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