OPTION CALL PUT STRATEGY
The long strangle, also known as buy strangle or simply "strangle", is a neutral strategy in options trading that involve the simultaneous buying of a slightly out-of-the-money put and a slightly out-of-the-money call of the same underlying stock and expiration date.
NIFTY STRANGLE STRATEGY
LEG1: BUY NIFTY 5400 CALL @ 70
LEG2: BUY NIFTY 5000 PUT @ 70
COST =140
RISK PER LOT = 7000
RETURN = UNLIMITED
Pay off table
Closing price
|
Lot size
|
trading cost
|
Total Investment
|
Return from call
|
return from put
|
Payoff
|
4800
|
50
|
7000
|
0
|
10000
|
3000
| |
4825
|
50
|
7000
|
0
|
8750
|
1750
| |
4850
|
50
|
7000
|
0
|
7500
|
500
| |
4875
|
50
|
7000
|
0
|
6250
|
-750
| |
4900
|
50
|
7000
|
0
|
5000
|
-2000
| |
4925
|
50
|
7000
|
0
|
3750
|
-3250
| |
4950
|
50
|
7000
|
0
|
2500
|
-4500
| |
4975
|
50
|
7000
|
0
|
1250
|
-5750
| |
5000
|
50
|
7000
|
0
|
0
|
-7000
| |
5025
|
50
|
7000
|
1250
|
0
|
-5750
| |
5050
|
50
|
7000
|
2500
|
0
|
-4500
| |
5075
|
50
|
7000
|
3750
|
0
|
-3250
| |
5100
|
50
|
7000
|
5000
|
0
|
-2000
| |
5125
|
50
|
7000
|
6250
|
0
|
-750
| |
5150
|
50
|
7000
|
7500
|
0
|
500
| |
5175
|
50
|
7000
|
8750
|
0
|
1750
| |
5200
|
50
|
7000
|
10000
|
0
|
3000
| |
5225
|
50
|
7000
|
11250
|
0
|
4250
| |
5250
|
50
|
7000
|
12500
|
0
|
5500
| |
5275
|
50
|
7000
|
13750
|
0
|
6750
| |
5300
|
50
|
7000
|
15000
|
0
|
8000
| |
5325
|
50
|
7000
|
16250
|
0
|
9250
| |
5350
|
50
|
7000
|
17500
|
0
|
10500
| |
5375
|
50
|
7000
|
18750
|
0
|
11750
| |
5400
|
50
|
7000
|
20000
|
0
|
13000
| |
5425
|
50
|
7000
|
21250
|
0
|
14250
| |
5450
|
50
|
7000
|
22500
|
0
|
15500
| |
5475
|
50
|
7000
|
23750
|
0
|
16750
| |
5500
|
50
|
7000
|
25000
|
0
|
18000
| |
5525
|
50
|
7000
|
26250
|
0
|
19250
| |
5550
|
50
|
7000
|
27500
|
0
|
20500
| |
5575
|
50
|
7000
|
28750
|
0
|
21750
| |
5600
|
50
|
7000
|
30000
|
0
|
23000
|
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ReplyDelete