Thursday, 10 December 2015

NIFTY STRANGLE STRATEGY

OPTION STRANGLE
BUY NIFTY 7600 PUT @ 88
BUY NIFTY 7700 CALL @ 86
RISK PER LOT = 4875
RETURN = UNLIMITED
UPPER BREAK GIVEN POINT=7874
LOWER BREAK GIVEN POINT=7326
Pay off table:

Strike Price
Call Option Price
Strike Price
Call Option Price
Strike rate
Closing price
Return from call
return from put
Payoff
7600
88
7700
77
25
7400
0
22500
10125
7600
88
7700
77
25
7425
0
20625
8250
7600
88
7700
77
25
7450
0
18750
6375
7600
88
7700
77
25
7475
0
16875
4500
7600
88
7700
77
25
7500
0
15000
2625
7600
88
7700
77
25
7525
0
13125
750
7600
88
7700
77
25
7550
0
11250
-1125
7600
88
7700
77
25
7575
0
9375
-3000
7600
88
7700
77
25
7600
0
7500
-4875
7600
88
7700
77
25
7625
1875
5625
-4875
7600
88
7700
77
25
7650
3750
3750
-4875
7600
88
7700
77
25
7675
5625
1875
-4875
7600
88
7700
77
25
7700
7500
0
-4875
7600
88
7700
77
25
7725
9375
0
-3000
7600
88
7700
77
25
7750
11250
0
-1125
7600
88
7700
77
25
7775
13125
0
750
7600
88
7700
77
25
7800
15000
0
2625
7600
88
7700
77
25
7825
16875
0
4500
7600
88
7700
77
25
7850
18750
0
6375
7600
88
7700
77
25
7875
20625
0
8250
7600
88
7700
77
25
7900
22500
0
10125

1 comment:

  1. pls explain how u got 4875 as it should be 13050 (88+86)*75

    ReplyDelete