553
OPTION TrAdINg STrATegIeS
tabLe 35.26  probability-W eighted profit/Loss ratio Comparisons for “bearish/V olatile” expected 
probability Distribution
Short Futures Short Call Long put
price range 
($/oz)
average 
price 
($/oz)
assumed 
probability
Gain/Loss 
at average 
price ($)
probability-
W eighted 
Gain/Loss ($)
Gain/Loss 
at average 
price ($)
probability-
W eighted 
Gain/Loss ($)
Gain/Loss 
at 
average 
price ($)
probability-
W eighted 
Gain/Loss ($)
950–999.9 975 0.06 22,500 1,350 3,880 233 18,630 1,117.8
1,000–1,049.9 1,025 0.1 17,500 1,750 3,880 388 13,630 1,363
1,050–1,099.9 1,075 0.12 12,500 1,500 3,880 466 8,630 1,035.6
1,100–1,149.9 1,125 0.14 7,500 1,050 3,880 543 3,630 508.2
1,150–1,199.9 1,175 0.18 2,500 450 3,880 698 –1,370 –246.6
1,200–1,249.9 1,225 0.12 –2,500 –300 1,380 166 –3,870 –464.4
1,250–1,299.9 1,275 0.1 –7,500 –750 –3,620 –362 –3,870 –387
1,300–1,349.9 1,325 0.08 –12,500 –1,000 –8,620 –690 –3,870 –309.6
1,350–1,399.9 1,375 0.06 –17,500 –1,050 –13,620 –817 –3,870 –232.2
1,400–1,449.9 1,425 0.04 –22,500 –900 –18,620 –745 –3,870 –154.8
Probability-weighted profit/loss ratio: 6,100/4,000 = 1.53 2,494/2,614 = 0.95 4,025/1,795 = 2.24
tabLe 35.27  probability-W eighted profit/Loss ratio Comparisons for “Neutral/Nonvolatile” expected 
probability Distribution
Long Straddle Short Straddle
price range 
($/oz)
average 
price ($/oz)
assumed 
probability
Gain/Loss at 
average price ($)
probability- 
W eighted 
Gain/Loss ($)
Gain/Loss at 
average price ($)
probability- 
W eighted 
Gain/Loss ($)
1,000–1,049.9 1,025 0.05 9750 488 –9,750 –488
1,050–1,099.9 1,075 0.1 4,750 475 –4,750 –475
1,100–1,149.9 1,125 0.15 –250 –38 250 38
1,150–1,199.9 1,175 0.2 –5,250 –1,050 5,250 1,050
1,200–1,249.9 1,225 0.2 –5,250 –1,050 5,250 1,050
1,250–1,299.9 1,275 0.15 –250 –38 250 38
1,300–1,349.9 1,325 0.1 4,750 475 –4,750 –475
1,350–1,399.9 1,375 0.05 9,750 488 –9,750 –488
Probability-weighted profit/loss ratio: 1,925/2,175 = 0.89 2,175/1,925 = 1.13