.19 0.3 - 75 0.2 0.25
9,997 -900 8,270 55.48 0.1 -0.2 60,825 0.1 0.15
ted 14-07-2021 @ 3.15 nifty 15862 PUTS
ASK QTY STRIKE PRIBID QTY BID PRICE ASK PRICE ASK QTY CHNG LTP IV VOLUME
75 13,200.00 156,375 0.05 0.1 103,650 -0.15 0.05 109.75 7,982
75 13,250.00 2,175 0.2 0.35 5,400 -0.05 0.2 110.13 2,057
75 13,300.00 18,300 0.15 0.2 6,450 -0.1 0.15 108 1,459
75 13,350.00 3,900 0.1 0.15 750 -0.2 0.1 103.48 2,424
75 13,400.00 39,675 0.15 0.2 12,375 -0.1 0.15 101.4 2,999
75 13,450.00 75 0.25 0.4 3,000 0.15 0.35 106.55 3,768
75 13,500.00 28,875 0.15 0.2 12,675 -0.1 0.15 97.26 5,626
75 13,550.00 75 0.25 0.3 225 - 0.25 100.8 4,421
75 13,600.00 7,800 0.15 0.2 4,500 -0.05 0.25 93.13 1,977
75 13,650.00 225 0.15 0.4 150 0.15 0.4 98.97 26
75 13,700.00 225 0.3 0.5 3,450 -0.05 0.45 96.76 2,372
2,850 13,750.00 150 0.25 0.7 3,000 -0.25 0.4 94.57 3
75 13,800.00 4,425 0.3 0.45 225 -0.15 0.35 91.26 3,294
75 13,850.00 225 0.25 0.75 5,250 -0.1 0.25 86.5 20
75 13,900.00 75 0.35 0.5 450 -0.3 0.3 88 1,699
75 13,950.00 225 0.2 0.3 75 -0.2 0.3 83.61 11
2,850 14,000.00 39,525 0.25 0.3 9,150 -0.2 0.3 83.64 8,271
75 14,050.00 225 0.3 0.5 225 -0.15 0.3 83.98 2,015
75 14,100.00 450 0.5 0.6 600 -0.15 0.55 79.3 972
75 14,150.00 225 0.2 0.55 75 0.05 0.5 78.79 3,054
75 14,200.00 75 0.55 0.6 1,875 - 0.6 77.98 1,376
75 14,250.00 300 0.35 0.75 450 -0.15 0.5 72.8 22
75 14,300.00 1,275 0.4 0.5 900 -0.1 0.45 71.45 2,397
75 14,350.00 225 0.45 0.7 75 -0.1 0.7 72.43 77
4,950 14,400.00 675 0.55 0.6 4,500 -0.15 0.55 67.8 3,429
75 14,450.00 75 0.55 0.75 225 0.2 0.75 68.41 1,038
300 14,500.00 23,400 0.55 0.6 450 -0.1 0.6 64.03 17,842
1,500 14,550.00 3,000 0.55 0.8 75 -0.3 0.45 60.58 128
225 14,600.00 4,800 0.8 0.85 5,475 -0.2 0.8 62.05 12,035
1,500 14,650.00 75 0.8 1.05 1,200 - 0.95 60.93 254
225 14,700.00 15,225 0.8 0.85 1,200 -0.2 0.8 56.65 9,219
1,125 14,750.00 975 0.8 0.95 1,200 -0.25 0.85 55.58 3,651
1,125 14,800.00 5,625 0.8 0.85 3,300 -0.25 0.85 52.92 21,509
2,625 14,850.00 1,200 0.85 0.95 75 -0.3 0.85 51.97 4,398
1,500 14,900.00 15,225 0.9 1 15,825 -0.4 0.9 49.33 22,402
2,625 14,950.00 3,450 1 1.1 675 -0.35 1 47.3 1,914
450 15,000.00 10,800 1.15 1.2 11,775 -0.3 1.2 45.49 157,769
75 15,050.00 2,625 1.1 1.2 525 -0.45 1.15 43.36 4,189
225 15,100.00 2,250 1.15 1.2 15,750 -0.6 1.15 41.2 52,182
75 15,150.00 5,325 1.3 1.35 150 -0.6 1.35 39.21 6,535
75 15,200.00 19,725 1.45 1.5 14,100 -0.7 1.5 37.32 128,252
75 15,250.00 525 1.6 1.65 6,150 -0.75 1.6 35.18 20,105
75 15,300.00 28,200 1.7 1.75 14,025 -0.9 1.75 33.26 147,112
 1,125 15,350.00 150 1.9 1.95 6,150 -1.3 1.9 30.84 55,528
375 15,400.00 4,575 2.05 2.1 24,450 -1.45 2.05 28.73 214,148
75 15,450.00 6,225 2.2 2.25 5,400 -1.75 2.2 26.6 124,256
150 15,500.00 22,650 2.55 2.6 16,650 -2.35 2.6 24.5 340,276
75 15,550.00 11,625 2.85 2.9 7,875 -3.3 2.9 22.08 194,416
75 15,600.00 7,275 3.6 3.65 11,175 -5 3.65 19.95 520,479
