Assumptions CALL OPTION - BUYER'S POSI

Premium 3
Strike Price 50

Asset Prices Exercise Option Terminal Payoff Net Profit / (Loss)

40 No 0 -3
41 No 0 -3
42 No 0 -3
43 No 0 -3
44 No 0 -3
45 No 0 -3
46 No 0 -3
47 No 0 -3
48 No 0 -3
49 No 0 -3
50 No 0 -3
51 Yes 1 -2
52 Yes 2 -1
53 Yes 3 0
54 Yes 4 1
55 Yes 5 2
56 Yes 6 3
57 Yes 7 4
58 Yes 8 5
59 Yes 9 6
60 Yes 10 7

12

10

6
Terminal Payoff
4 Net Profit / Loss

0
40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
-2
 Terminal Payoff
4 Net Profit / Loss

0
40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
-2

-4
ION - BUYER'S POSITION

Terminal Payoff
Net Profit / Loss

0
 Terminal Payoff
Net Profit / Loss

0
Asset Price Terminal Payoff Net Profit / Loss
40 0 -3
41 0 -3
42 0 -3
43 0 -3
44 0 -3
45 0 -3
46 0 -3
47 0 -3
48 0 -3
49 0 -3
50 0 -3
51 1 -2
52 2 -1
53 3 0
54 4 1
55 5 2
56 6 3
57 7 4
58 8 5
59 9 6
60 10 7
Assumptions CALL OPTION - SELLERS
Premium 3
Strike Price 50

Asset Prices Option Exercised Net Payoff

40 NO 3
41 NO 3
42 NO 3
43 NO 3
44 NO 3
45 NO 3
46 NO 3
47 NO 3
48 NO 3
49 NO 3
50 NO 3
51 YES 2
52 YES 1
53 YES 0
54 YES -1
55 YES -2
56 YES -3
57 YES -4
58 YES -5
59 YES -6
60 YES -7

Net Payoff
4

0
40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
-2 Net Payoff

-4

-6

-8
Asset Price Net Payoff
40 3
41 3
42 3
43 3
44 3
45 3
46 3
47 3
48 3
49 3
50 3
51 2
52 1
53 0
54 -1
55 -2
56 -3
57 -4
58 -5
59 -6
60 -7
PUT-CALL PARITY

Asset Price Net Profit to Holder Net Profit to Writer Total Pay-Off
40 -3 3 0
41 -3 3 0
42 -3 3 0
43 -3 3 0
44 -3 3 0
45 -3 3 0
46 -3 3 0
47 -3 3 0
48 -3 3 0
49 -3 3 0
50 -3 3 0
51 -2 2 0
52 -1 1 0
53 0 0 0
54 1 -1 0
55 2 -2 0
56 3 -3 0
57 4 -4 0
58 5 -5 0
59 6 -6 0
60 7 -7 0

2 Net Profit to Holder

0 Net Profit to Writer

40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 Total Pay-Off
-2

-4

-6

-8
-2

-4

-6

-8
to Holder
to Writer
Off
S Spot Price of Stock 90 e 2.718282
X Strike Price of Option 80
r Annual Risk-Free Rate of Return 0.08
t Time (Years) to expiry of Option 0.5
s Annual Volatility 0.23
-r.t -0.04

ln(S/X) 0.1178
(r + s2/2) 0.1065
sÖt 0.1626
d1 1.0515
d2 0.8889

N(d1) 0.8535
N(d2) 0.8130

C = S.N(d1) – X.e-rt.N(d2) 14.3268

S Spot Price of Stock 90 e
X Strike Price of Option 80
r Annual Risk-Free Rate of Return 0.08
t Time (Years) to expiry of Option 0.5
s Annual Volatility 0.23
-r.t -0.04

ln(S/X) 0.1178
(r + s2/2) 0.1065
sÖt 0.1626
d1 1.0515
d2 0.8889

N(-d1) = 1 – N(d1) 0.1465

N(-d2)= 1–N(d2) 0.1870

P = X.e-rt.N(-d2) - S.N(-d1) 1.1900

2.718282
S Spot NIFTY 4500 e
X Strike NIFTY 4600
q Continuously Compounded Div Yield 0.03
r Annual Risk-Free Rate of Return 0.08
t Time (Years) to expiry of Option 0.25
s Annual Volatility 0.25
-r.t -0.02
-q.t -0.008
ln(S/X) -0.0220
(r - q + s2/2) 0.0813
sÖt 0.1250
d1 -0.0133
d2 -0.1383

N(d1) 0.4947
N(d2) 0.4450

C = S.e-q.t.N(d1) (–) X.e-rt.N(d2) 203.02

2.718282
e 2.718282
r 0.08
t 0.25
u 0.2
d 0.2
rt 0.02
-rt -0.02

p 0.5505
1-p 0.4495