TradingStrategies Risk

Spread Type
Backspread
Long Straddle
Long Strangle
Short Butterfly
Delta Position
0
0
0
0
Ratio Vertical spread

Short Straddle
Short Strangle
Long Butterfly
0
0
0
0
Long Tine Spread

Short Time Spread
0
0
5 February 1193
March Futures=100.00*
Time to Expiration= 6 weeks
Volatility = 20.0%
Exercise Price
Therotical value
CALLS
Delta
Mar-90
Mar-95
10.1
5.82
2.69
0.95
0.26
Mar 100
Mar 105
Mar 110
June Futures = 100.00
Time to Expiration= 19weeks Volatility = 20.0%
Jun-90
Jun-95
10.97
7.45
4.71
2.77
1.52
Jun 100
Jun 105
Jun 110
CALL BACKSPREAD
93
78
51
24
8
81
67
51
36
23
LONG MORE CALLS THAN

SHORT; ALL CALLS
EXPIRING AT THE SAME
TIME
Delta Position
Long 30 March 105 Calls
Short 10 March 95 Calls
Long 25 Jun 110 Calls
720
-780
-60
575
Short 10 Jun 100 Calls
-510
65
Long 80 March 90 puts

Short 10 March 100 puts
-480
480
0
PUT BACKSPREAD
Long 45 june 95 puts

Short 30 june 100 puts
CALL RATIO VERTICAL SPREAD

Long 20 March 95 calls
Short 30 March 100 calls
Long 10 june 90 calls

short 20 june 105 calls
PUT RATIO VERTICAL SPREAD

Long 20 march puts
Short 60 march 90 puts
LONG STRADDLE
SHORT STRADDLE
LONG STRANGLE
-1395
1410
15
1560
-1530
30
810
-720
90
-420
360
-60

-930
940
10
Long 10 March 100 calls

Long 10 March 100 puts
510
-480
30

670
-775
-105
Short 30 Macrh 105 calls

Short 10 Macrh 105 puts
-720
-750
-1470
Short 20 june 100 calls

-1020
940
-80
Long 20 march 105 calls

Long 20 march 105 puts
480
-420
60

690
-705
-15
Short 30 march 110 calls

-240
240
0

-670
620
-50
SHORT STRANGLE
LONG BUTTERFLY
SHORT BUTTERFLY
LONG TIME SPREAD
SHORT TIME SPREAD

780
-1020
240
0

-510
1860
-1410
-60

960
-3000
1820
-220

-1675
2550
-900
-25

1020
-1020
0

-310
210
-100

-1200
1175
-25
Long march 105 calls

240
-230
10
FIGURE 8-21
March Futures = 100.00
Exercise Price
Volatility = 20.0%
Price
CALLS
Therotical
Value
90
95
100
105
110
10
5.54
2.28
0.65
0.12
10.1
5.82
2.69
0.95
0.26
Time to Expiration=13 weeks Volatility = 20.0%

CALLS
Exercise Price
Price
90
95
100
105
110
Therotical
Value
10.54
6.83
4
2.11
1
10.97
7.45
4.71
2.77
1.52
FIGURE8-22
IMPLIED VOLATILITY = 23%
March Futures = 100.00
Volatility = 20.0%
Price
CALLS
Therotical
Value
Exercise Price
90
95
100
105
110
Exercise Price
90
95
100
105
10.23
6.12
3.09
1.28
0.44
Time to Expiration=13 weeks Volatility = 20.0%

CALLS
Therotical
Price
Value
11.45
8.08
5.42
3.44
10.1
5.82
2.69
0.95
0.26
10.97
7.45
4.71
2.77
110
2.08
1.52
Gamma Position
+
+
+
+
Theta Position
-
Vega postion
+
+
+
+
+
+
+
+
+
-
Theta
Vega
Interest Rate = 6.00%

