Question
You short a 28-30 strangle for $9.75. This means you sell a call with a strike of 30 for $5.25, and you sell a put
You short a 28-30 strangle for $9.75. This means you sell a call with a strike of 30 for $5.25, and you sell a put with a strike of 28 for $4.50.
Consider 4 scenarios at maturity:
1. S(T) = 20
2. S(T) = 25
3. S(T) = 29
4. S(T) = 39
What is the PNL in each scenario? (PNL stands for Profit and Loss)
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
23rd Edition
1647084105, 978-1647084103
