64 lines
2.3 KiB
Plaintext
64 lines
2.3 KiB
Plaintext
508
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A Complete Guide to the Futures mArket
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tabLe 35.5d profit/Loss Matrix for Long puts with Different Strike prices
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Dollar amount of premium paid
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$1,350
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put
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$1,300
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put
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$1,250
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put
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$1,200
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put
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$1,150
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put
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$1,100
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put
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$1,050
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put
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$15,410 $10,870 $6,870 $3,870 $1,990 $1,010 $510
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position profit/Loss at expiration
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Futures price at
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expiration ($/oz)
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Short Futures
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at $1,200
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In-the-Money at-the-Money Out-of-the-Money
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$1,350
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put
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$1,300
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puta
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$1,250
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put
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$1,200
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puta
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$1,150
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put
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$1,100
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puta
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$1,050
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put
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1,000 $20,000 $19,590 $19,130 $18,130 $16,130 $13,010 $8,990 $4,490
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1,050 $15,000 $14,590 $14,130 $13,130 $11,130 $8,010 $3,990 –$510
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1,100 $10,000 $9,590 $9,130 $8,130 $6,130 $3,010 –$1,010 –$510
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1,150 $5,000 $4,590 $4,130 $3,130 $1,130 –$1,990 –$1,010 –$510
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1,200 $0 –$410 –$870 –$1,870 –$3,870 –$1,990 –$1,010 –$510
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1,250 –$5,000 –$5,410 –$5,870 –$6,870 –$3,870 –$1,990 –$1,010 –$510
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1,300 –$10,000 –$10,410 –$10,870 –$6,870 –$3,870 –$1,990 –$1,010 –$510
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1,350 –$15,000 –$15,410 –$10,870 –$6,870 –$3,870 –$1,990 –$1,010 –$510
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1,400 –$20,000 –$15,410 –$10,870 –$6,870 –$3,870 –$1,990 –$1,010 –$510
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aThese puts are compared in Figure 35.5d.
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Figure 35.5d compares the three types of long put positions to a short futures position. It should
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be noted that in terms of absolute price changes, the short futures position represents the largest
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position size, while the out-of-the-money put represents the smallest position size. Figure 35.5d sug-
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gests the following important observations:
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1. As previously mentioned, the in-the-money put is very similar to an outright short futures
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position.
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2. The out-of-the-money put will lose the least in a rising market, but will also gain the least in a
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declining market.
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3. The at-the-money put will lose the most in a steady market and will be the middle-of-
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the-road performer (relative to the other two types of puts) in declining and advancing
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markets.
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Again, it should be emphasized that these comparisons are based on single-unit positions that
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may differ substantially in terms of their implied position size (as suggested by their respective delta
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values). A comparison that involved equivalent position size levels for each strategy (i.e., equal delta
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values for each position) would yield different observations. |