Option Strategies and Payoff Diagrams

Input Table

Instrument
Stock Shares
Call Option 1
Call Option 2
Call Option 3
Call Option 4
Call Option 5
Put Option 1
Put Option 2
Put Option 3
Put Option 4
Put Option 5

Option
Initial Position Strike Price
n/a
buy
11,200.00
sell
11,300.00
sell
11,900.00
buy
12,000.00
n/a
100.00
n/a
90.00
n/a
110.00
n/a
100.00
n/a
100.00
n/a
100.00

# of Units
Traded (1
Current Unit
option
Price of
covers 1
Instrument
share)
11,000.00
1
555.00
100
480.00
100
155.00
100
122.05
100
3.00
1
1.00
1
12.50
1
2.00
1
3.00
1
3.00
1
Net Investment:

Instrument Stock Shares Call Option 1 Call Option 2

Initial Position
n/a
buy
sell
Initial Stock
Price or
Option Strike
11,000.00
11,200.00
11,300.00
Units Traded
1.00
100.00
100.00

-50%
-49%
-48%
-47%
-46%
-45%
-44%
-43%
-42%
-41%
-40%
-39%
-38%
-37%
-36%
-35%
-34%
-33%

Investment
(55,500.00)
48,000.00
15,500.00
(12,205.00)
(4,205.00)

Call Option 3 Call Option 4

sell
buy

11,900.00
100.00

12,000.00
100.00

Stock Price at Cash Flow at Cash Flow at Cash Flow at Cash Flow at Cash Flow at
Option Expiry
Expiry
Expiry
Expiry
Expiry
Expiry
10,500.00
10,525.00
10,550.00
10,575.00
10,600.00
10,625.00
10,650.00
10,675.00
10,700.00
10,725.00
10,750.00
10,775.00
10,800.00
10,825.00
10,850.00
10,875.00
10,900.00
10,925.00
-

-32%
-31%
-30%
-29%
-28%
-27%
-26%
-25%
-24%
-23%
-22%
-21%
-20%
-19%
-18%
-17%
-16%
-15%
-14%
-13%
-12%
-11%
-10%
-9%
-8%
-7%
-6%
-5%
-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
12%
13%
14%
15%
16%

10,950.00
10,975.00
11,000.00
11,025.00
11,050.00
11,075.00
11,100.00
11,125.00
11,150.00

11,175.00
11,200.00
11,225.00
11,250.00
11,275.00
11,300.00
11,325.00
11,350.00
11,375.00
11,400.00
11,425.00
11,450.00
11,475.00
11,500.00
11,525.00
11,550.00
11,575.00
11,600.00
11,625.00
11,650.00
11,675.00
11,700.00
11,725.00
11,750.00
11,775.00
11,800.00
11,825.00
11,850.00
11,875.00
11,900.00
11,925.00
11,950.00
11,975.00
12,000.00
12,025.00
12,050.00
12,075.00
12,100.00
12,125.00
12,150.00

2,500.00
5,000.00
7,500.00
10,000.00
12,500.00
15,000.00
17,500.00
20,000.00
22,500.00
25,000.00
27,500.00
30,000.00
32,500.00
35,000.00
37,500.00
40,000.00
42,500.00
45,000.00
47,500.00
50,000.00
52,500.00
55,000.00
57,500.00
60,000.00
62,500.00
65,000.00
67,500.00
70,000.00
72,500.00
75,000.00
77,500.00
80,000.00
82,500.00
85,000.00
87,500.00
90,000.00
92,500.00
95,000.00

(2,500.00)
(5,000.00)
(7,500.00)
(10,000.00)
(12,500.00)
(15,000.00)
(17,500.00)
(20,000.00)
(22,500.00)
(25,000.00)
(27,500.00)
(30,000.00)
(32,500.00)
(35,000.00)
(37,500.00)
(40,000.00)
(42,500.00)
(45,000.00)
(47,500.00)
(50,000.00)
(52,500.00)
(55,000.00)
(57,500.00)
(60,000.00)
(62,500.00)
(65,000.00)
(67,500.00)
(70,000.00)
(72,500.00)
(75,000.00)
(77,500.00)
(80,000.00)
(82,500.00)
(85,000.00)

