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  • Straddle Strategy: Long Postion: Soal 4

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    irga ayudias
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    Ms. Adelina bought put and call options with a strike price of Rp875 and maturity of 3 months. The possible future stock prices in 3 months are provided. The payoff for the put and call options are calculated for each possible future stock price. The profit/loss for the long straddle and short straddle strategies are also presented in payoff matrices for each possible future stock price.

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    LATIHAN PRA UAS

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    Ms. Adelina bought put and call options with a strike price of Rp875 and maturity of 3 months. The possible future stock prices in 3 months are provided. The payoff for the put and call options are calculated for each possible future stock price. The profit/loss for the long straddle and short straddle strategies are also presented in payoff matrices for each possible future stock price.

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    26 views4 pages

    Straddle Strategy: Long Postion: Soal 4

    Uploaded by

    irga ayudias
    Ms. Adelina bought put and call options with a strike price of Rp875 and maturity of 3 months. The possible future stock prices in 3 months are provided. The payoff for the put and call options are calculated for each possible future stock price. The profit/loss for the long straddle and short straddle strategies are also presented in payoff matrices for each possible future stock price.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    of 4

    SOAL 4

    Hari ini ms adelina membeli put option dan call option dengan
    strike price Rp875.00
    maturity date 3 bulan
    premium Rp25.00
    Alternatif harga saham 3 bulan mendatang adalah
    750 850 1000
    775 875 1050
    800 900 1100
    825 950 1150
    Ditanya :
    a. Berapakah keuntugan(kerugian) Ms. Adelia pada setiap alternatif harga 3 bulan mendatang
    b. Buatlah pay-off matrix(grafik keuntungan/kerugian)sesuai jawaban butir 2a

    Value of
    The possible Market price (S) Strike price (X) Value Call Value Put Combined Call Investment
    Options
    Rp 750 Rp 875 Rp - Rp 125 Rp 125 Rp25.00
    Rp 775 Rp 875 Rp - Rp 100 Rp 100 Rp25.00
    Rp 800 Rp 875 Rp - Rp 75 Rp 75 Rp25.00
    Rp 825 Rp 875 Rp - Rp 50 Rp 50 Rp25.00
    Rp 850 Rp 875 Rp - Rp 25 Rp 25 Rp25.00
    Rp 875 Rp 875 Rp - Rp - Rp - Rp25.00
    Rp 900 Rp 875 Rp 25 Rp - Rp 25 Rp25.00
    Rp 950 Rp 875 Rp 75 Rp - Rp 75 Rp25.00
    Rp 1,000 Rp 875 Rp 125 Rp - Rp 125 Rp25.00
    Rp 1,050 Rp 875 Rp 175 Rp - Rp 175 Rp25.00
    Rp 1,100 Rp 875 Rp 225 Rp - Rp 225 Rp25.00
    Rp 1,150 Rp 875 Rp 275 Rp - Rp 275 Rp25.00

    long straddle
    the possible market price Investor Profit Straddle Strategy: Lon
    Rp 750 Rp 75.00
    Rp 775 Rp 50.00 Rp250.00
    Rp 800 Rp 25.00
    Rp200.00
    Rp 825 Rp -
    Rp 850 -Rp 25.00 Rp150.00
    Rp 875 -Rp 50.00
    Rp100.00
    Rp 900 -Rp 25.00
    Rp 950 Rp 25.00 Rp50.00
    Rp 1,000 Rp 75.00 Rp-
    Rp 1,050 Rp 125.00 Rp700 Rp750 Rp800 Rp850 Rp900 Rp950 Rp1
    Rp 1,100 Rp 175.00 -Rp50.00

    -Rp100.00
    Rp50.00

    Rp-
    Rp700 Rp750 Rp800 Rp850 Rp900 Rp950 Rp1
    -Rp50.00

    Rp 1,150 Rp 225.00 -Rp100.00

    short straddle
    the possible market price Investor profit
    Rp 750 -Rp 75.00 Straddle Strategy: Short P
    Rp 775 -Rp 50.00
    Rp 800 -Rp 25.00
    Rp 825 Rp - Rp100.00
    Rp 850 Rp 25.00 Rp50.00
    Rp 875 Rp 50.00
    Rp-
    Rp 900 Rp 25.00
    0 0 0 0 0 0 0
    Rp 950 -Rp 25.00 70 75 80 85 90 95 00
    Rp
    -Rp50.00 Rp Rp Rp Rp Rp p1,
    R
    Rp 1,000 -Rp 75.00
    -Rp100.00
    Rp 1,050 -Rp 125.00
    Rp 1,100 -Rp 175.00 -Rp150.00
    Rp 1,150 -Rp 225.00 -Rp200.00

    -Rp250.00

    Soal 1
    Diketahui : Do 120
    D1 135
    g2 11%
    rf 5%
    rm 14%
    β 1.3
    P 2750

    Jawab :
    r 16.70%
    Put Investment Total Investment Investor Profit Writer Profit

    Rp25.00 Rp50.00 Rp 75.00 -Rp 75.00


    Rp25.00 Rp50.00 Rp 50.00 -Rp 50.00
    Rp25.00 Rp50.00 Rp 25.00 -Rp 25.00
    Rp25.00 Rp50.00 Rp - Rp -
    Rp25.00 Rp50.00 -Rp 25.00 Rp 25.00
    Rp25.00 Rp50.00 -Rp 50.00 Rp 50.00
    Rp25.00 Rp50.00 -Rp 25.00 Rp 25.00
    Rp25.00 Rp50.00 Rp 25.00 -Rp 25.00
    Rp25.00 Rp50.00 Rp 75.00 -Rp 75.00
    Rp25.00 Rp50.00 Rp 125.00 -Rp 125.00
    Rp25.00 Rp50.00 Rp 175.00 -Rp 175.00
    Rp25.00 Rp50.00 Rp 225.00 -Rp 225.00

    dle Strategy: Long Postion

    Rp850 Rp900 Rp950 Rp1,000 Rp1,050 Rp1,100 Rp1,150 Rp1,200


    Rp850 Rp900 Rp950 Rp1,000 Rp1,050 Rp1,100 Rp1,150 Rp1,200

    e Strategy: Short Position

    50 90
    0
    95
    0
    00
    0
    05
    0
    10
    0
    15
    0
    20
    0
    p8 Rp Rp 1, 1, 1, 1, 1,
    R p R p R p R p R p

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