Estratgias

Payoff
COMPRA / VENDA

Quantidades

15.00

Strike

Custo

CALL

AO

PUT

-1
-1

34
36
38
40
42
44
46
34
36
38
40
42
44
46

10.00

(1.89)
0.36
0.28
(2.23)
-

5.00

24.00
(5.00)

(10.00)

(15.00)

custo Total

(3.48)

'======================================================
Material Desenvolvido por Leonel Molero Pereira
Para crticas, sugestes e autorizao de uso: leonelmp@aleae.com.br
www.aleae.com.br
'======================================================

AO
Quantidade
Strike
Preo
Delta
24.00
24.20
24.40
24.60
24.80
25.00
25.20
25.40

CALL
0
39.00
-

0
34.00
5.84
0.89
-

0
36.00
4.25
0.79
-

0
38.00
2.92
0.65
-

1
40.00
1.89
0.50
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)

0
42.00
1.15
0.35
-

0
44.00
0.66
0.23
-

25.60
25.80
26.00
26.20
26.40
26.60
26.80
27.00
27.20
27.40
27.60
27.80
28.00
28.20
28.40
28.60
28.80
29.00
29.20
29.40
29.60
29.80
30.00
30.20
30.40
30.60
30.80
31.00
31.20
31.40
31.60
31.80
32.00
32.20
32.40
32.60
32.80
33.00
33.20
33.40
33.60
33.80
34.00
34.20
34.40
34.60
34.80
35.00
35.20
35.40
35.60
35.80
36.00
36.20
36.40
36.60

(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)

36.80
37.00
37.20
37.40
37.60
37.80
38.00
38.20
38.40
38.60
38.80
39.00
39.20
39.40
39.60
39.80
40.00
40.20
40.40
40.60
40.80
41.00
41.20
41.40
41.60
41.80
42.00
42.20
42.40
42.60
42.80
43.00
43.20
43.40
43.60
43.80
44.00
44.20
44.40
44.60
44.80
45.00
45.20
45.40
45.60
45.80
46.00
46.20
46.40
46.60
46.80
47.00
47.20
47.40
47.60
47.80

(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.89)
(1.69)
(1.49)
(1.29)
(1.09)
(0.89)
(0.69)
(0.49)
(0.29)
(0.09)
0.11
0.31
0.51
0.71
0.91
1.11
1.31
1.51
1.71
1.91
2.11
2.31
2.51
2.71
2.91
3.11
3.31
3.51
3.71
3.91
4.11
4.31
4.51
4.71
4.91
5.11
5.31
5.51
5.71
5.91

48.00
48.20
48.40
48.60
48.80
49.00
49.20
49.40
49.60
49.80
50.00
50.20
50.40
50.60
50.80
51.00
51.20
51.40
51.60
51.80
52.00
52.20
52.40
52.60
52.80
53.00
53.20
53.40
53.60
53.80
54.00
54.20
54.40
54.60
54.80
55.00
55.20
55.40
55.60
55.80
56.00

6.11
6.31
6.51
6.71
6.91
7.11
7.31
7.51
7.71
7.91
8.11
8.31
8.51
8.71
8.91
9.11
9.31
9.51
9.71
9.91
10.11
10.31
10.51
10.71
10.91
11.11
11.31
11.51
11.71
11.91
12.11
12.31
12.51
12.71
12.91
13.11
13.31
13.51
13.71
13.91
14.11

Delta

29.00

34.00

39.00

44.00

49.00

0.50
(0.14)
0.11
(0.50)
-

54.00

Delta Total

(0.04)

PUT
-1
46.00
0.36
0.14
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36

-1
34.00
0.28
-0.11
(9.72)
(9.52)
(9.32)
(9.12)
(8.92)
(8.72)
(8.52)
(8.32)

0
36.00
0.66
-0.21
-

0
38.00
1.29
-0.35
-

1
40.00
2.23
-0.50
13.77
13.57
13.37
13.17
12.97
12.77
12.57
12.37

0
42.00
3.46
-0.65
-

0
44.00
4.94
-0.77
-

Grfico
0
46.00
6.60
-0.86 S*
24.00
24.20
24.40
24.60
24.80
25.00
25.20
25.40

0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36

(8.12)
(7.92)
(7.72)
(7.52)
(7.32)
(7.12)
(6.92)
(6.72)
(6.52)
(6.32)
(6.12)
(5.92)
(5.72)
(5.52)
(5.32)
(5.12)
(4.92)
(4.72)
(4.52)
(4.32)
(4.12)
(3.92)
(3.72)
(3.52)
(3.32)
(3.12)
(2.92)
(2.72)
(2.52)
(2.32)
(2.12)
(1.92)
(1.72)
(1.52)
(1.32)
(1.12)
(0.92)
(0.72)
(0.52)
(0.32)
(0.12)
0.08
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28

12.17
11.97
11.77
11.57
11.37
11.17
10.97
10.77
10.57
10.37
10.17
9.97
9.77
9.57
9.37
9.17
8.97
8.77
8.57
8.37
8.17
7.97
7.77
7.57
7.37
7.17
6.97
6.77
6.57
6.37
6.17
5.97
5.77
5.57
5.37
5.17
4.97
4.77
4.57
4.37
4.17
3.97
3.77
3.57
3.37
3.17
2.97
2.77
2.57
2.37
2.17
1.97
1.77
1.57
1.37
1.17

