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