Question: Q. 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

Q. 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.

  1. Long Strangle (10 marks)

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

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

CallPremium StrikePrice PutPremium
481.85 10800 174.15
413.15 10900 200.80
347.95 11000 233.00
287.75 11100 273.30
238.75 11200 314.10
192.65 11300 360.80
149.95 11400 421.45

Table 3: Pay-offTableforLongStrangle

SpotPrice TotalPremium CallPay-off PutPay-off Long Strangle NetProfit/Loss
10000 -471.75 0 1000 528.25
10100 -471.75 0 900 428.25
10200 -471.75 0 800 328.25
10300 -471.75 0 700 228.25
10400 -471.75 0 600 128.25
10500 -471.75 0 500 28.25
10600 -471.75 0 400 -71.75
10700 -471.75 0 300 -171.75
10800 -471.75 0 200 -271.75

SpotPrice TotalPremium CallPay-off PutPay-off Long Strangle NetProfit/Loss
10900 -471.75 0 100 -371.75
11000 -471.75 0 0 -471.75
11100 -471.75 0 0 -471.75
11200 -471.75 0 0 -471.75
11300 -471.75 100 0 -371.75
11400 -471.75 200 0 -271.75
11500 -471.75 300 0 -171.75
11600 -471.75 400 0 -71.75
11700 -471.75 500 0 28.25
11800 -471.75 600 0 128.25
11900 -471.75 700 0 228.25
12000 -471.75 800 0 328.25
12100 -471.75 900 0 428.25
12200 -471.75 1000 0 528.25

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