25.60
25.80
26.00
26.20
26.40
26.60
26.80
27.00
27.20
27.40
27.60
27.80
28.00
28.20
28.40
28.60
28.80
29.00
29.20
29.40
29.60
29.80
30.00
30.20
30.40
30.60
30.80
31.00
31.20
31.40
31.60
31.80
32.00
32.20
32.40
32.60
32.80
33.00
33.20
33.40
33.60
33.80
34.00
34.20
34.40
34.60
34.80
35.00
35.20
35.40
35.60
35.80
36.00
36.20
36.40
36.60

0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.36
0.16
(0.04)
(0.24)
(0.44)
(0.64)
(0.84)
(1.04)
(1.24)
(1.44)

0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28

0.97
0.77
0.57
0.37
0.17
(0.03)
(0.23)
(0.43)
(0.63)
(0.83)
(1.03)
(1.23)
(1.43)
(1.63)
(1.83)
(2.03)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)

36.80
37.00
37.20
37.40
37.60
37.80
38.00
38.20
38.40
38.60
38.80
39.00
39.20
39.40
39.60
39.80
40.00
40.20
40.40
40.60
40.80
41.00
41.20
41.40
41.60
41.80
42.00
42.20
42.40
42.60
42.80
43.00
43.20
43.40
43.60
43.80
44.00
44.20
44.40
44.60
44.80
45.00
45.20
45.40
45.60
45.80
46.00
46.20
46.40
46.60
46.80
47.00
47.20
47.40
47.60
47.80

(1.64)
(1.84)
(2.04)
(2.24)
(2.44)
(2.64)
(2.84)
(3.04)
(3.24)
(3.44)
(3.64)
(3.84)
(4.04)
(4.24)
(4.44)
(4.64)
(4.84)
(5.04)
(5.24)
(5.44)
(5.64)
(5.84)
(6.04)
(6.24)
(6.44)
(6.64)
(6.84)
(7.04)
(7.24)
(7.44)
(7.64)
(7.84)
(8.04)
(8.24)
(8.44)
(8.64)
(8.84)
(9.04)
(9.24)
(9.44)
(9.64)

0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28
0.28

(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)
(2.23)

48.00
48.20
48.40
48.60
48.80
49.00
49.20
49.40
49.60
49.80
50.00
50.20
50.40
50.60
50.80
51.00
51.20
51.40
51.60
51.80
52.00
52.20
52.40
52.60
52.80
53.00
53.20
53.40
53.60
53.80
54.00
54.20
54.40
54.60
54.80
55.00
55.20
55.40
55.60
55.80
56.00

CALL
PUT
TOTAL
(1.53)
4.05
2.52
(1.53)
4.05
2.52
(1.53)
4.05
2.52
(1.53)
4.05
2.52
(1.53)
4.05
2.52
(1.53)
4.05
2.52
(1.53)
4.05
2.52
(1.53)
4.05
2.52

Variveis do BS
i
11% aao
n
40 du
S
39
Vol
33% aao

(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)

4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
4.05
3.85
3.65
3.45
3.25
3.05
2.85
2.65
2.45
2.25
2.05
1.85
1.65
1.45

2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.32
2.12
1.92
1.72
1.52
1.32
1.12
0.92
0.72
0.52
0.32
0.12
(0.08)

(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.53)
(1.33)
(1.13)
(0.93)
(0.73)
(0.53)
(0.33)
(0.13)
0.07
0.27
0.47
0.67
0.87
1.07
1.27
1.47
1.67
1.87
2.07
2.27
2.47
2.67
2.87
3.07
3.27
3.47
3.67
3.87
4.07
4.27
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47

1.25
1.05
0.85
0.65
0.45
0.25
0.05
(0.15)
(0.35)
(0.55)
(0.75)
(0.95)
(1.15)
(1.35)
(1.55)
(1.75)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)

(0.28)
(0.48)
(0.68)
(0.88)
(1.08)
(1.28)
(1.48)
(1.68)
(1.88)
(2.08)
(2.28)
(2.48)
(2.68)
(2.88)
(3.08)
(3.28)
(3.48)
(3.28)
(3.08)
(2.88)
(2.68)
(2.48)
(2.28)
(2.08)
(1.88)
(1.68)
(1.48)
(1.28)
(1.08)
(0.88)
(0.68)
(0.48)
(0.28)
(0.08)
0.12
0.32
0.52
0.72
0.92
1.12
1.32
1.52
1.72
1.92
2.12
2.32
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52

4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47
4.47

(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)
(1.95)

2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52
2.52

PAYOFF CALL

20.00

15.00

10.00

5.00

24.00

(5.00)

(10.00)

(15.00)

(20.00)

29.00

34.00

39.00

44.00

49.00

54.00

PAYOFF PUT

20.00

15.00

10.00

5.00

24.00

(5.00)

(10.00)

(15.00)

(20.00)

29.00

34.00

39.00

44.00

49.00

54.00

PAYOFF TOTAL

20.00

15.00

10.00

5.00

24.00

(5.00)

(10.00)

(15.00)

(20.00)

29.00

34.00

39.00

44.00

49.00

54.00