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1+ r = 1.2947
P = K. e –r t N (-d 2) – S. N (-d 1)
= 370* e – 0.0735*0.115 * 0.2440 – 396 * 0.2151
= 89.51 – 85.18
= 4.33
Total Premium, (C+P) = 39.94 = 40.00 (approx)
COMPLEX STRATEGIES
1. Long Straddle
Buy Call Buy Put Net CF
MP(T) @370 @370 CFT (CFT - CF0)
300 0 70 -40 30
310 0 60 -40 20
320 0 50 -40 10
330 0 40 -40 0
335 0 35 -40 -5
340 0 30 -40 -10
345 0 25 -40 -15
350 0 20 -40 -20
355 0 15 -40 -25
360 0 10 -40 -30
365 0 5 -40 -35
370 0 0 -40 -40
375 5 0 -40 -35
380 10 0 -40 -30
385 15 0 -40 -25
390 20 0 -40 -20
395 25 0 -40 -15
400 30 0 -40 -10
405 35 0 -40 -5
410 40 0 -40 0
420 50 0 -40 10
430 60 0 -40 20
440 70 0 -40 30
2. Short Straddle
Write Call Write Put Net CF
MP(T) @370 @370 CFT (CFT - CF0)
300 0 -70 40 -30
310 0 -60 40 -20
320 0 -50 40 -10
330 0 -40 40 0
335 0 -35 40 5
340 0 -30 40 10
345 0 -25 40 15
350 0 -20 40 20
355 0 -15 40 25
360 0 -10 40 30
365 0 -5 40 35
370 0 0 40 40
375 -5 0 40 35
380 -10 0 40 30
385 -15 0 40 25
390 -20 0 40 20
395 -25 0 40 15
400 -30 0 40 10
405 -35 0 40 5
410 -40 0 40 0
420 -50 0 40 -10
430 -60 0 40 -20
440 -70 0 40 -30
3. Strip
Buy Call Buy 2 Put Net CF
MP(T) @370 @370 CFT (CFT - CF0)
300 0 140 -44 96
310 0 120 -44 76
320 0 100 -44 56
330 0 80 -44 36
335 0 70 -44 26
340 0 60 -44 16
345 0 50 -44 6
348 0 44 -44 0
350 0 40 -44 -4
355 0 30 -44 -14
360 0 20 -44 -24
365 0 10 -44 -34
370 0 0 -44 -44
375 5 0 -44 -39
380 10 0 -44 -34
385 15 0 -44 -29
390 20 0 -44 -24
395 25 0 -44 -19
400 30 0 -44 -14
405 35 0 -44 -9
410 40 0 -44 -4
414 44 0 -44 0
420 50 0 -44 6
430 60 0 -44 16
440 70 0 -44 26
4. Strap
5. Long Strangle
6. Short Strangle