PUTS
Gamma
1.7
4.3
5.8
4.6
2.3
-0.0069
0.0221
0.0313
-0.025
-0.0124
0.04
0.1
0.134
0.107
0.055
PUTS
2.1
2.9
3.2
3
2.5
Gamma Position
0.009
-0.014
-0.0166
-0.016
-0.0132
Theta Position
0.154
0.209
0.234
0.221
0.182
Vega Position
138
-43
95
-0.75
0.221
-0.529
3.21
-1
2.21
62.5
-0.33
4.55
-32
30.5
0.166
-0.164
-2.34
2.21
136
-58
78
-0.72
0.313
-0.407
3.2
-1.34
1.86
130.5
-96
34.5
-0.6795
0.498
-0.1815
9.405
-7.02
2.385
86
-174
-88
-0.442
0.939
0.497
2
-4.02
-2.02
21
-60
-39
-0.09
0.32
0.23
1.54
-4.42
-2.88
86
-102
-16
-0.464
0.54
0.076
2
-2.4
-0.4
45
-64
-19
-0.2235
0.332
0.1085
3.315
-4.68
-1.365
58
58
116
-0.313
-0.313
-0.626
1.34
1.34
2.68
29
72.5
101.5
-0.14
-0.3775
-0.5175
2.09
5.225
7.315
-138
-46
-184
0.75
0.24
0.99
-3.21
-1.07
-4.28
-64
-64
-128
0.332
0.332
0.664
-4.68
-4.68
-9.36
92
86
178
-0.5
-0.464
-0.964
2.14
2
4.14
75
48
123
-0.396
-0.249
-0.645
5.46
3.51
8.97
-69
-68
-137
0.372
0.36
0.732
-1.65
-1.6
-3.25
-29
-30
-59
0.14
0.149
0.289
-2.09
-2.21
-4.3
43
-116
46
-27
-0.221
0.626
-0.25
0.155
1
-2.68
1.07
-0.61
63
-174
96
-15
-0.333
0.906
0.498
1.071
4.62
-12.54
7.02
-0.9
-116
184
-46
22
0.626
-0.96
0.206
-0.128
-2.68
4.28
-1.1
0.5
-72.5
160
-75
12.5
0.35
-0.83
0.4
-0.08
-5.225
11.7
-5.525
0.95
64
-116
-52
-0.332
0.626
0.294
4.68
-2.68
2
29
-43
-14
-0.151
0.232
0.081
2.09
-1
1.09
145
-80
65
-0.7825
0.415
-0.3675
3.35
-5.85
-2.5
46
-25
21
-0.25
0.132
-0.118
1.07
-1.82
-0.75

PUTS
Delta
Therotical
Value
Price
93
78
51
24
8
0.07
0.57
2.28
5.62
10.05
0.17
0.85
2.68
5.92
10.16

PUTS
Delta
Therotical
Value
Price
81
67
51
36
23
0.75
1.94
4
7.01
10.79
1.18
2.55
4.71
7.66
11.3
Delta
PUTS
Therotical
Value
Price
93
78
51
24
8
0.3
1.16
3.09
6.25
10.37
0.17
0.85
2.68
5.92
10.16
Delta
PUTS
Therotical
Value
Price
81
67
51
36
1.66
3.19
5.42
8.34
1.18
2.55
4.71
7.66
23
11.87
11.3
Therotical value
Delta
0.17
0.85
2.68
5.92
10.16
-6
-21
-48
-75
-91
1.18
2.55
4.71
7.66
11.3
-17
-31
-47
-62
-75
Gamma Theta
Vega
1.7
-0.009
0.04
4.3
-0.0232
0.1
5.8
-0.0313
0.134
4.6
-0.024
0.107
2.3
-0.0103
0.055
2.1
2.9
3.2
3
2.5
-0.0111
-0.0151
-0.0166
-0.0149
-0.0111
0.154
0.209
0.234
0.221
0.182
Delta
-6
-21
-48
0.75
-91
Delta
-17
-31
-47
-62
-75
Delta
-6
-21
-48
-75
-91
Delta
-17
-31
-47
-62
-75
MAY FUTURES 49.50
Exercise price
Time to Expiration= 56 Days
Volatility = 15.0%
Price
CALLS
Theoretical
Value
Delta
48
49
50
51
52
July Futures 50.11
Exercise price
2.19
1.56
1.07
0.77
0.53
2.02
1.4
0.92
0.57
0.33
70
57
44
31
21
Time to Expiration=112 Days
Volatility = 15.0%
Price
CALLS
Theoretical
Value
Delta
48
49
50
51
52
3.03
2.4
1.88
1.46
1.12
2.82
2.2
1.67
1.24
0.89
Delta Position
70
61
52
42
34
Theoretical Edge
Spread 1
Short Straddle
Short 10 May 50 calls @1.07