75 15,650.00 4,050 4.85 4.9 3,300 -7.75 4.9 17.96 354,753
300 15,700.00 7,800 7.2 7.25 3,975 -12.15 7.2 16.37 986,654
150 15,750.00 1,650 11.3 11.35 600 -19.2 11.4 14.94 731,427
150 15,800.00 3,450 19.45 19.5 1,125 -27.3 19.45 13.79 1,505,118
75 15,850.00 75 34.75 34.85 225 -36.1 34.85 12.83 591,959
2,475 15,900.00 75 62.05 62.25 375 -41.1 62.15 12.71 481,123
3,600 15,950.00 450 100.4 100.8 225 -42.3 100.9 13.32 61,655
15,150 16,000.00 225 147.4 147.75 75 -40.95 147.75 15.67 69,632
9,000 16,050.00 75 196.35 196.95 75 -41 195.7 18.52 2,492
69,525 16,100.00 75 245.1 246.1 75 -42.4 245 21.5 8,474
10,350 16,150.00 75 294.95 296.6 150 -45.8 294 25.15 115
24,225 16,200.00 75 343.5 346.25 225 -40.3 345 29.16 597
5,625 16,250.00 750 394.1 396.65 1,125 -43 389 31.56 26
22,500 16,300.00 375 443.8 446.7 150 -48.8 440.85 39.2 97
225 16,350.00 1,125 493.45 496.1 75 - - - -
7,050 16,400.00 225 531.35 547.9 1,125 -49.7 542.1 43.46 2
225 16,450.00 75 588.4 596.65 75 -141.65 608.85 58.26 10
59,550 16,500.00 1,500 641.55 651.2 2,625 -45.95 642.75 - 19
900 16,550.00 1,500 682 698.15 2,625 - - - -
1,500 16,600.00 75 737.1 746.55 150 -185.5 753.2 64.55 12
375 16,650.00 75 778.45 797.7 2,625 - - - -
525 16,700.00 150 829.15 848.95 1,500 -12.3 919.4 106.89 2
1,950 16,750.00 1,500 875.95 898.5 2,625 - - - -
600 16,800.00 375 935.85 949.35 1,125 - - - -
75 16,850.00 4,950 970.6 1,007.85 4,950 - - - -
300 16,900.00 75 1,020.40 1,046.25 75 - - - -
225 16,950.00 75 1,065.45 1,103.35 75 - - - -
171,675 17,000.00 300 1,114.00 1,152.30 300 -68.6 1,137.65 71.4 2
825 17,050.00 75 1,171.55 1,202.25 75 - - - -
22,800 17,100.00 75 1,220.15 1,261.70 75 - - - -
3,225 17,150.00 75 1,266.55 1,310.50 75 - - - -
36,675 17,200.00 75 1,314.00 1,358.60 75 - - - -
450 17,250.00 75 1,360.20 1,407.50 75 - - - -
44,550 17,300.00 300 1,409.55 1,455.70 300 - - - -
9,900 17,350.00 75 1,471.70 1,514.10 75 - - - -
110,025 17,400.00 75 1,519.55 1,563.70 75 - - - -
CHNG IN OOI
-243 3,773
6 97
-5 1,073
2 26
-160 670
- 3
-759 2,938
10 22
-131 996
-12 20
445 776
- -
-10 145
-2 8
-72 171
-4 24
-656 3,222
2 9
-69 180
2 24
-72 874
- 27
-122 778
18 50
96 612
32 85
-292 9,867
10 37
3,882 6,370
4 622
-403 4,502
35 609
21 10,008
-390 918
367 12,655
345 1,566
9,150 42,373
223 1,517
-1,856 18,355
89 2,429
-1,495 35,116
-1,056 4,632
-88 25,364
 -3,588 9,713
1,068 31,391
-1,467 13,692
286 42,616
-300 18,420
9,898 49,692
3,456 28,769
7,736 77,503
22,696 57,358
53,503 100,740
30,818 38,494
20,272 28,971
2,672 4,351
1,844 6,054
34 272
338 1,279
1 65
74 430
- 52
-23 33
- 9
1 9
3 6
-3 15
- 2
2 4
- 1
1 5
- 1
- 3
- 1
- -
- -
1 19
- -
- -
- -
- 1
- -
- 1
- -
- 1
S0 = underlying price (USD per share)
X = strike price (USD per share)
σ = volatility (% p.a.)
r = continuously compounded risk-free interest rate (% p.a.)
q = continuously compounded dividend yield (% p.a.)
days to expire

