Derivative options

Disclaimer: The data interpretation is purely for educational purpose. For investors, please evaluate your own options; don’t use these predictions for investment purpose. I do not endorse or uphold any of my findings for investment purpose. IT’S PURELY FOR UNDERSTANDING THE SUBJECT.

The Suzlon Energy Ltd, Derivatives options trading in NSE on the trading day 3rd June 2011, can be evaluated based on following:

  1. Bull spread
  2. Bearish spread
  3. Butterfly spread
  4. Straddle
  5. Strangle
  6. Strip
  7. Strap
  8. Condors
  9. Box

The detailed evaluation is as below:

Bull Spread

Taking call @ Extreme positions:

 2CE

 CALL

   Price  Premium
 Long @

50.00

2.60

 Short @

60.00

0.20

 StockPrice  Long  Short  Net Pos

40.00

(2.60)

0.20

(2.40)

42.25

(2.60)

0.20

(2.40)

45.00

(2.60)

0.20

(2.40)

47.25

(2.60)

0.20

(2.40)

50.00

(2.60)

0.20

(2.40)

52.25

(0.35)

0.20

(0.15)

55.00

2.40

0.20

2.60

57.25

4.65

0.20

4.85

60.00

7.40

0.20

7.60

62.25

9.65

(2.05)

7.60

65.00

12.40

(4.80)

7.60

Cancel out the transaction:

 2CE

 CALL

   Price  Premium
 Long @

55.00

0.75

 Short @

55.00

0.75

 StockPrice  Long  Short  Net Pos

40.00

(0.75)

0.75

0.00

42.25

(0.75)

0.75

0.00

45.00

(0.75)

0.75

0.00

47.25

(0.75)

0.75

0.00

50.00

(0.75)

0.75

0.00

52.25

(0.75)

0.75

0.00

55.00

(0.75)

0.75

0.00

57.25

1.50

(1.50)

0.00

60.00

4.25

(4.25)

0.00

62.25

6.50

(6.50)

0.00

65.00

9.25

(9.25)

0.00

Taking call @ intermediate positions:
 2CE

 CALL

   Price  Premium
 Long @

52.25

1.50

 Short @

57.25

0.35

 StockPrice  Long  Short  Net Pos

40.00

(1.50)

0.35

(1.15)

42.25

(1.50)

0.35

(1.15)

45.00

(1.50)

0.35

(1.15)

47.25

(1.50)

0.35

(1.15)

50.00

(1.50)

0.35

(1.15)

52.25

(1.50)

0.35

(1.15)

55.00

1.25

0.35

1.60

57.25

3.50

0.35

3.85

60.00

6.25

(2.40)

3.85

62.25

8.50

(4.65)

3.85

65.00

11.25

(7.40)

3.85

Using put option for bull spread:

 2PE

 PUT

   Price  Premium
 Long @

45.00

0.30

 Short @

55.00

4.25

 StockPrice  Long  Short  Net Pos

40.00

4.70

(10.75)

(6.05)

42.25

2.45

(8.50)

(6.05)

45.00

(0.30)

(5.75)

(6.05)

47.25

(0.30)

(3.50)

(3.80)

50.00

(0.30)

(0.75)

(1.05)

52.25

(0.30)

1.50

1.20

55.00

(0.30)

4.25

3.95

57.25

(0.30)

4.25

3.95

60.00

(0.30)

4.25

3.95

62.25

(0.30)

4.25

3.95

65.00

(0.30)

4.25

3.95

———————————————————————————————————————————————————————————————————————————————————

Bear Spread:

Taking call position at extreme ends:

 2CE

 CALL

   Price  Premium
 Long @

60.00

0.20

 Short @

50.00

2.60

 StockPrice  Long  Short  Net Pos

40.00

(0.20)

2.60

2.40

42.25

(0.20)

2.60

2.40

45.00

(0.20)

2.60

2.40

47.25

(0.20)

2.60

2.40

50.00

(0.20)

2.60

2.40

52.25

(0.20)

2.60

2.40

55.00

(0.20)

(0.75)

(0.95)

57.25

(0.20)

(3.00)

