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  • C6 Synthetic Long Arbitrage1

    Transféré par

    Saquib Rahaman
    19 vues6 pages
    The document describes a synthetic call strategy using two option legs: a long call and short put at the same strike price to generate a net credit. It provides the details of the strategy including the underlying, spot price, premium amounts for the long call and short put. The document also includes a table showing the profit/loss calculations for the synthetic call at different ending market prices of the underlying.

    Description originale:

    options long arbitrage

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    The document describes a synthetic call strategy using two option legs: a long call and short put at the same strike price to generate a net credit. It provides the details of the strategy including the underlying, spot price, premium amounts for the long call and short put. The document also includes a table showing the profit/loss calculations for the synthetic call at different ending market prices of the underlying.

    Droits d'auteur :

    © All Rights Reserved
    Téléchargez comme XLSX, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    19 vues6 pages

    C6 Synthetic Long Arbitrage1

    Transféré par

    Saquib Rahaman
    The document describes a synthetic call strategy using two option legs: a long call and short put at the same strike price to generate a net credit. It provides the details of the strategy including the underlying, spot price, premium amounts for the long call and short put. The document also includes a table showing the profit/loss calculations for the synthetic call at different ending market prices of the underlying.

    Droits d'auteur :

    © All Rights Reserved
    Téléchargez comme XLSX, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 6

    Strategy Name Synthetic Call

    Number of option legs Two


    Direction Bullish
    Synthetic Call
    Particular Value
    Underlying Nifty
    Spot Price 7389
    Long Call (ATM) 7400
    Short PUT (ATM) 7400 Breakeven
    Long Call Debit for Long Call 107
    Debit for Short Put 80
    Net Premium -27

    Calculations
    Market Expiry CE_IV (ATM) PP Payof
    6700 0 107 -107
    6800 0 107 -107
    6900 0 107 -107
    7000 0 107 -107
    7100 0 107 -107
    7200 0 107 -107
    7300 0 107 -107
    7400 0 107 -107
    7500 100 107 -7
    7600 200 107 93
    7700 300 107 193
    7800 400 107 293
    7900 500 107 393
    8000 600 107 493
    8100 700 107 593
    8200 800 107 693
    8300 900 107 793
    8400 1000 107 893

    Legend
    CE_IV (ATM) Call Option intrinsic value
    PP Premium Paid
    PE_IV(ATM) Put option intrinsic value
    PR Premium Received
    7427

    PE_IV (ATM) PR Payof Net Payof


    700 80 -620 -727 Synthetic Call Pay
    600 80 -520 -627 1500
    500 80 -420 -527
    400 80 -320 -427
    300 80 -220 -327 1000
    200 80 -120 -227
    100 80 -20 -127
    0 80 80 -27 500
    0 80 80 73
    0 80 80 173
    0 80 80 273 0
    6700
    6800
    6900
    7000
    7100
    7200
    7300
    7400
    7500
    7600
    0 80 80 373
    0 80 80 473
    0 80 80 573 -500
    0 80 80 673
    0 80 80 773
    0 80 80 873 -1000
    0 80 80 973
    7100
    7200
    7300
    7400
    7500
    7600
    7700

    Synthetic Call Payof


    7800
    7900
    8000
    8100
    8200
    8300
    8400
    Synthetic Call with Futures
    Particular Value
    Underlying Nifty
    Spot Price 7299
    Long Call (ATM) 7300
    Short PUT (ATM) 7300 Spread
    Long Call Debit for Long Call 79.5
    Debit for Short Put 73.85
    Net Premium -5.65
    Short Futures 7316

    Calculations
    Market Expiry CE_IV (ATM) PP Payof
    6700 0 79.5 -79.5
    6800 0 79.5 -79.5
    6900 0 79.5 -79.5
    7000 0 79.5 -79.5
    7100 0 79.5 -79.5
    7200 0 79.5 -79.5
    7300 0 79.5 -79.5
    7400 100 79.5 20.5
    7500 200 79.5 120.5
    7600 300 79.5 220.5
    7700 400 79.5 320.5
    7800 500 79.5 420.5
    7900 600 79.5 520.5
    8000 700 79.5 620.5
    8100 800 79.5 720.5
    8200 900 79.5 820.5
    8300 1000 79.5 920.5
    8400 1100 79.5 1020.5

    Legend
    CE_IV (ATM) Call Option intrinsic value
    PP Premium Paid
    PE_IV(ATM) Put option intrinsic value
    PR Premium Received
    10.35

    PE_IV (ATM) PR Payof Short Fut Payof Net Payof


    600 73.85 -526.15 616 10.35
    500 73.85 -426.15 516 10.35
    400 73.85 -326.15 416 10.35
    300 73.85 -226.15 316 10.35
    200 73.85 -126.15 216 10.35
    100 73.85 -26.15 116 10.35
    0 73.85 73.85 16 10.35
    0 73.85 73.85 -84 10.35
    0 73.85 73.85 -184 10.35
    0 73.85 73.85 -284 10.35
    0 73.85 73.85 -384 10.35
    0 73.85 73.85 -484 10.35
    0 73.85 73.85 -584 10.35
    0 73.85 73.85 -684 10.35
    0 73.85 73.85 -784 10.35
    0 73.85 73.85 -884 10.35
    0 73.85 73.85 -984 10.35
    0 73.85 73.85 -1084 10.35

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