t = time to expiration (% of year)

ln (S0/X)
t(r-q+σ2/2)
σ√t
d1
d2
N(d1)
N(d2)
N(-d1)
N(-d2)
e-rt
X e-rt 
e-qt
S0 e-qt

C (CALL PRICE)
P (PUT PRICE)
 15700
15617
0.1717
0.01
0
2

0.0054795
0.0053006
0.0001356
0.0127098
0.427718
0.4150082
0.6655718
0.660932
0.3344282
0.339068
0.9999452
15616.144
1
15700

128.267
44.411
S0 = underlying price
X =(USD
strikeper share)
σ = volatility (%
price (USD r =per
continuously
p.a.)
share)
q = continuously
compounded
compounde
risk-fre
 36.07 35 0.4825 0.01 0

S0 = underlying price36.07

(USD per share)
X = strike price (USD per 35share)
σ = volatility (% p.a.)
0.4825
r = continuously compounded
0.01 risk-free interest rate (% p.a.)
q = continuously compounded0 dividend yield (% p.a.)
days to expire 26
t = time to expiration
0.0712
(% of year)
ln (S0/X) 0.0301
t(r-q+σ2/2) 0.009
σ√t 0.1288
d1 0.3038
d2 0.175
N(d1) 0.6193
N(-d1) 0.3807
N(d2) 0.5695
N(-d2) 0.4305
e-rt 0.9993
X e-rt  34.975
e-qt 1
S0 e-qt 36.07
C (CALL PRICE) 2.42
CALL DELTA 0.62
GAMMA 0.38
CALL THETA ###
CALL VEGA 0.04
CALL RHO 0.01
P (PUT PRICE) 1.33
PUT DELTA -0.38
PUT GAMMA 0.38
PUT THETA ###
PUT THETA
PUT VEGA
PUT RHO 0
 ln (S0/X) t(r-q+σ
days to expt = time to expiration σ√t
(% of year)
2
/2) d1 d2 N(d1)
26 0.071233 0.03011 0.01 0.13 0.3 0.17 0.62
N(-d1)N(d2) N(-d2)e-rt X e-rt  e-qt S0 e-qt C (CALL PRICALL DE
0.38 0.57 0.43 1 35 1 36.07 2.42308 0.619
GAMMA CALL THETA CALL VE CALL RHP (PUT PRICE
0.381 #NAME? 0.037 0.014 1.32815
PUT DELTPUT PUT THETA PUT TPUT VPUT RHO
-0.381 0.4 #NAME? 0
IRON CONDOR
Enter call or put
1. Strike price of the option
2. Initial price for which we have bought the option
3. Underlying price for which we want to calculate the profit or loss
4. Contract size (how many shares one option contract represents)
5. Position size (number of contracts we are holding)
6. Direction (long or short) (add minus sign for short/sell)
The output is the profit or loss that we want to calculate.

