Question
Q. Draw a pay-off table and a diagram for each of the following strategies. Show maximum profit, maximum loss, and breakeven point(s). Use the suitable
Q. Draw a pay-off table and a diagram for each of the following strategies. Show maximum profit, maximum loss, and breakeven point(s). Use the suitable tables provided below.
- Long Strangle (10 marks)
Long OTM Call and OTM Put having the same underlying asset and same maturity Long 11200 Call @ Rs. 238.75 and Long 11000 Put @ Rs. 233
Table 1: Nifty Option Closing Prices in Rupees as of March 02, 2020
| CallPremium | StrikePrice | PutPremium |
| 481.85 | 10800 | 174.15 |
| 413.15 | 10900 | 200.80 |
| 347.95 | 11000 | 233.00 |
| 287.75 | 11100 | 273.30 |
| 238.75 | 11200 | 314.10 |
| 192.65 | 11300 | 360.80 |
| 149.95 | 11400 | 421.45 |
Table 3: Pay-offTableforLongStrangle
| SpotPrice | TotalPremium | CallPay-off | PutPay-off | Long Strangle NetProfit/Loss |
| 10000 | -471.75 | 0 | 1000 | 528.25 |
| 10100 | -471.75 | 0 | 900 | 428.25 |
| 10200 | -471.75 | 0 | 800 | 328.25 |
| 10300 | -471.75 | 0 | 700 | 228.25 |
| 10400 | -471.75 | 0 | 600 | 128.25 |
| 10500 | -471.75 | 0 | 500 | 28.25 |
| 10600 | -471.75 | 0 | 400 | -71.75 |
| 10700 | -471.75 | 0 | 300 | -171.75 |
| 10800 | -471.75 | 0 | 200 | -271.75 |
| SpotPrice | TotalPremium | CallPay-off | PutPay-off | Long Strangle NetProfit/Loss |
| 10900 | -471.75 | 0 | 100 | -371.75 |
| 11000 | -471.75 | 0 | 0 | -471.75 |
| 11100 | -471.75 | 0 | 0 | -471.75 |
| 11200 | -471.75 | 0 | 0 | -471.75 |
| 11300 | -471.75 | 100 | 0 | -371.75 |
| 11400 | -471.75 | 200 | 0 | -271.75 |
| 11500 | -471.75 | 300 | 0 | -171.75 |
| 11600 | -471.75 | 400 | 0 | -71.75 |
| 11700 | -471.75 | 500 | 0 | 28.25 |
| 11800 | -471.75 | 600 | 0 | 128.25 |
| 11900 | -471.75 | 700 | 0 | 228.25 |
| 12000 | -471.75 | 800 | 0 | 328.25 |
| 12100 | -471.75 | 900 | 0 | 428.25 |
| 12200 | -471.75 | 1000 | 0 | 528.25 |
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Handbook Of Research On Decision Making Techniques In Financial Marketing
Authors: Hasan Dinçer, Serhat Yüksel
1st Edition
1799825590, 978-1799825593
