Tham khảo tài liệu 'a logical approach to actuarial mathematics_4', tài chính - ngân hàng, tài chính doanh nghiệp phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 76 Part 2 Options spreads Table Long SPY June 117-119 call spread SPDR Spread 115 116 117 118 119 120 121 0 debit Value of spread at expiration 0 Profit loss Figure Expiration profit loss relating to Table Short call spread Neutral to bearish strategy Suppose you are neutral to bearish on the S P 500. With 45 days till expiration June time decay is beginning to accelerate. You would like to collect premium if the index stays in its current range or if it declines but you don t want to risk the unlimited loss from a short call. You may then sell the June 117 call at and in the same transaction pay for the June 119 call for a net credit of Your position is known as the short call spread because it is similar to a short The advantage of your spread is that it has a built-in stop-loss cover at the higher strike or 119. You may think of this spread as a potential sale of the stock at 117 and a potential buy of the stock at 119. For this risk you collect a premium. 4 This spread is also known as the bear call spread and the short vertical call spread. 8 Call spreads and put spreads or one by one directional spreads 77 The expiration profit loss of this spread is opposite to the above long call spread but the break-even level is the same. Here the maximum profit is the credit received from the spread or . This profit is earned if the stock is at or below the lower strike or 117. The maximum loss occurs if the stock is at or above the higher strike. This is calculated as the difference between strike prices minus the income from the spread or 119 - 117 - . The break-even level is the same as the long call spread. This is the level at which a loss due to an increase in the stock price matches the income from the spread. The calculation is the lower strike price plus the price of the spread or 117 . Below is a summary of this spread
