48 lines
1.5 KiB
Plaintext
48 lines
1.5 KiB
Plaintext
525
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OPTION TrAdINg STrATegIeS
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In most cases, it will make more sense for the trader simply to buy an in-the-money put since the
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transaction costs will be lower. However, if a speculator is already short futures, the purchase of an
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out-of-the-money call might present a viable alternative to liquidating this position and buying an
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in-the-money put.
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tabLe 35.12b profit/Loss Calculations: Option-protected Short Futures—Short Futures + Long Out-
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of-the-Money Call (Similar to Long In-the-Money put)
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(1) (2) (3) (4) (5) (6)
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Futures price at
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expiration ($/oz)
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premium of august $1,300
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Call at Initiation ($/oz)
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$ amount of
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premium paid
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profit/Loss on Short
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Futures position
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Call Value at
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expiration
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profit/Loss on position
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[(4) + (5) – (3)]
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1,000 9.1 $910 $20,000 $0 $19,090
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1,050 9.1 $910 $15,000 $0 $14,090
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1,100 9.1 $910 $10,000 $0 $9,090
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1,150 9.1 $910 $5,000 $0 $4,090
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1,200 9.1 $910 $0 $0 –$910
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1,250 9.1 $910 –$5,000 $0 –$5,910
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1,300 9.1 $910 –$10,000 $0 –$10,910
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1,350 9.1 $910 –$15,000 $5,000 –$10,910
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1,400 9.1 $910 –$20,000 $10,000 –$10,910
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FIGURE 35.12b Profi t/loss Profi le: Option-Protected Short Futures—Short Futures + long
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Out-of-the-Money Call (Similar to long In-the-Money Put)
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Price of August gold futures at option expiration ($/oz)
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Futures price at time
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of position initiation
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Breakeven price = $1,190.90
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Profit/loss at expiration ($)
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1,000
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10,000
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15,000
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20,000
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5,000
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−5,000
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−10,000
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−15,000
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0
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1,050 1,100 1,150 1,200 1,250 1,300 1,350 1,400
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Strike price |