528A COMPleTe gUIde TO THe FUTUreS MArKeT
Comment.  Comments analogous to those made for Strategy 13 would apply here. The sale of a put 
against a short futures position is equivalent to the sale of a call. The reader can verify this by compar-
ing Figure   35.14   to Figure   35.4  a. The two strategies would be precisely equivalent (ignoring transac-
tion cost diff  erences) if the put and call premiums were equal.   
 Strategy 15: Synthetic Long Futures (Long Call + Short put) 
example . Buy an August $1,150 gold futures call at a premium of $70.10/oz ($7,010) and simultane-
ously sell an August $1,150 gold futures put at a premium of $19.90/oz ($1,990). (See Table   35.15    
and Figure   35.15   .)   
Comment.  A synthetic long futures position can be created by combining a long call and a short put 
for the same expiration date and the same strike price.  For example, as illustrated in Table   35.15   and Figure 
  35.15  , the combined position of a long August $1,150 call and a short August $1,150 put is virtually 
identical to a long August futures position. The reason for this equivalence is tied to the fact that the 
diff  erence between the premium paid for the call and the premium received for the put is approxi-
mately equal to the intrinsic value of the call. each $1 increase in price will raise the intrinsic value of 
the call by an equivalent amount and each $1 decrease in price will reduce the intrinsic value of the 
    FIGURE   35.14    Profi  t/loss Profi  le: Covered Put Write—Short Futures + Short Put (Similar 
to Short Call) 
Price of August gold futures at option expiration ($/oz)
1,000 1,050 1,100 1,150 1,200 1,250
Futures price at time
of position initiation
and strike price Breakeven price
= $1,238.70
1,300 1,350 1,400
Profit/loss at expiration ($)
5,000
2,500
0
−2,500
−7 ,500
−10,000
−12,500
−17 ,500
−15,000
−5,000