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The Plain and Simple Guide to Successful Strategies_3

Tham khảo tài liệu 'the plain and simple guide to successful strategies_3', tài chính - ngân hàng, đầu tư chứng khoán phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 13 Butterflies and condors combining call spreads and put spreads 145 Table 13.5 Marks and Spencer long April 320-330-340-350 put condor M S 310.00 320.00 322.25 330.00 340.00 347.75 350.00 360.00 Spread debit -2.25 - Value of long 350-340 put spread at expiry 10.00 10.00 10.00 10 .00 10.00 2.25 0.00 0.00 Value of short 330-320 put spread at expiration -10.00 -10.00 -7.75 0.00 0.00 0.00 0.00 0.00 Profit loss -2.25 -2.25 0.00 7.75 7.75 0.00 -2.25 -2.25 Figure 13.5 Expiration profit loss relating to Table 13.5 Long at-the-money put condor For stationary markets Put condors like call condors can be placed at many different strikes depending on your near-term outlook for the underlying. If your outlook calls for a stationary market but you wish to leave room for error on the downside you can substitute the long at-the-money put condor for the at-the-money put butterfly. You might for example buy the above April 360-350-340-330 put condor for a debit of 3.5 The downside profit potential of this spread is Put condors can be placed at many different strikes depending on your near-term outlook for the underlying 146 Part 2 Options spreads the same as the upside profit potential of the long April 340-350-360-370 call condor. The profit loss at expiration is summarised as follows Debit from long April 360 put -16.25 Debit from long April 330 put -3.75 Credit from short April 350 put 10.25 Credit from short April 340 put 6.25 Total debit -3.50 Maximum profit difference between highest two strikes minus spread debit 360 - 350 - 3.5 6.5 Range of maximum profit 350 - 340 Upper break-even level highest strike minus spread debit 360 - 3.5 356.5 Lower break-even level lowest strike plus spread debit 330 3.5 333.5 Profit range 356.5 - 333.5 23 Maximum loss cost of spread 3.5 The risk return ratio is again favourable at 3.5 6.5 0.54 for 1 or 1 1.85. By now you should be an expert at tabulating and graphing the expiration profit loss levels of condors and butterflies. Short .