54 lines
1.5 KiB
Plaintext
54 lines
1.5 KiB
Plaintext
527
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OPTION TrAdINg STrATegIeS
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Strategy 14: Covered put Write (Short Futures + Short put)
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example . Sell August futures at $1,200 and simultaneously sell an August $1,200 gold futures put at
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a premium of $38.70/oz ($3,870). (See Table 35.14 and Figure 35.14 .)
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FIGURE 35.13 Profi t/loss Profi le: Covered Call Write—long Futures + Short Call (Similar to
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Short Put)
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Profi t/loss Profi le: Covered Call Write—long Futures + Short Call (Similar to
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Price of August gold futures at option expiration ($/oz)
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Profit/loss at expiration ($)
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1,000
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5,000
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2,500
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0
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−2,500
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−7 ,500
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−10,000
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−12,500
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−15,000
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−5,000
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1,050 1,100 1,150 1,200 1,250
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Futures price at time
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of position initiation
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and strike price
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Breakeven price
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= $1,161 .20
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1,300 1,350 1,400
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−17 ,500
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tabLe 35.14 profit/Loss Calculations: Covered put Write—Short Futures + Short put (Similar to
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Short Call)
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(1) (2) (3) (4) (5) (6)
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Futures price
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at expiration
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($/oz)
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premium of
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august $1,200 put
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at Initiation ($/oz)
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$ amount of
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premium received
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profit/Loss on Short
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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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[(3) + (4) – (5)]
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1,000 38.7 $3,870 $20,000 $20,000 $3,870
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1,050 38.7 $3,870 $15,000 $15,000 $3,870
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1,100 38.7 $3,870 $10,000 $10,000 $3,870
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1,150 38.7 $3,870 $5,000 $5,000 $3,870
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1,200 38.7 $3,870 $0 $0 $3,870
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1,250 38.7 $3,870 –$5,000 $0 –$1,130
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1,300 38.7 $3,870 –$10,000 $0 –$6,130
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1,350 38.7 $3,870 –$15,000 $0 –$11,130
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1,400 38.7 $3,870 –$20,000 $0 –$16,130 |