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  • Net Payoff Using Call

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    antmasharma
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    This document contains calculations for call and put options with different strike prices. It shows: - The value of a call option with a strike price of 5500 is 98.44 - The value of a put option with a strike price of 5600 is 161.24 - Net payoff charts for different option strategies like using calls only, puts only, bull spreads and bear spreads across a range of underlying stock prices.

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    Original Title

    Spreads

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    This document contains calculations for call and put options with different strike prices. It shows: - The value of a call option with a strike price of 5500 is 98.44 - The value of a put option with a strike price of 5600 is 161.24 - Net payoff charts for different option strategies like using calls only, puts only, bull spreads and bear spreads across a range of underlying stock prices.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    6 views6 pages

    Net Payoff Using Call

    Uploaded by

    antmasharma
    This document contains calculations for call and put options with different strike prices. It shows: - The value of a call option with a strike price of 5500 is 98.44 - The value of a put option with a strike price of 5600 is 161.24 - Net payoff charts for different option strategies like using calls only, puts only, bull spreads and bear spreads across a range of underlying stock prices.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    of 6

    CALL

    Break even

    PUT
    5552.42

    5546.91

    S0
    K1
    r
    std dev (sigma)
    T
    d1
    N(d1)
    DIFF IN STRIKE
    N(-d1)
    d2
    N(d2)

    5500.00
    5500.00
    0.08
    0.20
    0.08
    0.14
    0.56
    100.00
    0.44
    0.09
    0.53

    N(-d2)
    Xe(-rT)

    0.47 N(-d2)
    5463.46 Xe(-rT)

    S0

    PAYOFF FROM C1
    4900.00
    5000.00
    5100.00
    5200.00
    5300.00
    5400.00
    5500.00
    5600.00
    5700.00
    5800.00
    5900.00
    6000.00
    6100.00

    S0
    5500.00
    K2
    5600.00
    r
    0.08
    std dev (sigma) 0.20
    T
    0.08
    d1
    -0.17
    N(d1)
    0.43
    DIFF IN STRIKE 100.00
    N(-d1)
    0.57
    d2
    -0.23
    N(d2)
    0.41
    0.59
    5562.79

    -145.36
    -145.36
    -145.36
    -145.36
    -145.36
    -145.36
    -145.36
    -45.36
    54.64
    154.64
    254.64
    354.64
    454.64

    NET PAYOF

    Call option Value

    145.36 Call option Value98.44

    60.00

    Put Option Value

    108.81 Put Option Value


    161.24

    40.00
    20.00
    0.00
    -20.00
    -40.00
    -60.00

    BullSpread Using PUT


    PAYOFF FROM
    NETC2
    PAYOFF
    S0
    -98.44
    -98.44
    -98.44
    -98.44
    -98.44
    -98.44
    -98.44
    -98.44
    1.56
    101.56
    201.56
    301.56
    401.56

    -46.91
    -46.91
    -46.91
    -46.91
    -46.91
    -46.91
    -46.91
    53.09
    53.09
    53.09
    53.09
    53.09
    53.09

    4900.00
    5000.00
    5100.00
    5200.00
    5300.00
    5400.00
    5500.00
    5600.00
    5700.00
    5800.00
    5900.00
    6000.00
    6100.00

    PAYOFF FROM
    PAYOFF
    P1 FROM P2
    491.19
    -538.76
    391.19
    -438.76
    291.19
    -338.76
    191.19
    -238.76
    91.19
    -138.76
    -8.81
    -38.76
    -108.81
    61.24
    -108.81
    161.24
    -108.81
    161.24
    -108.81
    161.24
    -108.81
    161.24
    -108.81
    161.24
    -108.81
    161.24

    NET PAYOFF USING PU

    NET PAYOFF USING CALL


    60.00
    40.00
    20.00
    NET PAYOFF

    0.00
    -20.00
    -40.00
    -60.00

    NET PAYOFF
    -47.58
    -47.58
    -47.58
    -47.58
    -47.58
    -47.58
    -47.58
    52.42
    52.42
    52.42
    52.42
    52.42
    52.42

    NET PAYOFF USING PUT

    NET PAYOFF

    CALL
    Break even

    PUT
    5552.42

    5546.91

    S0
    K1
    r
    std dev (sigma)
    T
    d1
    N(d1)
    DIFF IN STRIKE
    N(-d1)
    d2
    N(d2)

    5500.00
    5500.00
    0.08
    0.20
    0.08
    0.14
    0.56
    100.00
    0.44
    0.09
    0.53

    N(-d2)
    Xe(-rT)

    0.47 N(-d2)
    5463.46 Xe(-rT)

    0.59
    5562.79

    145.36 Call option Value98.44

    Put Option Value

    108.81 Put Option Value


    161.24

    S0
    4900.00
    5000.00
    5100.00
    5200.00
    5300.00
    5400.00
    5500.00
    5600.00
    5700.00
    5800.00
    5900.00
    6000.00
    6100.00

    S0
    5500.00
    K2
    5600.00
    r
    0.08
    std dev (sigma) 0.20
    T
    0.08
    d1
    -0.17
    N(d1)
    0.43
    DIFF IN STRIKE 100.00
    N(-d1)
    0.57
    d2
    -0.23
    N(d2)
    0.41

    Call option Value

    PAYOFF FROM C1
    145.36
    145.36
    145.36
    145.36
    145.36
    145.36
    145.36
    45.36
    -54.64
    -154.64
    -254.64
    -354.64
    -454.64

    NET PAYOFF USING C


    60.00
    40.00
    20.00
    0.00
    -20.00
    -40.00
    -60.00

    BearSpread USING PUT


    PAYOFF FROM C2
    NET PAYOFF
    -98.44
    46.91
    -98.44
    46.91
    -98.44
    46.91
    -98.44
    46.91
    -98.44
    46.91
    -98.44
    46.91
    -98.44
    46.91
    -98.44
    -53.09
    1.56
    -53.09
    101.56
    -53.09
    201.56
    -53.09
    301.56
    -53.09
    401.56
    -53.09

    S0
    4900.00
    5000.00
    5100.00
    5200.00
    5300.00
    5400.00
    5500.00
    5600.00
    5700.00
    5800.00
    5900.00
    6000.00
    6100.00

    AYOFF USING CALL

    PAYOFF FROM
    PAYOFF
    P1 FROM P2
    -491.19
    538.76
    -391.19
    438.76
    -291.19
    338.76
    -191.19
    238.76
    -91.19
    138.76
    8.81
    38.76
    108.81
    -61.24
    108.81
    -161.24
    108.81
    -161.24
    108.81
    -161.24
    108.81
    -161.24
    108.81
    -161.24
    108.81
    -161.24

    NET PAYOFF USING PUT


    60.00
    40.00
    20.00
    NET PAYOFF

    0.00
    -20.00
    -40.00
    -60.00

    NET PAYOFF
    47.58
    47.58
    47.58
    47.58
    47.58
    47.58
    47.58
    -52.42
    -52.42
    -52.42
    -52.42
    -52.42
    -52.42

    YOFF USING PUT

    NET PAYOFF

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