43 lines
1.2 KiB
Plaintext
43 lines
1.2 KiB
Plaintext
518A COMPleTe gUIde TO THe FUTUreS MArKeT
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tabLe 35.9 profit/Loss Calculations: bullish “texas Option hedge” (Long Futures + Long 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
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$1,200 Call at
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Initiation ($/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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Call Value at
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expiration
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profit/Loss on
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position [(4)+(5)–(3)]
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1,000 38.8 $3,880 –$20,000 $0 –$23,880
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1,050 38.8 $3,880 –$15,000 $0 –$18,880
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1,100 38.8 $3,880 –$10,000 $0 –$13,880
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1,150 38.8 $3,880 –$5,000 $0 –$8,880
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1,200 38.8 $3,880 $0 $0 –$3,880
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1,250 38.8 $3,880 $5,000 $5,000 $6,120
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1,300 38.8 $3,880 $10,000 $10,000 $16,120
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1,350 38.8 $3,880 $15,000 $15,000 $26,120
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1,400 38.8 $3,880 $20,000 $20,000 $36,120
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FIGURE 35.9 Profi t/loss Profi le: Bullish “T exas Option Hedge” (long Futures + long Call)
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Price of August gold futures at option expiration ($/oz)
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Futures price at time of position
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initiation and strike price
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Breakeven price = $1,219.40
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Profit/loss at expiration ($)
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1,000
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37,500
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50,000
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25,000
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−25,000
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−37,500
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12,500
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−12,500
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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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Long 2 futures
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Long futures + long call |