36 lines
1.8 KiB
Plaintext
36 lines
1.8 KiB
Plaintext
528A COMPleTe gUIde TO THe FUTUreS MArKeT
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Comment. Comments analogous to those made for Strategy 13 would apply here. The sale of a put
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against a short futures position is equivalent to the sale of a call. The reader can verify this by compar-
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ing Figure 35.14 to Figure 35.4 a. The two strategies would be precisely equivalent (ignoring transac-
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tion cost diff erences) if the put and call premiums were equal.
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Strategy 15: Synthetic Long Futures (Long Call + Short put)
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example . Buy an August $1,150 gold futures call at a premium of $70.10/oz ($7,010) and simultane-
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ously sell an August $1,150 gold futures put at a premium of $19.90/oz ($1,990). (See Table 35.15
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and Figure 35.15 .)
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Comment. A synthetic long futures position can be created by combining a long call and a short put
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for the same expiration date and the same strike price. For example, as illustrated in Table 35.15 and Figure
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35.15 , the combined position of a long August $1,150 call and a short August $1,150 put is virtually
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identical to a long August futures position. The reason for this equivalence is tied to the fact that the
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diff erence between the premium paid for the call and the premium received for the put is approxi-
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mately equal to the intrinsic value of the call. each $1 increase in price will raise the intrinsic value of
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the call by an equivalent amount and each $1 decrease in price will reduce the intrinsic value of the
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FIGURE 35.14 Profi t/loss Profi le: Covered Put Write—Short Futures + Short Put (Similar
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to Short Call)
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Price of August gold futures at option expiration ($/oz)
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1,000 1,050 1,100 1,150 1,200 1,250
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Futures price at time
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of position initiation
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and strike price Breakeven price
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= $1,238.70
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1,300 1,350 1,400
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Profit/loss at expiration ($)
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5,000
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2,500
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0
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−2,500
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−7 ,500
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−10,000
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−12,500
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−17 ,500
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−15,000
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−5,000 |