(2,500.00)
(5,000.00)
(7,500.00)
(10,000.00)
(12,500.00)
(15,000.00)
(17,500.00)
(20,000.00)
(22,500.00)
(25,000.00)

2,500.00
5,000.00
7,500.00
10,000.00
12,500.00
15,000.00

17%
18%
19%
20%
21%
22%
23%
24%
25%
26%
27%
28%
29%
30%
31%
32%
33%
34%
35%
36%
37%
38%
39%
40%
41%
42%
43%
44%
45%
46%
47%
48%
49%
50%

12,175.00
12,200.00
12,225.00
12,250.00
12,275.00
12,300.00
12,325.00
12,350.00
12,375.00
12,400.00
12,425.00
12,450.00
12,475.00
12,500.00
12,525.00
12,550.00
12,575.00
12,600.00
12,625.00
12,650.00
12,675.00
12,700.00
12,725.00
12,750.00
12,775.00
12,800.00
12,825.00
12,850.00
12,875.00
12,900.00
12,925.00
12,950.00
12,975.00
13,000.00

97,500.00
100,000.00
102,500.00
105,000.00
107,500.00
110,000.00
112,500.00
115,000.00
117,500.00
120,000.00
122,500.00
125,000.00
127,500.00
130,000.00
132,500.00
135,000.00
137,500.00
140,000.00
142,500.00
145,000.00
147,500.00
150,000.00
152,500.00
155,000.00
157,500.00
160,000.00
162,500.00
165,000.00
167,500.00
170,000.00
172,500.00
175,000.00
177,500.00
180,000.00

(87,500.00)
(90,000.00)
(92,500.00)
(95,000.00)
(97,500.00)
(100,000.00)
(102,500.00)
(105,000.00)
(107,500.00)
(110,000.00)
(112,500.00)
(115,000.00)
(117,500.00)
(120,000.00)
(122,500.00)
(125,000.00)
(127,500.00)
(130,000.00)
(132,500.00)
(135,000.00)
(137,500.00)
(140,000.00)
(142,500.00)
(145,000.00)
(147,500.00)
(150,000.00)
(152,500.00)
(155,000.00)
(157,500.00)
(160,000.00)
(162,500.00)
(165,000.00)
(167,500.00)
(170,000.00)

(27,500.00)
(30,000.00)
(32,500.00)
(35,000.00)
(37,500.00)
(40,000.00)
(42,500.00)
(45,000.00)
(47,500.00)
(50,000.00)
(52,500.00)
(55,000.00)
(57,500.00)
(60,000.00)
(62,500.00)
(65,000.00)
(67,500.00)
(70,000.00)
(72,500.00)
(75,000.00)
(77,500.00)
(80,000.00)
(82,500.00)
(85,000.00)
(87,500.00)
(90,000.00)
(92,500.00)
(95,000.00)
(97,500.00)
(100,000.00)
(102,500.00)
(105,000.00)
(107,500.00)
(110,000.00)

17,500.00
20,000.00
22,500.00
25,000.00
27,500.00
30,000.00
32,500.00
35,000.00
37,500.00
40,000.00
42,500.00
45,000.00
47,500.00
50,000.00
52,500.00
55,000.00
57,500.00
60,000.00
62,500.00
65,000.00
67,500.00
70,000.00
72,500.00
75,000.00
77,500.00
80,000.00
82,500.00
85,000.00
87,500.00
90,000.00
92,500.00
95,000.00
97,500.00
100,000.00

Call Option 5 Put Option 1 Put Option 2 Put Option 3 Put Option 4 Put Option 5
n/a
n/a
n/a
n/a
n/a
n/a

100.00
1.00

90.00
1.00

110.00
1.00

100.00
1.00

100.00
1.00

Cash Flow at Cash Flow at Cash Flow at Cash Flow at Cash Flow
Expiry
Expiry
Expiry
Expiry
at Expiry
-

