50 lines
1.4 KiB
Plaintext
50 lines
1.4 KiB
Plaintext
532A COMPleTe gUIde TO THe FUTUreS MArKeT
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Strategy 17: the ratio Call Write (Long Futures + Short 2 Calls)
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example . Buy August gold futures at $1,200 and simultaneously sell two August $1,200 gold futures
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calls at a premium of $38.80/ oz. ($7,760). (See Table 35.17 and Figure 35.17 .)
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FIGURE 35.16 Profi t/loss Profi le: Synthetic Short Futures (long Put + Short Call).
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Futures price at time
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of position initiation
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Breakeven price
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= $1,210.40
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Price of August gold futures at option expiration ($/oz)
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Profit/loss at expiration ($)
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1,000
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20,000
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15,000
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10,000
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5,000
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−5,000
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−10,000
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−15,000
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−20,000
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0
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1,050 1,100 1,150 1,200 1,250 1,300 1,350 1,400
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tabLe 35.17 profit/Loss Calculations: ratio Call Write—Long Futures + Short 2 Calls (Similar to
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Short Straddle)
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(1) (2) (3) (4) (5) (6)
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Futures price
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at expiration
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($/oz)
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premium of
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august $1,200 Call
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at Initiation ($/oz)
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$ amount of
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total premium
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received
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profit/Loss on
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Long Futures
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position
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Value of 2 Calls
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at expiration
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profit/Loss on position
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[(3) + (4) − (5)]
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1,000 38.8 $7,760 –$20,000 $0 –$12,240
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1,050 38.8 $7,760 –$15,000 $0 –$7,240
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1,100 38.8 $7,760 –$10,000 $0 –$2,240
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1,150 38.8 $7,760 –$5,000 $0 $2,760
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1,200 38.8 $7,760 $0 $0 $7,760
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1,250 38.8 $7,760 $5,000 $10,000 $2,760
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1,300 38.8 $7,760 $10,000 $20,000 –$2,240
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1,350 38.8 $7,760 $15,000 $30,000 –$7,240
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1,400 38.8 $7,760 $20,000 $40,000 –$12,240 |