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Using the risk reversal options strategy: Calculations employed to create the hedge Write 5X the PEP March $145 calls at $16.77, and buy 5X the
Using the risk reversal options strategy:
Calculations employed to create the hedge
- Write 5X the PEP March $145 calls at $16.77, and buy 5X the PEP $140 puts at $0.09
- Write 5X the USO March $40 calls at $27.50, and buy 5X the USO $35 puts at $0.07
- Write 5X the SBUX March $75 calls at $12.15, and buy 5X the SBUX $65 puts at $0.04
- Write 5X the YETI March $58 calls at $4.10, and buy 5X the YETI $45 puts at $0.47
- Write 5X the JNJ March $145 calls at $19.20, and buy 5X the JNJ $115 puts at $0.03
Portfolio losses for a range of underlying market moves
Market moves | PEP | USO | SBUX | YETI | JNJ |
-10% |
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-5% |
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0% |
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5% |
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10% |
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