650 
ZYX 
ABX 
ZYX June 175P 
ABX June 1 80P 
Profit 
165 
168 
10 
12 
+$1,000 
170 
173 
5 
7 
+$1,000 
Part V: Index Options and Futures 
Price at Expiration 
175 180 185 
178 183 188 
0 0 0 
2 0 0 
+$1,000 0 0 
This picture indicates that the position is neutral to bearish, since it makes 
money even if the indices are unchanged. However, contrast this with the situation 
in which the ZYX falls to a level 5 points below the ABX by expiration. 
Price at Expiration 
ZYX 165 170 175 180 185 
ABX 170 175 180 185 190 
ZYX June 175P 10 5 0 0 0 
ABX June 1 80P 10 5 0 0 0 
Profit 0 0 0 0 0 
In this case, the spread has no potential for profit at all, even if the market col­
lapses. Thus, even a bearish spread like this might not prove profitable if there is an 
adverse movement in the relationship of the indices. 
Finally, observe what happens if the ZYX rallies so strongly that it catches up to 
the ABX. 
Price at Expiration 
ZYX 165 170 175 180 185 
ABX 165 170 175 180 185 
ZYX June 175P 10 5 0 0 0 
ABX June 1 80P 15 10 5 0 0 
Profit +$2,500 +$2,500 +$2,500 +$2,500 +$2,500 
These tables can be called "sliding scale" tables, because what one is actually 
doing is showing a different set of results by sliding the ABX scale over slightly each 
time while keeping the ZYX scale fixed. Note that in the above two tables, the ZYX 
results are unchanged, but the ABX has been slid over slightly to show a different 
result. Tables like this are necessary for the strategist who is doing spreads in options 
with different underlying indices or is trading inter-index spreads.