529
OPTION TrAdINg STrATegIeS
 tabLe 35.15     profit/Loss Calculations: Synthetic Long Futures (Long Call + Short put)  
(1) (2) (3) (4) (5) (6) (7) (8)
Futures price 
at expiration 
($/oz)
premium of 
august $1,150 
Call at Initiation 
($/oz)
$ amount 
of premium 
paid
premium of 
august $1,150 
put at Initiation 
($/oz)
$ amount 
of premium 
received
Call Value 
at 
expiration
put Value 
at 
expiration
profit/Loss on 
position 
[(5) − (3) + (6) − (7)]
1,000 70.1 $7,010 19.9 $1,990 $0 $15,000 −$20,020
1,050 70.1 $7,010 19.9 $1,990 $0 $10,000 −$15,020
1,100 70.1 $7,010 19.9 $1,990 $0 $5,000 −$10,020
1,150 70.1 $7,010 19.9 $1,990 $0 $0 −$5,020
1,200 70.1 $7,010 19.9 $1,990 $5,000 $0 −$20
1,250 70.1 $7,010 19.9 $1,990 $10,000 $0 $4,980
1,300 70.1 $7,010 19.9 $1,990 $15,000 $0 $9,980
1,350 70.1 $7,010 19.9 $1,990 $20,000 $0 $14,980
1,400 70.1 $7,010 19.9 $1,990 $25,000 $0 $19,980
    FIGURE   35.15    Profi  t/loss Profi  le: Synthetic long Futures (long Call + Short Put) 
Price of August gold futures at option expiration ($/oz)
Profit/loss at expiration ($)
1,000
20,000
15,000
10,000
5,000
−5,000
−10,000
−15,000
−20,000
0
1,050 1,100 1,150 1,200 1,250
Futures price at time
of position initiation
Breakeven price
= $1,200.20
1,300 1,350 1,400