521
OPTION TrAdINg STrATegIeS
 tabLe 35.11a      profit/Loss Calculations: Option-protected Long Futures—Long Futures + Long at-the-
Money put (Similar to Long at-the-Money Call)  
(1) (2) (3) (4) (5) (6)
Futures price at 
expiration ($/oz)
premium of august $1,200 
put at Initiation ($/oz)
$ amount of 
premium paid
profit/Loss on Long 
Futures position
put Value at 
expiration
profit/Loss on position 
[(4) + (5) – (3)]
1,000 38.7 $3,870 –$20,000 $20,000 –$3,870
1,050 38.7 $3,870 –$15,000 $15,000 –$3,870
1,100 38.7 $3,870 –$10,000 $10,000 –$3,870
1,150 38.7 $3,870 –$5,000 $5,000 –$3,870
1,200 38.7 $3,870 $0 $0 –$3,870
1,250 38.7 $3,870 $5,000 $0 $1,130
1,300 38.7 $3,870 $10,000 $0 $6,130
1,350 38.7 $3,870 $15,000 $0 $11,130
1,400 38.7 $3,870 $20,000 $0 $16,130
    FIGURE   35.11a    Profi  t/loss Profi  le: Option-Protected long Futures—long Futures + long 
at-the-Money Put (Similar to long At-the-Money Call) 
Price of August gold futures at option expiration ($/oz)
Futures at time of
position initiation
and strike price
Breakeven price = $1,238.70
Profit/loss at expiration ($)
1,000
10,000
7,500
12,500
15,000
17,500
5,000
−5,000
−2,500
2,500
0
1,050 1,100 1,150 1,200 1,250 1,300 1,350 1,400