Tuesday, 12 May 2015

BANKNIFTY OPTION STRANGLE STRATEGY

BUY BANKNIFTY 17000 PUT @ 118
BUY  BANKNIFTY 18500 CALL @ 145
COST=263
TOTAL RISK  = 6575
RETURN = UNLIMITED

UPPER BREAK GIVEN POINT=18763

LOWER BREAK GIVEN POINT=16737
Pay off table:


Strike Price
Call Option Price
Strike Price
Call Option Price
Strike rate
Closing price
Return from call
return from put
Payoff
18500
145
17000
118
100
16500
0
12500
5925
18500
145
17000
118
100
16600
0
10000
3425
18500
145
17000
118
100
16700
0
7500
925
18500
145
17000
118
100
16800
0
5000
-1575
18500
145
17000
118
100
16900
0
2500
-4075
18500
145
17000
118
100
17000
0
0
-6575
18500
145
17000
118
100
17100
0
0
-6575
18500
145
17000
118
100
17200
0
0
-6575
18500
145
17000
118
100
17300
0
0
-6575
18500
145
17000
118
100
17400
0
0
-6575
18500
145
17000
118
100
17500
0
0
-6575
18500
145
17000
118
100
17600
0
0
-6575
18500
145
17000
118
100
17700
0
0
-6575
18500
145
17000
118
100
17800
0
0
-6575
18500
145
17000
118
100
17900
0
0
-6575
18500
145
17000
118
100
18000
0
0
-6575
18500
145
17000
118
100
18100
0
0
-6575
18500
145
17000
118
100
18200
0
0
-6575
18500
145
17000
118
100
18300
0
0
-6575
18500
145
17000
118
100
18400
0
0
-6575
18500
145
17000
118
100
18500
0
0
-6575
18500
145
17000
118
100
18600
2500
0
-4075
18500
145
17000
118
100
18700
5000
0
-1575
18500
145
17000
118
100
18800
7500
0
925
18500
145
17000
118
100
18900
10000
0
3425
18500
145
17000
118
100
19000
12500
0
5925
18500
145
17000
118
100
19100
15000
0
8425
18500
145
17000
118
100
19200
17500
0
10925







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