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Involving Options
Chapter 11
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
Strategies to be Considered
Bond
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
depends on
Level of dividends
Level of interest rates
Volatility of the portfolio
Variations
on standard product
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
Profit
K
K
ST
(a)
ST
(b
Profit )
Profit
K
ST
ST
(c
(d
Fundamentals of Futures and )Options Markets, 8th Ed, Ch 11, Copyright ) John C. Hull 2013
Profit
ST
K1
K2
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
Profit
K1
K2
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
Profit
K1
K2
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
Profit
K1
K2
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
Box Spread
A
10
Profit
K1
K2
K3
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
11
Profit
K1
K2
K3
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
12
Profit
ST
K
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
13
Profit
ST
K
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
14
A Straddle Combination
Figure 11.10, page 266
Profit
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
15
Profit
Profit
K
Strip
ST
ST
Strap
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
16
A Strangle Combination
Figure 11.12, page 268
Profit
K1
K2
ST
Fundamentals of Futures and Options Markets, 8th Ed, Ch 11, Copyright John C. Hull 2013
17
18