522A COMPleTe gUIde TO THe FUTUreS MArKeT
 Strategy 11b: Option-protected Long Futures (Long Futures + Long 
Out-of-the-Money put) 
example . Buy August gold futures at $1,200/oz and simultaneously buy an August $1,100 gold 
futures put at a premium of $10.10/oz ($1,010). (See Table   35.11   b and Figure   35.11   b.)   
 tabLe 35.11b      profit/Loss Calculations: Option-protected Long Futures—Long Futures + Long Out-of-
the-Money put (Similar to Long In-the-Money Call)  
(1) (2) (3) (4) (5) (6)
Futures price at 
expiration ($/oz)
premium of august $1,100 
put at Initiation ($/oz)
$ amount of 
premium paid
profit/Loss on Long 
Futures position
put Value at 
expiration
profit/Loss on position 
[(4) + (5) – (3)]
1,000 10.1 $1,010 –$20,000 $10,000 –$11,010
1,050 10.1 $1,010 –$15,000 $5,000 –$11,010
1,100 10.1 $1,010 –$10,000 $0 –$11,010
1,150 10.1 $1,010 –$5,000 $0 –$6,010
1,200 10.1 $1,010 $0 $0 –$1,010
1,250 10.1 $1,010 $5,000 $0 $3,990
1,300 10.1 $1,010 $10,000 $0 $8,990
1,350 10.1 $1,010 $15,000 $0 $13,990
1,400 10.1 $1,010 $20,000 $0 $18,990
    FIGURE   35.11b    Profi  t/loss Profi  le: Option-Protected long Futures—long Futures + long 
Out-of-the-Money Put (Similar to long In-the-Money Call) 
Price of August gold futures at option expiration ($/oz)
Futures price at time
of position initiation
Breakeven price = $1,210.10
Profit/loss at expiration ($)
1,000
10,000
15,000
20,000
5,000
−5,000
−10,000
−15,000
0
1,050 1,100 1,150 1,200 1,250 1,300 1,350 1,400
Strike price