497
OPTION TrAdINg STrATegIeS
 Figure   35.3  d compares the three types of long call positions to a long futures position. It should be 
noted that in terms of absolute price changes, the long futures position represents the largest position 
size, while the out-of-the-money call represents the smallest position size. Figure   35.3  d suggests the 
following important observations: 
   1.  As previously mentioned, the in-the-money call is very similar to an outright long futures 
position. 
   2.  The out-of-the-money call will lose the least in a declining market, but will also gain the least in 
a rising market. 
   3.  The at-the-money call will lose the most in a steady market and will be the middle-of-the-road 
performer (relative to the other two types of calls) in advancing and declining markets.   
 Again, it should be emphasized that these comparisons are based upon single-unit positions that 
may diff  er substantially in terms of their implied position size (as suggested by their respective delta 
values). A comparison that involved equivalent position size levels for each strategy (i.e., equal delta 
values for each position) would yield diff  erent observations. This point is discussed in greater detail in 
the section entitled “Multiunit Strategies.”   
    FIGURE   35.3d    Profi  t/loss Profi  le: long Futures and long Call Comparisons (In-the-Money, 
At-the-Money, and Out-of-the-Money)
Chart created using TradeStation. ©TradeStation T echnologies, Inc. All rights reserved. 
Price of August gold futures at option expiration ($/oz)
Futures price at time of position initiation
Long futures
At-the-money call
(strike price = $1,200)
Out-of-the-money
call (strike price = $1,300)
In-the-money call
(strike price = $1,100)
Profit/loss at expiration ($)
1,000
10,000
−10,000
−15,000
5,000
−5,000
0
15,000
20,000
1,050 1,100 1,150 1,200 1,250 1,300 1,350 1,400