Question
You are using the trading strategy of Short Strip using November maturity options The stock is traded at $230 Calls Puts Strike Oct Nov Dec
You are using the trading strategy of Short Strip using November maturity options
The stock is traded at $230
|
| Calls |
|
| Puts |
|
|
| Strike | Oct | Nov | Dec | Oct | Nov | Dec |
| 225 | 12 | 18 | 24 | 1 | 6 | 8 |
| 230 | 6 | 15 | 19 | 3 | 9 | 12 |
| 235 | 3 | 12 | 17 | 6 | 15 | 19 |
What are the maximal profit and the maximal loss of the strategy?
When does the strategy make a profit?
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Advanced Modelling In Mathematical Finance
Authors: Jan Kallsen, Antonis Papapantoleon
1st Edition
3319458736, 978-3319458731