100.00
1.00
Total Cash
Cash Flow
Flow at
at Expiry
Expiry
-

Position
Profit /
(Loss) at
Expiry
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)

2,500.00
5,000.00
7,500.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
10,000.00
7,500.00
5,000.00
2,500.00
-

(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(1,705.00)
795.00
3,295.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
5,795.00
3,295.00
795.00
(1,705.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)

(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)
(4,205.00)

Position Profit / (Loss) at Expiry

7,000.00

5,000.00

3,000.00

1,000.00
10,700.00
(1,000.00)

10,900.00

11,100.00

11,300.00

11,500.00

11,700.00

11,900.00

(3,000.00)

(5,000.00)

(7,000.00)
Position Profit / (Loss) at Expiry

12,100.00

12,300.00

12,300.00

12,500.00

12,700.00

BLACK SCHOLES OPTION PRICING MODEL

Standard deviation
Variance
Time to expiration
Risk free rate
Share price
Exercise price
Todays date
Expiry date

16.43%
0.026999606
0.079452055
10.00%
11000
11200
10/31/2012
11/29/2012

16.43%
0.026999606
0.079452055
10.00%
11000
11300
10/31/2012
11/29/2012

-0.194332584
-0.24064861
0.422957737
0.404913736
0.39

-0.386252062
-0.432568088
0.349655
0.332664289
0.37

Call option price

Intrinsic value
Speculative premium

Rs. 153.39
Rs. 0.00
Rs. 153.39

Rs. 116.85
Rs. 0.00
Rs. 116.85

Put option price

Intrinsic value
Speculative premium

Rs. 264.76
Rs. 200.00
Rs. 64.76

Rs. 327.42
Rs. 300.00
Rs. 27.42

0.4230
0.0008
-1705.0722
1213.8212
357.4663

0.3497
0.0007
-1560.0775
1148.0452
296.3052

-0.5770
0.0008
-593.9356
1213.8212
-525.3546

-0.6503
0.0007
-439.0200
1148.0452
-594.3981

D1
D2
N( D1 )
N( D2 )
N'( D1 )

CALL
Delta
Gamma
Theta
Vega
Rho
PUT
Delta
Gamma
Theta
Vega
Rho

3000
2000

2000
1000
0
10000
-1000
-2000
-3000
-4000
-5000
-6000
-7000

10500

11000

11500

12000

12500

13000

G MODEL
11585
11000
10550
10600
10650
10700
10750
10800
10850
10900
10950
11000
11050
11100
11150
11200
11250
11300
11350
11400
11450
11500
11550
11600
11650
11700
11750
11800
11850
11900
11950
12000
12050
12100
12150
12200
12250
12300
12350
12400

11200
555
11200
153
33
41
49
59
71
84
98
115
133
153
176
200
226
253
283
315
348
383
420
458
498
539
581
624
668
713
759
805
852
899
947
996
1044
1093
1142
1191
1241
1290

11300
479
11300
117
22
28
34
42
51
61
72
85
100
117
135
156
178
202
228
256
286
317
350
385
422
460
500
541
582
626
670
714
760
806
853
901
948
997
1045
1094
1143
1192

Lot Size
100

-7600

100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

3654
1072
1272
1495
1742
2011
2303
2615
2946
3294
3654
4025
4404
4785
5167
5545
5916
6277
6625
6957
7272
7568
7844
8099
8332
8544
8735
8906
9057
9191
9307
9409
9496
9570
9633
9686
9731
9768
9798

-3946
-6528
-6328
-6105
-5858
-5589
-5297
-4985
-4654
-4306
-3946
-3575
-3196
-2815
-2433
-2055
-1684
-1323
-975
-643
-328
-32
244
499
732
944
1135
1306
1457
1591
1707
1809
1896
1970
2033
2086
2131
2168
2198

13000

Series1

12450
12500
12550
12600
12650
12700
12750
12800
12850
12900
12950
13000
13050
13100
13150
13200
13250
13300
13350
13400
13450
13500
13550
13600
13650
13700
13750
13800
13850
13900
13950
14000
14050
14100
14150
14200
14250
14300
14350
14400
14450
14500
14550
14600

