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  • C6 Synthetic Long Arbitrage1

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    Vinoth Kumar
    10 views8 pages
    The document describes a synthetic call options strategy involving going long on a call option and short on a put option with the same strike price. It provides the details of the underlying asset, spot price, option prices, premium paid and received. It then shows the profit/loss calculations for different expiration prices to illustrate how the strategy provides upside profit potential like a long call, with limited downside risk. A second part describes adding short futures to the strategy to make it delta neutral.

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    C6

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    The document describes a synthetic call options strategy involving going long on a call option and short on a put option with the same strike price. It provides the details of the underlying asset, spot price, option prices, premium paid and received. It then shows the profit/loss calculations for different expiration prices to illustrate how the strategy provides upside profit potential like a long call, with limited downside risk. A second part describes adding short futures to the strategy to make it delta neutral.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    10 views8 pages

    C6 Synthetic Long Arbitrage1

    Uploaded by

    Vinoth Kumar
    The document describes a synthetic call options strategy involving going long on a call option and short on a put option with the same strike price. It provides the details of the underlying asset, spot price, option prices, premium paid and received. It then shows the profit/loss calculations for different expiration prices to illustrate how the strategy provides upside profit potential like a long call, with limited downside risk. A second part describes adding short futures to the strategy to make it delta neutral.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 8

    Strategy Name

    Number of option legs


    Direction

    Synthetic Call
    Two
    Bullish

    Synthetic Call
    Particular
    Underlying
    Spot Price
    Long Call (ATM)
    Short PUT (ATM)
    Long Call Debit for Long Call
    Debit for Short Put
    Net Premium

    Value
    Nifty
    7389
    7400
    7400
    107
    80
    -27

    Calculations
    Market Expiry
    6700
    6800
    6900
    7000
    7100
    7200
    7300
    7400
    7500
    7600
    7700
    7800
    7900
    8000
    8100
    8200
    8300
    8400

    Legend
    CE_IV (ATM)
    PP
    PE_IV(ATM)
    PR

    CE_IV (ATM)
    0
    0
    0
    0
    0
    0
    0
    0
    100
    200
    300
    400
    500
    600
    700
    800
    900
    1000

    Call Option intrinsic value


    Premium Paid
    Put option intrinsic value
    Premium Received

    PP
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107
    107

    Breakeven

    Payof
    -107
    -107
    -107
    -107
    -107
    -107
    -107
    -107
    -7
    93
    193
    293
    393
    493
    593
    693
    793
    893

    7427

    PE_IV (ATM)
    700
    600
    500
    400
    300
    200
    100
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    PR
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80

    Payof
    -620
    -520
    -420
    -320
    -220
    -120
    -20
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80
    80

    Net Payof
    -727
    -627
    -527
    -427
    -327
    -227
    -127
    -27
    73
    173
    273
    373
    473
    573
    673
    773
    873
    973

    Synthetic Call Payof


    1500

    1000

    500

    0
    670068006900700071007200730074007500760077007800790080008100820083008400
    -500

    -1000

    00820083008400

    Synthetic Call with Futures


    Particular
    Underlying
    Spot Price
    Long Call (ATM)
    Short PUT (ATM)
    Long Call Debit for Long Call
    Debit for Short Put
    Net Premium
    Short Futures

    Value
    Nifty
    7299
    7300
    7300
    79.5
    73.85
    -5.65
    7316

    Calculations
    Market Expiry
    6700
    6800
    6900
    7000
    7100
    7200
    7300
    7400
    7500
    7600
    7700
    7800
    7900
    8000
    8100
    8200
    8300
    8400

    Legend
    CE_IV (ATM)
    PP
    PE_IV(ATM)
    PR

    CE_IV (ATM)
    0
    0
    0
    0
    0
    0
    0
    100
    200
    300
    400
    500
    600
    700
    800
    900
    1000
    1100

    PP
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5
    79.5

    Call Option intrinsic value


    Premium Paid
    Put option intrinsic value
    Premium Received

    Spread

    Payof
    -79.5
    -79.5
    -79.5
    -79.5
    -79.5
    -79.5
    -79.5
    20.5
    120.5
    220.5
    320.5
    420.5
    520.5
    620.5
    720.5
    820.5
    920.5
    1020.5

    10.35

    PE_IV (ATM)
    600
    500
    400
    300
    200
    100
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    PR
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85

    Payof
    -526.15
    -426.15
    -326.15
    -226.15
    -126.15
    -26.15
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85
    73.85

    Short Fut Payof


    616
    516
    416
    316
    216
    116
    16
    -84
    -184
    -284
    -384
    -484
    -584
    -684
    -784
    -884
    -984
    -1084

    Net Payof
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35
    10.35

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