Short 8 May 50 puts @1.59
-440
440
0
1.5
1.36
2.86
Spread 2
Call Ratio Spread
Long 10 May 51 calls @.77

short 15 May 52 calls @ .53
440
-315
125
-2
3
1
Spread 3
Long Butterfly
Long 10 May 49 puts@ 1.05

Short 20 May 50 puts @ 1.59
Long 10 May 51 puts@ 2.22
-420
1100
-680
0
-1.4
3.4
-1.6
0.4
Theoretical Edge Delta Position

1.5
1.36
2.86
-440
440
0
Spread 1
_10 may 50 calls
_8 may 50 puts
Spread 2
30 may 51 calls
-6
930
_45 may 52 calls
9
3
-945
-15
-9.8
23.8
-11.2
2.8
-2940
7700
-4760
0
Spread 3
70 may 49 puts
_140 may 50 puts
70 may 51 puts
Spread 4
+20 july 50 calls

-30 july 52 calls
-4.2
6.9
2.7
1040
-1020
20
Spread 5
+50 may 48 puts

- 50 july 48 puts
-9
12
3
-1450
1400
-50
Spread 6
+ 10 may 48 calls
- 20 july 52 calls
-1.7
4.6
2.9
700
-680
20
Time march 56 days, june 147 Volatility March

days
27%, june 27%
interest 8.00%
Stock Price 98.5

in 28 days and 119 days
MARCH
Exercise Price
CALLS
Theoritical
Value
Price
95
100
105
5
2.875
1.375
JUNE
Exercise Price
CALLS
Theoritical
Value
Price
95
100
105
Delta
5.79
3.29
1.69
7.625
5
3.25
64
45
28
Delta
8.22
5.85
4.03
61
50
38
Gamma
11.6
13.3
13.4
12.1
9.8
Gamma
8
8.9
9.3
9.2
8.6
Theta
Vega
Implied Volatility
-0.0083
0.066
17.53
-0.0097
0.075
17.08
-0.0099
0.076
16.96
-0.009
0.068
17.89
-0.0073
0.055
18.39
Theta
Vega
Implied Volatility
-0.0056
0.092
17.2
-0.0064
0.103
16.92
-0.0069
0.108
16.92
-0.0069
0.106
17.09
-0.0065
0.1
17.28
0.72
1.05
1.59
2.22
2.99
PUTS
Theoretical
Value
Delta
0.54
-29
0.91
-42
1.42
-55
2.06
-68
2.8
-78
1
1.34
1.78
2.33
2.98
PUTS
Theoretical
Value
Delta
0.76
-28
1.12
-37
1.57
-46
2.11
-56
2.73
-64
Price
Price
Gamma Position Theta Positio vega Positio Implied Vol

Risk /Reward
-134
0.099
-0.76
Vega
Gamma
-107.2
0.0784
-0.608
-241.2
0.1774
-1.368
17% -0.478322 -84.33566
363
-0.27
2.04
-441
-78
0.3285
0.0585
-2.475
-0.435
20%
-0.145
-26
931
-1876
847
-98
-0.686
1.372
-0.609
0.077
5.25
-10.64
4.76
-0.63
22%
-0.225
-35
186
-258
-72
-0.138
0.195
0.057
2.16
-3
-0.84
580
-400
180
-0.435
0.3
-0.135
3.3
-5.15
-1.85
116
-172
-56
-0.083
0.13
0.047
0.66
-2
-1.34
18.10% -0.311111 -26.66667
17% -0.616667
17.20% -0.462069 -19.31034
Expected Dividend 1.25
Gamma
3.6
3.8
3.3
Gamma
2.3
2.4
2.3
Theta
Vega
Implied Volatility
-0.0436
0.142
25
-0.043
0.151
24.3
-0.035
0.128
24.5
PUTS
Theoritical
Price
Value
Delta
2.25
2.66
-36
4.75
5.12
-55
8.125
8.47
-72
Theta
Vega
Implied Volatility
-0.0298
0.233
24.4
-0.0292
0.243
23.5
-0.0268
0.233
23.6
PUTS
Theoritical
Price
Value
Delta
4.25
4.93
-39
6.5
7.43
-50
9.75
10.49
-62
Gamma Theta
Vega
Implied Volatility
11.6
-0.0087
0.066
17.7
13.3
0.0098
0.075
16.87
13.4
-0.0098
0.076
17.3
12.1
-0.0087
0.068
17.44
9.8
-0.0068
0.055
18.24
Gamma
8
8.9
9.3
9.2
8.6
Theta
Vega
Implied Volatility
-0.006
0.092
17.5
-0.006
0.103
17.14
-0.0069
0.108
16.98
-0.0067
-0.106
17.11
-0.0061
0.1
17.44
Gamma Theta
Vega
Implied Volatility
3.6
-0.0281
0.142
24.1
3.8
-0.0267
0.151
24.6
3.3
-0.018
0.128
24.3
Gamma Theta
Vega
Implied Volatility
2.3
-0.0145
0.233
24.1
2.4
-0.0132
0.243
23.2
2.3
-0.0099
0.232
23.8
Bull and Bear Spread

