Académique Documents
Professionnel Documents
Culture Documents
• Description:
Cboe Bitcoin (USD) futures are cash-settled futures contracts that are based on the Gemini
auction price for bitcoin in U.S. dollars.
• Contract Multiplier:
The contract multiplier for the XBT futures contract is 1 bitcoin.
• Ticker Symbol:
Futures Symbol - XBT
Final Settlement Value Symbol – XBTS
• Contract Expirations:
The Exchange may list for trading up to four near-term expiration weeks ("weekly"
contracts), three near-term serial months ("serial" contracts), and three months on the
March quarterly cycle ("quarterly" contracts).
Understanding the operations of margin
• You have gone long on five contracts of bitcoin futures at $18550 on
12th December
• Initial Margin: 44%
• Maintenance Margin: 40%
Operations of Margin for five contracts in
bitcoin futures on CBOE
contracts 5 Initial Margin 44% M. Margin 40%
Contract
Size 92750 40810 16324
7
Types of Strategies
• Hedge
• Holding single option on a stock and the stock
itself
• Spread
• Taking a position in two (or more) options of
the same type.
• Combination
• Taking a position in both calls and puts on the
same stock
8
Hedge strategy
• Covered call
• Protective put
9
Covered call: long on stock & short on call
• Eg. You own shares of XYZ company. The current price of the stock is
Rs. 900 and you take a short position (or sell) in a call option at a
strike price of Rs.1000 for a premium of Rs. 50.
• Calculate the payoff
Payoff table for covered call
Long Stock Short Call
S0 900 K 1000
C 50
-100
-150
-200
P/L from stock Net P/L from Put Net P/L
• Investment Goal: You are holding a stock for medium term to long
term but want to protect yourself from a near term loss.
• View on the stock: Conservatively Bullish
Reliance industries 1-month stock price data
Spread trading strategy
• Bull Spreads
• Bear Spreads
• Box Spread
• Butterfly Spreads
• Calendar Spreads
• Diagonal Spreads
• K1<K2
• Eg. Suppose u buy a call option for stocks of company XYZ for strike
price of Rs. 30 for Rs. 3 and simultaneously sell a call option for strike
price of Rs. 35 for Rs.1 of the same underlying.
Payoff Table for a Bull Spread
15
10
0
15 20 25 30 35 40 45 50
-5
-10
-15
-20
Net P/L from long Call Net P/L from Short Call Net from strategy
• Investment Goal: Bring down the cost and break-even on a long
position for call
• View on the Stock: Moderately Bullish to Bullish
Bear Spread
• Long Put at strike price K1
• Short Put at strike price K2
• K1>K2
• Eg. Suppose u buy a put option for stocks of company XYZ for strike
price of Rs. 35 for Rs. 3 and simultaneously sell a call option for strike
price of Rs. 30 for Rs.1 of the same underlying.
Payoff Table for Bear Spread
15
10
0
15 20 25 30 35 40 45 50
-5
-10
-15
-20
• Investment Goal: Bring down the cost and raise the break-even on a
long position for put
• View on the Stock: Moderately Bearish
Combination Strategy: Straddle
• Long on Call at the same time long on put
• Both the options with the same strike price and expiration date
• Eg. Suppose you buy a call option and a put option for the shares of
company ABC. Both with strike price of Rs. 70 at Rs. 10 and 3
respectively.
Payoff table for straddle
Premium Net P/L Premium Net P/L
P/L for on long from P/L for on long from Net from
ST long Put put long Put long call call long call strategy
30 40 -3 37 0 -10 -10 27
40 30 -3 27 0 -10 -10 17
50 20 -3 17 0 -10 -10 7
60 10 -3 7 0 -10 -10 -3
70 0 -3 -3 0 -10 -10 -13
80 0 -3 -3 10 -10 0 -3
90 0 -3 -3 20 -10 10 7
100 0 -3 -3 30 -10 20 17
110 0 -3 -3 40 -10 30 27
120 0 -3 -3 50 -10 40 37
Straddle
Straddle
50
40
30
20
10
0
30 40 50 60 70 80 90 100 110 120
-10
-20
Net P/L from long call Net from strategy Net P/L from long Put
• Investment Goal: To gain
• Stock View: High Volatility
Thank You!!!