Assignment Details Strategy Details

Name Harshit Gupta Sl.No. Name of Strategy

Roll No. 126KC 1 Long Straddle
Section C 2 Short Straddle
Batch 19-21 3 Long Strangle
Company Chosen Havells India Limited 4 Short Strangle
Beginning Price ₹ 633.20 5 Strip
Closing Price ₹ 670.00 6 Strap
7 Bull Spread using call
8 Bull Spread using put
9 Bear Spread using call
10 Bear Spread using put
11 Butterfly Spread using call
12 Butterfly Spread using put
13 Condor Spread using call
14 Condor Spread using put
15 Condor Spread using call and put
16 Box Spread
Total Profit/Loss
ategy Details
ame of Strategy Profit/Loss
ddle -9.40
ddle 6.65
ngle -9.50
ngle 8.05
-29.95
1.75
d using call 3.55
d using put 8.25
ad using call -18.20
ad using put -9.90
pread using call -11.30
pread using put -2.20
read using call -12.65
read using put -3.90
read using call and put -1.65
d -1.40
Total Profit/Loss -81.8
Price as on September 4, 2020
Price as on September 15, 2020
Long Straddle
Construction
Leg 1: Buy 1 ATM Call
Leg 2: Buy 1 ATM Put
at the same exercise price
and the same exercise date

Calculation
Contract Size 1 Share
Strike Price 630.00
Cost of Strategy 49.4
Closing Price 670.00
Profit/Loss -9.40
Short Straddle
Construction
Leg 1: Sell 1 ATM Call
Leg 2: Sell 1 ATM Put
at the same exercise price
and the same exercise date

Calculation
Contract Size 1 Share
Strike Price 630.00
Cost of Strategy -₹ 46.65
Closing Price 670.00
Profit/Loss 6.65
Long Strangle
Construction
Leg 1: Buy 1 OTM Call
Leg 2: Buy 1 OTM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call ₹ 640.00
Strike Price for Put ₹ 620.00
Cost of Strategy 39.50
Closing Price 670.00
Profit/Loss -9.50
Short Strangle
Construction
Leg 1: Sell 1 OTM Call
Leg 2: Sell 1 OTM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call ₹ 640.00
Strike Price for Put ₹ 620.00
Cost of Strategy -38.05
Closing Price 670.00
Profit/Loss 8.05
Strip
Construction
Leg 1: Buy 1 ATM Call
Leg 2: Buy 1 ATM Put
Leg 3: Buy 1 ATM Put
at the same exercise price
and the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 630.00
Cost of Strategy 69.95
Closing Price 670.00
Profit/Loss -29.95
Strap
Construction
Leg 1: Buy 1 ATM Call
Leg 2: Buy 1 ATM Call
Leg 3: Buy 1 ATM Put
at the same exercise price
and the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 630.00
Cost of Strategy 78.25
Closing Price 670.00
Profit/Loss 1.75
Bull Spread using Call
Construction

Leg 1: Buy 1 ATM Call

Leg 2: Sell 1 OTM Call
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for ATM Call 630.00
Strike Price for OTM Call 640.00
Cost of Strategy 6.45
Closing Price 670.00
Profit/Loss 3.55
Bull Spread using Put
Construction

Leg 1: Buy 1 OTM Put

Leg 2: Sell 1 ITM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Put 1 620.00
Strike Price for Put 2 640.00
Cost of Strategy -8.25
Closing Price 670.00
Profit/Loss 8.25
Bear Spread using Call
Construction

Leg 1: Sell 1 ITM Call

Leg 2: Buy 1 OTM Call
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 1 620.00
Strike Price for Call 2 640.00
Cost of Strategy -1.80
Closing Price 670.00
Profit/Loss -18.20
Bear Spread using Put
Construction

Leg 1: Buy 1 ITM Put

Leg 2: Sell 1 OTM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Put 1 640.00
Strike Price for Put 2 620.00
Cost of Strategy 9.90
Closing Price 670.00
Profit/Loss -9.90
Butterfly Spread using Call
Construction
Leg 1: Buy 1 ITM Call
Leg 2: Sell 1 ATM Call
Leg 3: Sell 1 ATM Call
Leg 4: Buy 1 OTM Call
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 1 620.00
Strike Price for Call 2 630.00
Strike Price for Call 3 630.00
Strike Price for Call 4 640.00
Cost of Strategy 11.30
Closing Price 670.00
Profit/Loss -11.30
Butterfly Spread using Put
Construction
Leg 1: Buy 1 OTM Put
Leg 2: Sell 1 ATM Put
Leg 3: Sell 1 ATM Put
Leg 4: Buy 1 ITM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Put 1 620.00
Strike Price for Put 2 630.00
Strike Price for Put 3 630.00
Strike Price for Put 4 640.00
Cost of Strategy 2.20
Closing Price 670.00
Profit/Loss -2.20
Condor Spread using Call
Construction
Leg 1: Buy 1 ITM Call
Leg 2: Sell 1 ITM Call
Leg 3: Sell 1 OTM Call
Leg 4: Buy 1 OTM Call
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 1 610.00
Strike Price for Call 2 620.00
Strike Price for Call 3 640.00
Strike Price for Call 4 650.00
Cost of Strategy 12.65
Closing Price 670.00
Profit/Loss -12.65
Condor Spread using Put
Construction
Leg 1: Buy 1 OTM Put
Leg 2: Sell 1 OTM Put
Leg 3: Sell 1 ITM Put
Leg 4: Buy 1 ITM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Put 1 610.00
Strike Price for Put 2 620.00
Strike Price for Put 3 640.00
Strike Price for Put 4 650.00
Cost of Strategy 3.90
Closing Price 670.00
Profit/Loss -3.90
Condor Spread using Call & Put
Construction
Leg 1: Buy 1 ITM Call
Leg 2: Sell 1 ITM Call
Leg 3: Sell 1 ITM Put
Leg 4: Buy 1 ITM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 1 610.00
Strike Price for Call 2 620.00
Strike Price for Put 1 650.00
Strike Price for Put 2 640.00
Cost of Strategy 11.65
Closing Price 670.00
Profit/Loss -1.65
Box Spread
Construction
Leg 1: Buy 1 ITM Call
Leg 2: Sell 1 OTM Put
Leg 3: Sell 1 OTM Call
Leg 4: Buy 1 ITM Put
at the same exercise date

Calculation
Contract Size 1 Share
Strike Price for Call 1 620.00
Strike Price for Put 1 620.00
Strike Price for Call 2 640.00
Strike Price for Put 2 640.00
Cost of Strategy 21.40
Closing Price 670.00
Profit/Loss -1.40