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  • C9 Put Ratio Back Spread

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    Phani Kumar
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    This document describes a bearish put ratio backspread options strategy involving the sale of one ITM put and the purchase of two OTM puts on the underlying Nifty. The strategy collects a net credit, has a max loss level equal to the debit for the OTM puts, and profits if the underlying closes between the lower and upper breakeven points at expiration.

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    This document describes a bearish put ratio backspread options strategy involving the sale of one ITM put and the purchase of two OTM puts on the underlying Nifty. The strategy collects a net credit, has a max loss level equal to the debit for the OTM puts, and profits if the underlying closes between the lower and upper breakeven points at expiration.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    24 views4 pages

    C9 Put Ratio Back Spread

    Uploaded by

    Phani Kumar
    This document describes a bearish put ratio backspread options strategy involving the sale of one ITM put and the purchase of two OTM puts on the underlying Nifty. The strategy collects a net credit, has a max loss level equal to the debit for the OTM puts, and profits if the underlying closes between the lower and upper breakeven points at expiration.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 4

    Strategy Name Put Ratio Backspread

    Number of option legs Three


    Direction Bearish
    Put Ratio Backspread
    Particular Value
    Underlying Nifty Details
    Spot Price 7506 Spread
    ITM Put, Sell 7500 Lower Breakeven
    OTM Put, Buy 7200 Upper Breakeven
    Credit (ITM) 134 Max Loss
    Debit (OTM) 46 Max Loss level
    Net Credit 42 Max Profit

    Calculations
    Market Expiry ITM_IV PR ITM Payof
    6500 1000 134 -866
    6600 900 134 -766
    6700 800 134 -666
    6800 700 134 -566
    6900 600 134 -466
    7000 500 134 -366
    7100 400 134 -266
    7200 300 134 -166
    7300 200 134 -66
    7400 100 134 34
    7500 0 134 134
    7600 0 134 134
    7700 0 134 134
    7800 0 134 134
    7900 0 134 134
    8000 0 134 134
    300
    r Breakeven 6942
    r Breakeven 7458
    258
    7200
    Unlimited

    OTM_IV PP OTM_Payof Strategy Payof


    1400 92 1308 442
    1200 92 1108 342
    1000 92 908 242 Put Ratio Back Spread
    800 92 708 142
    500
    600 92 508 42
    400 92 308 -58 400
    200 92 108 -158
    300
    0 92 -92 -258
    0 92 -92 -158 200
    0 92 -92 -58 100
    0 92 -92 42
    0
    0 92 -92 42

    6600

    6900

    7000

    7100

    7200

    7300
    6500

    6700

    6800
    0 92 -92 42 -100
    0 92 -92 42
    -200
    0 92 -92 42
    0 92 -92 42 -300
    6800

    6900

    7000

    7100

    7200

    7300

    7400

    Put Ratio Back Spread (2:1)


    7500

    7600

    7700

    7800

    7900

    8000

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