Bull spread with European Call Options

Inputs
S(0) =
r=
=
T=

X_buy =
X_sell =

60
8%
30%
1

Bought Call

Sold Call

d_1 =

0.416667

d_1 =

0.416667

d_2 =

0.116667

d_2 =

0.116667

C^E(0) =

9.426788

C^E(0) =

9.426788

60
60

Option Payoffs
S(T)
55.00
55.50
56.00
56.50
57.00
57.50
58.00
58.50
59.00
59.50
60.00
60.50
61.00
61.50
62.00
62.50
63.00
63.50
64.00
64.50
65.00
65.50
66.00
66.50
67.00
67.50
68.00
68.50
69.00
69.50
70.00
70.50
71.00
71.50
72.00

Payoff_b Payoff_s Payoff_spread

-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-9.43
9.43
0.00
-8.93
8.93
0.00
-8.43
8.43
0.00
-7.93
7.93
0.00
-7.43
7.43
0.00
-6.93
6.93
0.00
-6.43
6.43
0.00
-5.93
5.93
0.00
-5.43
5.43
0.00
-4.93
4.93
0.00
-4.43
4.43
0.00
-3.93
3.93
0.00
-3.43
3.43
0.00
-2.93
2.93
0.00
-2.43
2.43
0.00
-1.93
1.93
0.00
-1.43
1.43
0.00
-0.93
0.93
0.00
-0.43
0.43
0.00
0.07
-0.07
0.00
0.57
-0.57
0.00
1.07
-1.07
0.00
1.57
-1.57
0.00
2.07
-2.07
0.00
2.57
-2.57
0.00

Bull Spread Payoff

15.00
10.00
5.00
0.00
55.00
-5.00
-10.00
-15.00

60.00

65.00

72.50
73.00
73.50
74.00
74.50
75.00
75.50
76.00
76.50
77.00
77.50
78.00
78.50
79.00
79.50
80.00

3.07
3.57
4.07
4.57
5.07
5.57
6.07
6.57
7.07
7.57
8.07
8.57
9.07
9.57
10.07
10.57

-3.07
-3.57
-4.07
-4.57
-5.07
-5.57
-6.07
-6.57
-7.07
-7.57
-8.07
-8.57
-9.07
-9.57
-10.07
-10.57

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

Bull Spread Payoff

65.00

70.00

75.00

80.00

Bear spread with European Call Options

Inputs
S(0) =
r=
=
T=

X_buy =
X_sell =

60
8%
30%
1

Bought Put

Sold Put

d_1 =

0.416667

d_1 =

0.416667

d_2 =

0.116667

d_2 =

0.116667

P^E(0) =

4.813768

P^E(0) =

4.813768

60
60

Option Payoffs
S(T)
45.00
45.50
46.00
46.50
47.00
47.50
48.00
48.50
49.00
49.50
50.00
50.50
51.00
51.50
52.00
52.50
53.00
53.50
54.00
54.50
55.00
55.50
56.00
56.50
57.00
57.50
58.00
58.50
59.00
59.50
60.00
60.50
61.00
61.50
62.00

Payoff_b Payoff_s Payoff_spread

10.19
-10.19
0.00
9.69
-9.69
0.00
9.19
-9.19
0.00
8.69
-8.69
0.00
8.19
-8.19
0.00
7.69
-7.69
0.00
7.19
-7.19
0.00
6.69
-6.69
0.00
6.19
-6.19
0.00
5.69
-5.69
0.00
5.19
-5.19
0.00
4.69
-4.69
0.00
4.19
-4.19
0.00
3.69
-3.69
0.00
3.19
-3.19
0.00
2.69
-2.69
0.00
2.19
-2.19
0.00
1.69
-1.69
0.00
1.19
-1.19
0.00
0.69
-0.69
0.00
0.19
-0.19
0.00
-0.31
0.31
0.00
-0.81
0.81
0.00
-1.31
1.31
0.00
-1.81
1.81
0.00
-2.31
2.31
0.00
-2.81
2.81
0.00
-3.31
3.31
0.00
-3.81
3.81
0.00
-4.31
4.31
0.00
-4.81
4.81
0.00
-4.81
4.81
0.00
-4.81
4.81
0.00
-4.81
4.81
0.00
-4.81
4.81
0.00

Bear Spread Payoff

15.00
10.00
5.00
0.00
45.00
-5.00
-10.00
-15.00

50.00

55.00

62.50
63.00
63.50
64.00
64.50
65.00
65.50
66.00
66.50
67.00
67.50
68.00
68.50
69.00
69.50
70.00

-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81
-4.81

4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81
4.81

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

Bear Spread Payoff

60.00

65.00

70.00

Butterfly with European Call Options

Inputs
S(0) =
r=
=
T=

X_low_buy =
X_sell =
X_high_buy =

60
8%
30%
1

Bought Low Call

Sold Calls

d_1 =

0.416667

d_1 =

0.416667

d_2 =

0.116667

d_2 =

0.116667

C^E(0) =

9.426788

C^E(0) =

9.426788

60
60
60

Option Payoffs
S(T)
Payoff_lb Payoff_s Payoff_hb Payoff_butterfly
50.00
-9.43
18.85
-9.43
0.00
50.50
-9.43
18.85
-9.43
0.00
51.00
-9.43
18.85
-9.43
0.00
51.50
-9.43
18.85
-9.43
0.00
52.00
-9.43
18.85
-9.43
0.00
52.50
-9.43
18.85
-9.43
0.00
53.00
-9.43
18.85
-9.43
0.00
53.50
-9.43
18.85
-9.43
0.00
54.00
-9.43
18.85
-9.43
0.00
54.50
-9.43
18.85
-9.43
0.00
55.00
-9.43
18.85
-9.43
0.00
55.50
-9.43
18.85
-9.43
0.00
56.00
-9.43
18.85
-9.43
0.00
56.50
-9.43
18.85
-9.43
0.00
57.00
-9.43
18.85
-9.43
0.00
57.50
-9.43
18.85
-9.43
0.00
58.00
-9.43
18.85
-9.43
0.00
58.50
-9.43
18.85
-9.43
0.00
59.00
-9.43
18.85
-9.43
0.00
59.50
-9.43
18.85
-9.43
0.00
60.00
-9.43
18.85
-9.43
0.00
60.50
-8.93
17.85
-8.93
0.00
61.00
-8.43
16.85
-8.43
0.00
61.50
-7.93
15.85
-7.93
0.00
62.00
-7.43
14.85
-7.43
0.00
62.50
-6.93
13.85
-6.93
0.00
63.00
-6.43
12.85
-6.43
0.00
63.50
-5.93
11.85
-5.93
0.00
64.00
-5.43
10.85
-5.43
0.00
64.50
-4.93
9.85
-4.93
0.00
65.00
-4.43
8.85
-4.43
0.00
65.50
-3.93
7.85
-3.93
0.00
66.00
-3.43
6.85
-3.43
0.00
66.50
-2.93
5.85
-2.93
0.00
67.00
-2.43
4.85
-2.43
0.00

25.00
20.00
15.00
10.00
5.00
0.00
50.00
-5.00
-10.00
-15.00

55.00

67.50
68.00
68.50
69.00
69.50
70.00

-1.93
-1.43
-0.93
-0.43
0.07
0.57

3.85
2.85
1.85
0.85
-0.15
-1.15

-1.93
-1.43
-0.93
-0.43
0.07
0.57

0.00
0.00
0.00
0.00
0.00
0.00

Bought High Call

d_1 =

0.416667

d_2 =

0.116667

C^E(0) =

9.426788

Butterfly Payoff

55.00

60.00

65.00

70.00