1340
1390
1439.364
1489.1875
1539.0514
1588.9472
1638.8677
1688.8075
1738.7621
1788.7281
1838.7028
1888.684
1938.6701
1988.66
2038.6525
2088.6472
2138.6433
2188.6405
2238.6385
2288.6371
2338.636
2388.6353
2438.6348
2488.6345
2538.6343
2588.6341
2638.634
2688.6339
2738.6338
2788.6338
2838.6338
2888.6338
2938.6338
2988.6337
3038.6337
3088.6337
3138.6337
3188.6337
3238.6337
3288.6337
3338.6337
3388.6337
3438.6337
3488.6337

1242
1291
1340.7617
1390.4531
1440.2116
1490.0237
1539.8784
1589.7666
1639.681
1689.616
1739.5667
1789.5296
1839.5019
1889.4812
1939.4659
1989.4547
2039.4464
2089.4404
2139.436
2189.4328
2239.4306
2289.429
2339.4278
2389.427
2439.4264
2489.426
2539.4257
2589.4255
2639.4254
2689.4253
2739.4252
2789.4252
2839.4252
2889.4251
2939.4251
2989.4251
3039.4251
3089.4251
3139.4251
3189.4251
3239.4251
3289.4251
3339.4251
3389.4251

100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

9823
9844
9860
9873
9884
9892
9899
9904
9908
9911
9914
9915
9917
9918
9919
9919
9920
9920
9920
9920
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921

2223
2244
2260
2273
2284
2292
2299
2304
2308
2311
2314
2315
2317
2318
2319
2319
2320
2320
2320
2320
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321

14650
14700
14750
14800
14850
14900
14950
15000
15050
15100
15150
15200
15250
15300
15350
15400
15450
15500
15550
15600
15650
15700
15750
15800
15850
15900
15950
16000
16050
16100
16150
16200
16250
16300
16350
16400
16450
16500
16550
16600
16650
16700
16750
16800

3538.6337
3588.6337
3638.6337
3688.6337
3738.6337
3788.6337
3838.6337
3888.6337
3938.6337
3988.6337
4038.6337
4088.6337
4138.6337
4188.6337
4238.6337
4288.6337
4338.6337
4388.6337
4438.6337
4488.6337
4538.6337
4588.6337
4638.6337
4688.6337
4738.6337
4788.6337
4838.6337
4888.6337
4938.6337
4988.6337
5038.6337
5088.6337
5138.6337
5188.6337
5238.6337
5288.6337
5338.6337
5388.6337
5438.6337
5488.6337
5538.6337
5588.6337
5638.6337
5688.6337

3439.4251
3489.4251
3539.4251
3589.4251
3639.4251
3689.4251
3739.4251
3789.4251
3839.4251
3889.4251
3939.4251
3989.4251
4039.4251
4089.4251
4139.4251
4189.4251
4239.4251
4289.4251
4339.4251
4389.4251
4439.4251
4489.4251
4539.4251
4589.4251
4639.4251
4689.4251
4739.4251
4789.4251
4839.4251
4889.4251
4939.4251
4989.4251
5039.4251
5089.4251
5139.4251
5189.4251
5239.4251
5289.4251
5339.4251
5389.4251
5439.4251
5489.4251
5539.4251
5589.4251

100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921

2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321

16850
16900
16950
17000
17050
17100
17150
17200
17250
17300
17350
17400
17450
17500

5738.6337
5788.6337
5838.6337
5888.6337
5938.6337
5988.6337
6038.6337
6088.6337
6138.6337
6188.6337
6238.6337
6288.6337
6338.6337
6388.6337

5639.4251
5689.4251
5739.4251
5789.4251
5839.4251
5889.4251
5939.4251
5989.4251
6039.4251
6089.4251
6139.4251
6189.4251
6239.4251
6289.4251

100
100
100
100
100
100
100
100
100
100
100
100
100
100

9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921
9921

2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321
2321