(3.20)

60.00

(0.20)

(5.75)

(5.95)

62.25

2.05

(8.00)

(5.95)

65.00

4.80

(10.75)

(5.95)

Taking put position at extreme ends:

 2PE

 PUT

   Price  Premium
 Long @

55.00

4.25

 Short @

45.00

0.30

 StockPrice  Long  Short  Net Pos

40.00

10.75

(4.70)

6.05

42.25

8.50

(2.45)

6.05

45.00

5.75

0.30

6.05

47.25

3.50

0.30

3.80

50.00

0.75

0.30

1.05

52.25

(1.50)

0.30

(1.20)

55.00

(4.25)

0.30

(3.95)

57.25

(4.25)

0.30

(3.95)

60.00

(4.25)

0.30

(3.95)

62.25

(4.25)

0.30

(3.95)

65.00

(4.25)

0.30

(3.95)

—————————————————————————————————————————-

Butterfly spread

 CALL
   Price  Premium
 Long @ E1             50.00              2.60
 Short @ E2             52.25              1.50
 Long @ E3             55.00              0.75
 StockPrice  Long (E1)  Short (E2)  Long (E3)  Net Pos

40.00

(2.60)

3.00

(0.75)

(0.35)

42.25

(2.60)

3.00

(0.75)

(0.35)

45.00

(2.60)

3.00

(0.75)

(0.35)

47.25

(2.60)

3.00

(0.75)

(0.35)

50.00

(2.60)

3.00

(0.75)

(0.35)

52.25

(0.35)

3.00

(0.75)

1.90

55.00

2.40

(2.50)

(0.75)

(0.85)

57.25

4.65

(7.00)

1.50

(0.85)

60.00

7.40

(12.50)

4.25

(0.85)

62.25

9.65

(17.00)

6.50

(0.85)

65.00

12.40

(22.50)

9.25

(0.85)

———————————————————————————————————————————————————————————————————————————————————

Straddle:

Top Straddle

 TOP
   Price   Premium
 Long Call    55.00              0.75
 Long Put    55.00              4.25
 StockPrice  LongCall  LongPut  Net Pos

40.00

(0.75)

10.75

10.00

42.25

(0.75)

8.50

7.75

45.00

(0.75)

5.75

5.00

47.25

(0.75)

3.50

2.75

50.00

(0.75)

0.75

0.00

52.25

(0.75)

(1.50)

(2.25)

55.00

(0.75)

(4.25)

(5.00)

57.25

1.50

(4.25)

(2.75)

60.00

4.25

(4.25)

0.00

62.25

6.50

(4.25)

2.25

65.00

9.25

(4.25)

5.00

Bottom Straddle

Bottom

Price

Premium

Short Call

55.00

0.75

Short Put

55.00

4.25

StockPrice

ShortCall

ShortPut

Net Pos

40.00

0.75

(10.75)

(10.00)

42.25

0.75

(8.50)

(7.75)

45.00

0.75

(5.75)

(5.00)

47.25

0.75

(3.50)

(2.75)

50.00

0.75

(0.75)

0.00

52.25

0.75

1.50

2.25

55.00

0.75

4.25

5.00

57.25

(1.50)

4.25

2.75

60.00

(4.25)

4.25

0.00

62.25

(6.50)

4.25

(2.25)

65.00

(9.25)

4.25

(5.00)

 

——————————————————————————————————————————————————————————————————————————————————–

Strip

 TOP
   Price   Premium
 Long Call         55.00           0.75
 Long Put         55.00           4.25
 StockPrice  LongCall  LongPut  Net Pos

40.00

(0.75)

21.50

20.75

42.25

(0.75)

17.00

16.25

45.00

(0.75)

11.50

10.75

47.25

(0.75)

7.00

6.25

50.00

(0.75)

1.50

0.75

52.25

(0.75)

(3.00)

(3.75)

55.00

(0.75)

(8.50)

(9.25)

57.25

1.50

(8.50)

(7.00)

60.00

4.25

(8.50)

(4.25)

62.25

6.50

(8.50)

(2.00)

65.00

9.25

(8.50)

