40 lines
1.9 KiB
Plaintext
40 lines
1.9 KiB
Plaintext
497
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OPTION TrAdINg STrATegIeS
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Figure 35.3 d compares the three types of long call positions to a long futures position. It should be
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noted that in terms of absolute price changes, the long futures position represents the largest position
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size, while the out-of-the-money call represents the smallest position size. Figure 35.3 d suggests the
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following important observations:
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1. As previously mentioned, the in-the-money call is very similar to an outright long futures
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position.
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2. The out-of-the-money call will lose the least in a declining market, but will also gain the least in
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a rising market.
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3. The at-the-money call will lose the most in a steady market and will be the middle-of-the-road
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performer (relative to the other two types of calls) in advancing and declining markets.
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Again, it should be emphasized that these comparisons are based upon single-unit positions that
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may diff er 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 diff erent observations. This point is discussed in greater detail in
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the section entitled “Multiunit Strategies.”
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FIGURE 35.3d Profi t/loss Profi le: long Futures and long Call Comparisons (In-the-Money,
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At-the-Money, and Out-of-the-Money)
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Chart created using TradeStation. ©TradeStation T echnologies, Inc. All rights reserved.
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Price of August gold futures at option expiration ($/oz)
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Futures price at time of position initiation
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Long futures
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At-the-money call
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(strike price = $1,200)
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Out-of-the-money
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call (strike price = $1,300)
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In-the-money call
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(strike price = $1,100)
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Profit/loss at expiration ($)
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1,000
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10,000
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−10,000
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−15,000
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5,000
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−5,000
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0
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15,000
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20,000
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1,050 1,100 1,150 1,200 1,250 1,300 1,350 1,400 |