53 lines
1.4 KiB
Plaintext
53 lines
1.4 KiB
Plaintext
516A COMPleTe gUIde TO THe FUTUreS MArKeT
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Strategy 8: Short Straddle (Short Call + Short put)
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example . Sell August $1,200 gold futures call at a premium of $38.80/oz ($3,880 ) and simultane-
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ously sell an August $1,200 put at a premium of $38.70/oz ($3,870). (See Table 35.8 and Figure 35.8 .)
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Price of August gold futures at option expiration ($/oz)
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Futures price at time
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of position initiation
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and call and put
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strike prices
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Breakeven price
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= $1,122.50
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Breakeven price
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= 1,277.50
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Profit/loss at expiration ($)
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1,000
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5,000
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10,000
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15,000
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–10,000
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–5,000
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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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FIGURE 35.7 Profi t/loss Profi le: long Straddle (long Call + long Put)
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tabLe 35.8 profit/Loss Calculations: Short Straddle (Short Call + Short put)
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(1) (2) (3) (4) (5) (6) (7)
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Futures price
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at expiration
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($/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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premium of august
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$1,200 put at
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Initiation ($/oz)
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$ amount of
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total premium
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received
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Call Value at
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expiration
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put Value at
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expiration
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profit/Loss on
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position
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[(4) – (5) – (6)]
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1,000 38.8 38.7 $7,750 $0 $20,000 –$12,250
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1,050 38.8 38.7 $7,750 $0 $15,000 –$7,250
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1,100 38.8 38.7 $7,750 $0 $10,000 –$2,250
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1,150 38.8 38.7 $7,750 $0 $5,000 $2,750
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1,200 38.8 38.7 $7,750 $0 $0 $7,750
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1,250 38.8 38.7 $7,750 $5,000 $0 $2,750
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1,300 38.8 38.7 $7,750 $10,000 $0 –$2,250
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1,350 38.8 38.7 $7,750 $15,000 $0 –$7,250
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1,400 38.8 38.7 $7,750 $20,000 $0 –$12,250 |