0.75

——————————————————————————————————————————————————————————————————————————————————–

Strap

 TOP
   Price   Premium
 Long Call         55.00           0.75
 Long Put         55.00           4.25
 StockPrice  LongCall  LongPut  Net Pos

40.00

(1.50)

10.75

9.25

42.25

(1.50)

8.50

7.00

45.00

(1.50)

5.75

4.25

47.25

(1.50)

3.50

2.00

50.00

(1.50)

0.75

(0.75)

52.25

(1.50)

(1.50)

(3.00)

55.00

(1.50)

(4.25)

(5.75)

57.25

3.00

(4.25)

(1.25)

60.00

8.50

(4.25)

4.25

62.25

13.00

(4.25)

8.75

65.00

18.50

(4.25)

14.25

——————————————————————————————————————————————————————————————————————————————————–

Strangle

 Long
   Price   Premium
 Long Put         47.50           0.60
 Long Call         55.00           0.75
 StockPrice  LongPut  LongCall  Net Pos

40.00

6.90

(0.75)

6.15

42.25

4.65

(0.75)

3.90

45.00

1.90

(0.75)

1.15

47.25

(0.35)

(0.75)

(1.10)

50.00

(0.60)

(0.75)

(1.35)

52.25

(0.60)

(0.75)

(1.35)

55.00

(0.60)

(0.75)

(1.35)

57.25

(0.60)

1.50

0.90

60.00

(0.60)

4.25

3.65

62.25

(0.60)

6.50

5.90

65.00

(0.60)

9.25

8.65

——————————————————————————————————————————————————————————————————————————————————–

Condors

 PUT

   Price  Premium
 E1                              45.00           0.30
 E2                              47.50           0.60
 E3                              50.00           1.35  short  long  long  short
 E4                              52.50           2.60  StockPrice  E1  E2  E3  E4  NetPos

40.00

0.30

(0.60)

(1.35)

2.60

0.95

 Rule

42.25

0.30

(0.60)

(1.35)

2.60

0.95

          1.00  E1 < E2 < E3 <E4  PASS

45.00

0.30

(0.60)

(1.35)

2.60

0.95

          2.00  E2 – E1 =  E4-E3  PASS

47.25

(1.95)

(0.60)

(1.35)

2.60

(1.30)

          3.00  E3 – E1 = 2(E2 – E1)  PASS

50.00

(4.70)

1.90

(1.35)

2.60

(1.55)

52.25

(6.95)

4.15

0.90

2.60

0.70

55.00

(9.70)

6.90

3.65

0.10

0.95

57.25

(11.95)

9.15

5.90

(2.15)

0.95

60.00

(14.70)

11.90

8.65

(4.90)

0.95

62.25

(16.95)

14.15

10.90

(7.15)

0.95

65.00

(19.70)

16.90

13.65

(9.90)

0.95

——————————————————————————————————————————————————————————————————————————————————–

Box

 Price  Premium
 E1 – Call         50.00           2.60
 E1 – Put         52.50           2.60

 E1

 E2

 E2 – Call         52.25           1.50  StockPrice  LongCall  ShortPut  ShortCall  LongPut  NetPos
 E2 – Put         55.00           4.25

40.00

(2.60)

(9.90)

1.50

10.75

(0.25)

42.25

(2.60)

(7.65)

1.50

8.50

(0.25)

 Rule:

45.00

(2.60)

(4.90)

1.50

5.75

(0.25)

          1.00  E2 > E1  PASS

47.25

(2.60)

(2.65)

1.50

3.50

(0.25)

50.00

(2.60)

0.10

1.50

0.75

(0.25)

52.25

(0.35)

2.35

1.50

(1.50)

2.00

55.00

2.40

2.60

(1.25)

(4.25)

(0.50)

57.25

4.65

2.60

(3.50)

(4.25)

(0.50)

60.00

7.40

2.60

(6.25)

(4.25)

(0.50)

62.25

9.65

2.60

(8.50)

(4.25)

(0.50)

65.00

12.40

2.60

(11.25)

(4.25)

(0.50)


——————————————————————————————————————————————————————————————————————————————————–

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