Price=100 Time 12 weeks
Volatility 20%
Interest rate 8%
Option
95call
100call
105call
95pu
100put
105put
Theoritical Delta
Gamma Theta
Vega
6.63
71
3.4
-0.017
0.16
3.76
51
4.1
-0.022
0.19
1.88
31
3.7
-0.02
0.17
1.72
-27
3.4
-0.019
0.16
3.76
-47
4.1
-0.022
0.19
6.79
-67
3.7
-0.019
0.17
Theoritical Value
T.Value
Delta
Gamma Theta
Vega
-6.63
71
3.4
-0.017
0.16
3.76
-51
-4.1
0.022
-0.19
-2.87
20
-0.7
0.005
-0.03
+95call
-100call
+100call
-105call
Vol
-3.76
1.88
-1.88
95call
16%
20%
24%
6.02
6.63
7.28
51
-31
20
4.1
-3.7
0.4
-0.022
0.02
-0.002
0.19
-0.17
0.02
100call
105call
95/100call 100/105call spread
3.01
1.23
-3.01
-1.78
3.76
2.57
-2.87
-1.88
4.51
2.57
-2.77
-1.94

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Spread Type

Ratio Vertical spread

Long Tine Spread

Time to Expiration= 6 weeks

Time to Expiration= 19weeks Volatility = 20.0%

LONG MORE CALLS THAN

Long 25 Jun 110 Calls

Short 10 Jun 100 Calls

Long 80 March 90 puts

Long 45 june 95 puts

CALL RATIO VERTICAL SPREAD

Long 10 june 90 calls

PUT RATIO VERTICAL SPREAD

Long 15 june 105 puts

Long 10 March 100 calls

Long 10 june 95 calls

Short 30 Macrh 105 calls

Short 20 june 100 calls

Long 20 march 105 calls

Long 30 june 110 calls

Short 30 march 110 calls

Short 10 june 95 calls

LONG TIME SPREAD

SHORT TIME SPREAD

Long 10 march 95 calls

Long 30 june 90 puts

Short 20 march 100 puts

Short 25 june 95 calls

Long 20 june 100 calls

Long 10 june 95 puts

Long 25 march 100 puts

Long march 105 calls

Time to Expiration= 6 weeks

June Futures = 100.00

Time to Expiration=13 weeks Volatility = 20.0%

IMPLIED VOLATILITY = 23%

March Futures = 100.00

Time to Expiration= 6 weeks

June Futures = 100.00

Time to Expiration=13 weeks Volatility = 20.0%

Interest Rate = 6.00%

Interest Rate = 6.00%

Interest Rate = 6.00%

Interest Rate = 6.00%

Interest Rate = 6.00%

Interest Rate = 6.00%

MAY FUTURES 49.50

Time to Expiration= 56 Days

Interest Rate = 8.00%

July Futures 50.11

Time to Expiration=112 Days

Interest Rate = 8.00%

Short 10 May 50 calls @1.07

Long 10 May 51 calls @.77

Long 10 May 49 puts@ 1.05

Theoretical Edge Delta Position

_45 may 52 calls

+20 july 50 calls

+50 may 48 puts

Time march 56 days, june 147 Volatility March

Stock Price 98.5

Gamma Position Theta Positio vega Positio Implied Vol

18.10% -0.311111 -26.66667