Option Value Formula

Option Profit or Loss Formula
Contract Value Formula
Contract Profit or Loss Formula
The position involves four options with four different strikes, all with the sam

Long put, whose strike is the lowest of all the legs.

Short put with a strike higher than the long put.

Short call with a strike higher than the short put.

Long call, whose strike is the highest of all.

The order of strikes matters – from lowest to highest it is: long put, short

Let’s use an example to explain the different profit or loss scenarios

Iron Condor Example
Let’s set up an iron condor position by the following four transactions:

Buy a $45 strike put option for $0.78 per share.

Sell a $50 strike put for $2.21.
Sell a $55 strike call for $2.32.
Buy a $60 strike call for $1.01.

The middle two short options are sometimes called the body of the condor,

The width of the body can be different, although in our example it is 55

 put put call call
45 50 55 60
0.78 2.21 2.32 1.01
ofit or loss 0 0 0 0
presents) 0 0 0 0
1 1 1 1
1 -1 -1 1

45 50 0 0

44.22 -47.79 2.32 -1.01

0 0 0 0

0 0 0 0

es, all with the same expiration date:

underlying assets leg1 leg2 leg3 leg4
100 0 0 0 0
105 0 0 0 0
110 0 0 0 0
115 0 0 0 0
120 0 0 0 0
: long put, short 125 0 0 0 0
130 0 0 0 0
scenarios 135 0 0 0 0
 140 0 0 0 0

145 0 0 0 0
150 0 0 0 0
transactions: 155 0 0 0 0
160 0 0 0 0
165 0 0 0 0
170 0 0 0 0
175 0 0 0 0
180 0 0 0 0
185 0 0 0 0
ody of the condor, while the
190
long outer
0 strikes are
0 called wings.
0 When
0 entering an ir
195 0 0 0 0
ample it is 55 200 0 0 0 0
205 0 0 0 0
210 0 0 0 0
215 0 0 0 0
220 0 0 0 0
225 0 0 0 0
230 0 0 0 0
235 0 0 0 0
240 0 0 0 0
245 0 0 0 0
250 0 0 0 0
255 0 0 0 0
260 0 0 0 0
265 0 0 0 0
270 0 0 0 0
275 0 0 0 0
280 0 0 0 0
285 0 0 0 0
290 0 0 0 0
295 0 0 0 0
300 0 0 0 0
305 0 0 0 0
310 0 0 0 0
315 0 0 0 0
 call

put

chart increment 5
chart start 100

2000
2000
1825
1825
1825
1825
1825
18251825
1825
1825
1825
1825

1575 1575
1500 1500
1325 1325

95 1000 1000
1075 1075

825 825
-2.26
575 575
500 500 Column

0 325 325

75 75
0 0 0
underlying assets
1 3 5 7 9 11 13-175
15 17 19 21 23 25 27 29 31-175
33 35 37 39 41 43

-425 -425
-500 -500

0 -675
-675
-675
-675
-675
-675
-675
-675
-675
-675
-675 -675
-675
-675
-675

0
-1000 -1000
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
 Column Q

35 37 39 41 43

57675
-675
5
Iron Condor Basic Characteristics
Iron condor is a non-directional short volatility strategy with limited risk and limited profit potential. It got its name from the s

The position involves four options with four different strikes, all with the sam
Long put, whose strike is the lowest of all the legs.
Short put with a strike higher than the long put.
Short call with a strike higher than the short put.
Long call, whose strike is the highest of all.

The order of strikes matters – from lowest to highest it is: long put, short pu

Let’s use an example to explain the different profit or loss scenarios and cal

Iron Condor Example

Let’s set up an iron condor position by the following four transactions:

Buy a $45 strike put option for $0.78 per share.

