3. Draw a pay-off table and a diagram for each of the following strategies. Show maximum

profit, maximum loss, and breakeven point(s). Use the suitable tables provided below.

a. LongStraddle

LongATMCallandATMPuthavethesameunderlyingasset andsamematurity. Long 11100 Call @ Rs. 287.75 and Long 11100 Put @ Rs. 273.3. LongStrangle

LongOTMCallandOTMPuthaving thesameunderlyingassetandsamematurity Long 11200 Call @ Rs. 238.75 and Long 11000 Put @ Rs. 233

b. Long Strangle

Long OTM Call and OTM Put having the same underlying asset and same maturity Long 11200 Call @ Rs. 238.75 and Long 11000 Put @ Rs. 233

c. Short Call Butterfly

Long ATM Call twice, Short ITM call, and Short OTM call

Long 11100 Call twice @ Rs. 287.75, Short 10800 Call @ Rs. 481.85, and Short 11400 Call @ Rs. 149.95

d. ShortPutButterfly

ShortATMPuttwice, LongITMPut,andLongOTM Put

Long11100Puttwice@Rs.273.3, Short10800Put@Rs.174.15andShort11400Put@ Rs. 421.45

4. Compare and contrast each strategy and find out which strategy is better.

Note: Use the following tables to support the above questions

Table 1: Nifty Option Closing Prices in Rupees as of March 02, 2020

CallPremiumStrikePricePutPremium481.8510800174.15413.1510900200.80347.9511000233.00287.7511100273.30238.7511200314.10192.6511300360.80149.9511400421.45

Table 2: Pay-off Table for Long Straddle

SpotPriceTotalPremiumCallPay-offPutPay-offLong Straddle NetProfit/Loss10000-561.0501100538.9510100-561.0501000438.9510200-561.050900338.9510300-561.050800238.9510400-561.050700138.9510500-561.05060038.9510600-561.050500-61.0510700-561.050400-161.0510800-561.050300-261.0510900-561.050200-361.0511000-561.050100-461.0511100-561.0500-561.0511200-561.051000-461.0511300-561.052000-361.0511400-561.053000-261.0511500-561.054000-161.0511600-561.055000-61.0511700-561.05600038.9511800-561.057000138.9511900-561.058000238.9512000-561.059000338.9512100-561.0510000438.9512200-561.0511000538.95

Table 3: Pay-offTableforLongStrangle

SpotPriceTotalPremiumCallPay-offPutPay-offLong Strangle NetProfit/Loss10000-471.7501000528.2510100-471.750900428.2510200-471.750800328.2510300-471.750700228.2510400-471.750600128.2510500-471.75050028.2510600-471.750400-71.7510700-471.750300-171.7510800-471.750200-271.75

continue

SpotPriceTotalPremiumCallPay-offPutPay-offLong Strangle NetProfit/Loss10900-471.750100-371.7511000-471.7500-471.7511100-471.7500-471.7511200-471.7500-471.7511300-471.751000-371.7511400-471.752000-271.7511500-471.753000-171.7511600-471.754000-71.7511700-471.75500028.2511800-471.756000128.2511900-471.757000228.2512000-471.758000328.2512100-471.759000428.2512200-471.7510000528.25

Table 4: Pay-off Table for Short Call Butterfly

SpotPriceTotal PremiumLong11100 Call twice Pay-offShort10800 CallPay-offShort11400 CallPay-offShortCallButterfly Net Profit / Loss1000056.300056.31010056.300056.31020056.300056.31030056.300056.31040056.300056.31050056.300056.31060056.300056.31070056.300056.31080056.300056.31090056.30-1000-43.71100056.30-2000-143.71110056.30-3000-243.71120056.3200-4000-143.71130056.3400-5000-43.71140056.3600-600056.31150056.3800-700-10056.31160056.31000-800-20056.31170056.31200-900-30056.31180056.31400-1000-40056.31190056.31600-1100-50056.31200056.31800-1200-60056.31210056.32000-1300-70056.31220056.32200-1400-80056.3

Table: 5 Pay-off Table for Short Put Butterfly

SpotPriceTotal PremiumLong 11100 Puttwice Pay- offShort10800 PutPay-off

Short11400Put

Pay-off

ShortPutButterfly Net Profit / Loss10000492200-800-14004910100492000-700-13004910200491800-600-12004910300491600-500-11004910400491400-400-10004910500491200-300-9004910600491000-200-800491070049800-100-7004910800496000-60049

continue

Spot PriceTotal PremiumLong 11100 PuttwicePay- offShort10800 PutPay-off

Short 11400Put

Pay-off

ShortPutButterfly Net Profit / Loss10900494000-500-5111000492000-400-151111004900-300-251112004900-200-151113004900-100-51114004900049115004900049116004900049117004900049118004900049119004900049120004900049121004900049122004900049