Sell a $50 strike put for $2.21.
Sell a $55 strike call for $2.32.
Buy a $60 strike call for $1.01.

The middle two short options are sometimes called the body of the condor,

The width of the body can be different, although in our example it is 55 – 50

Initial Cash Flow

Iron condor is a credit strategy – initial cash flow is positive, because the inn
In our example, assuming one contract which represents 100 shares of the u

$78 paid for the long put

$221 received for the short put
$232 received for the short call
$101 paid for the long call

We receive $453 for the short legs and pay $179 for the long legs. Net prem

In general:

Iron condor initial cash flow = short put premium received + short call premiu

Maximum Profit
The objective of an iron condor trade is to defend the premium – ideally kee

For example, if the underlying ends up at $52 at expiration, all the options e

Maximum profit from an iron condor trade equals net premium received. It applies when underlying price ends up between th

Between the Call Strikes

When underlying price gets above the short call strike, the short call gets in

For instance, if underlying price ends up at $56, the short call is worth $56
If the underlying gets high enough that the short call option’s value exceeds

The general formula for total P/L when underlying price end up between th

P/L = net premium received – short call value

P/L = net premium received – (underlying price – short call strike)

Above the Highest Strike

Once the underlying gets above the long call strike, both call options are in

The general formula for P/L above the long call strike is:

P/L = net premium received – difference between call strikes

P/L = net premium received – (long call strike – short call strike)

In our example:

P/L = $2.74 – ($60 – $55) = $2.74 – $5 = – $2.26 per share = – $226 per c

Between the Put Strikes

When underlying price ends up between the two put strikes at expiration, w

If the short put’s value exceeds initial cash flow, the iron condor loses mone
The general formula is:

P/L = net premium received – short put value

P/L = net premium received – (short put strike – underlying price)

Below the Lowest Strike

Below the long put strike, the effects of the two put options cancel each othe

P/L = net premium received – difference between put strikes

P/L = net premium received – (short put strike – long put strike)

In our example:

P/L = $2.74 – ($50 – $45) = $2.74 – $5 = – $2.26 per share = – $226 per c

As you can see, if both wings have the same width (difference between call s

Iron Condor Risk-Reward Ratio

Because we already know maximum profit ($274) and maximum loss ($226), we can calculate the risk-reward ratio. It is 1 : 27

The general formulas (for an iron condor with equal width of the two wings

Maximum profit (reward) = net premium received

Maximum loss (risk) = net premium received – difference between put strikes
Maximum loss (risk) = net premium received – difference between call strikes

Difference between put strikes = difference between call strikes = maximum p

Iron Condor Break-Even Points

The iron condor strategy has two break-even points: one between the put strikes and one between the call strikes.

The first break-even is the underlying price where the short put option’s val

B/E #1 = short put strike – net premium received

The other is where the short call option’s value equals initial cash flow.

B/E #2 = short call strike + net premium received

In our example the break-evens are:

B/E #1 = $50 – $2.74 = $47.26

B/E #2 = $55 + $2.74 = $57.74

Iron Condor Payoff Summary

Maximum profit equals net premium received and applies between (or exac

Between the call strikes and between the put strikes total P/L declines as un

Maximum loss applies above the highest strike or below the lowest strike.

Iron Condor as Combination of Other Stra

If you are familiar with other option strategies, you might have noticed that
Alternatively, you can see iron condor as a combination of short strangle (sh

Strategies with Payoff Similar to Iron Con

While iron condor user both puts and calls, you can actually create the same
Iron condor payoff is similar to iron butterfly. The main difference is that in an iron butterfly the short put and the short call ha
tial. It got its name from the shape of its payoff diagram, which resembles a condor with wide wingspan:

es, all with the same expiration date:

: long put, short put, short call, long call.

scenarios and calculate maximum profit, maximum risk, break-even points and ri

transactions:

ody of the condor, while the long outer strikes are called wings. When entering an ir

ample it is 55 – 50 = also 5.

ve, because the inner strike put and call which you sell are more expensive than the
100 shares of the underlying, initial cash flow is:

ng legs. Net premium received is $274.

+ short call premium received – long put premium paid – long call premium paid

mium – ideally keep all the cash we have received in the beginning without being a

on, all the options expire worthless and there is no further change to overall P/L. W

ying price ends up between the inner (short) strikes at expiration (or exactly at one of them).

e short call gets in the money. We will be assigned this option at expiration and its

call is worth $56 – $55 = $1 per share = $100 for one contract at expiration. All th
on’s value exceeds initial cash flow, total P/L is a loss.

end up between the two call strikes is:

l strike)

call options are in the money. Further increase in (the negative) value of the short c

are = – $226 per contract

es at expiration, we are assigned the short put, whose value reduces our profit. If it

condor loses money overall.

g price)

ns cancel each other and their combined value is constant, equal to difference betwe

are = – $226 per contract

ence between call strikes equals difference between put strikes), P/L is exactly the s

he risk-reward ratio. It is 1 : 274/226 or 1 : 1.21. In other words, potential profit from the iron condor in our example is 1.21x the risk.

h of the two wings) are the following:

etween put strikes

 etween call strikes

ikes = maximum profit + maximum loss

een the call strikes.

ort put option’s value equals initial cash flow.

tial cash flow.

s between (or exactly at) the inner strikes.

P/L declines as underlying price gets further away from the short call or short put

he lowest strike.

Other Strategies
have noticed that iron condor is actually a combination of two vertical spreads – a
f short strangle (short put + short call) and long strangle (long put + long call).

o Iron Condor
lly create the same payoff profile using only calls or only puts. These strategies are
short put and the short call have the same strike (because butterflies have much smaller bodies than condors). As a result, initial cash flow
 even points and risk-reward ratio.

When entering an iron condor trade, make sure both wings have the same width. In o

expensive than the outer strike put and call which you buy.
 premium paid

ng without being assigned any of the short options.

e to overall P/L. We keep the net premium received ($274).

expiration and its value will be our loss. If it is smaller than initial cash flow, the ov

t expiration. All the other options expire worthless. Total P/L from the iron condor
alue of the short call is offset by increase in the long call value. The effects of the tw

ces our profit. If it’s smaller than net premium received, overall P/L is still positive
to difference between their strikes, like with the calls above the highest strike.

P/L is exactly the same above the highest strike and below the lowest strike. This is

xample is 1.21x the risk.

t call or short put strike.

ertical spreads – a bull put spread (long lower strike put + short higher strike put)
t + long call).

hese strategies are known as call condor and put condor.

s). As a result, initial cash flow (maximum possible profit) from an iron butterfly tends to be higher compared to iron condor, but its profit
e same width. In other words, the distances between the two put strikes (55 – 45 =
l cash flow, the overall result will still be a profit, although smaller than maximum

m the iron condor is $274 – $100 = $174.

he effects of the two calls cancel one another and their combined value is constant,

P/L is still positive.

ighest strike.

west strike. This is of course the maximum possible loss from the trade.

higher strike put) and a bear call spread (short lower strike call + long higher strike
d to iron condor, but its profit window (distance between break-even points) is narrower. Other things being equal, iron butterfly has bett
strikes (55 – 45 = 5 in our example) and the two call strikes (60 – 55 = 5) should m
er than maximum profit.
value is constant, equal to the difference between their strikes (in our case $60 – $
long higher strike call). Profit or loss from an iron condor can be calculated as sum
g equal, iron butterfly has better risk-reward ratio but lower probability of profit than iron condor.
– 55 = 5) should match. This makes the position non-directional with equal risk on
n our case $60 – $55 = $5 per share = $500 per contract). Total P/L is a loss, beca
e calculated as sum of P/L of these two strategies. The payoff diagram looks like a b
with equal risk on both sides (a variation with uneven wing width and directional b
P/L is a loss, because this difference is greater than net premium received.
gram looks like a bull put spread and a bear call spread payoff diagrams placed nex
h and directional bias is called broken wing iron condor).
m received.
agrams placed next to one another.