Long Call Strategy

Underlying NIFTY

Instrument MP on expiry X PO Prem Net P/L BEP

1 Long Call 11000 10000 1000 -135 865 10135

Short Call Strategy

Underlying NIFTY
Instrument MP on expiry X PO Prem Net P/L BEP
1 short Call 11000 9800 -1200 144 -1056 9944
Long Put Strategy
Underlying NIFTY

Instrument MP on expiry X PO Prem Net P/L BEP

1 Long Put 8000 9000 1000 -144 856 8856

Short Put Strategy

Underlying NIFTY
Instrument MP on expiry X PO Prem Net P/L BEP
1 short Put 8000 9000 -1000 144 -856 8856
Example-1
Long Strangle (1 week before expiry on Quarter result day) Old Eg Long Strangle (13-05-14)-3days
Underl = MARUTI 7094 Underlying = NIFTY
Instrument MP(Expiry) X PO Prem Net P/L on exp Instrument
Long call 7403 7200 203 -96 107 Long call
Long put 7403 7000 0 -108 -108 Long put
Total 203 -204.00 -1

BEP (for Up MovemenCall Strike+Prem 7404.00 4.36989 BEP (for Up

BEP (for down MovemPut Strike-Prem 6796.00 4.200733 BEP (for dow
Profit range above 7404 and below 6796 Profit range

Example-2 Current Eg
Long Strangle (1M before Expire, No Event) Current Eg Underlying = NIFTY
Underl = MARUTI 5916 Instrument
Instrument MP(Expiry) X PO Prem Net P/L on exp Long call
Long call 5900 6000 0 -188 -188 Long put
Long put 5900 5800 0 -170 -170
Total 0 -358.00 -358
BEP (for Up
BEP (for Up MovemenCall Strike+Prem 6358.00 7.4712644 BEP (for dow
BEP (for down MovemPut Strike-Prem 5442.00 8.0121704 Profit range
Profit range above 6358 and below 5442

SHORT STRANGLE
Example-1
Short Strangle (1 week before expiry on Quarter result day)
Underl = MARUTI 7094
Instrument MP(Expiry) X PO Prem Net P/L on exp
Short call 7403 7200 -203 96 -107
Short put 7403 7000 0 108 108
Total -203 204.00 1

BEP (for Up MovemenCall Strike+Prem 7404.00 4.36989

BEP (for down MovemPut Strike-Prem 6796.00 4.200733
Profit range above 7404 and below 6796
ong Strangle (13-05-14)-3days before election result
nderlying = NIFTY 7140
MP X PO Prem Net P/L
7350 7350 0 -136
7350 6950 0 -135
Total 0 -271 -271

Call Strike+Prem 7621 6.736695

Put Strike-Prem 6679 -6.456583
above 8568 and below 8332

nderlying = NIFTY 10600

MP X PO Prem Net P/L
10500 10700 0 -72
10500 10500 0 -82
Total 0 -154 -154

Call Strike+Prem 10854 3.557423

Put Strike-Prem 10346 -3.557423
above 8568 and below 8332
Example-1
Long Straddle (1 week before expiry on Quarter result day)
Underl = ESCORTS 702
Instrument MP(Expiry) X PO Prem Net P/L on exp
Long call 734.5 700 34.5 -18.5 16
Long put 734.5 700 0 -16 -16
Total 34.5 -34.50 0

BEP (for Up Movement)Call Strike+Prem 734.50 4.62963

BEP (for down MovemePut Strike-Prem 665.50 5.19943
Profit range above 734.5 and below 665.5

Short Straddle
Example-1
Short Straddle (1 week before expiry on Quarter result day)
Underl = ESCORTS 702
Instrument MP(Expiry) X PO Prem Net P/L on exp
short call 700 700 0 18.5 18.5
short put 700 700 0 16 16
Total 0 34.50 34.5

BEP (for Up Movement)Call Strike+Prem 665.50 -5.19943

BEP (for down MovemePut Strike-Prem 734.50 -4.62963
Profit range above 665.5 and below 734.5
Example-2 Example-3
Long Straddle (1 W expiry) Current Eg Long Strangle (1M before Expire, N
Underl = NIFTY 10607 Underl = 5916
Instrument MP(Expiry) X PO Prem Net P/L on exp InstrumentMP(Expiry)
Long call 10375 10600 0 -100 -100 Long call 5900
Long put 10375 10600 225 -125 100 Long put 5900
Total 225 -225.00 0 Total

BEP (for Up MovemeCall Strike+Prem 10825.00 2.055247 BEP (for U Call Strike+Prem
BEP (for down MovePut Strike-Prem 10375.00 2.187235 BEP (for Put Strike-Prem
Profit range above 10825 and below 10375 Profit rang above 6351 and below 5
ngle (1M before Expire, No Event) Current Eg

X PO Prem Net P/L on exp

5900 0 -236 -236
5900 0 -215 -215
0 -451.00 -451

Call Strike+Prem 6351.00 7.352941 6358 7.471264

Put Strike-Prem 5449.00 7.893847 5442 8.01217
above 6351 and below 5449
 Bullish Call spread NIFTY 12375
Underlying NIFTY (2 Weeks option)
EX-1 Instrument MP on expiry X PO Prem Net P/L BEP
1 Short call 10608 10700 0 194 194
1 long call 10608 10500 108 -302 -194
Net outflow 108 -108 0 10608

Max Payoff Difference in strike price

Max Profit Difference in strike -Net premium

Comparision with long call Put Write

MP Strike Prem BEP PO Net P/L MP Strike Prem PO
10608 12000 4 12004 0 -4 12000 12400 104 -400
10608 11500 16 11516 0 -16
10608 11000 91 11091 0 -91
10608 10600 251 10851 8 -243
10608 10500 302 10802 108 -194
10608 10000 660 10660 608 -52
10608 9500 1105 10605 1108 3
10608 9000 1576 10576 1608 32
10608 8000 2562 10562 2608 46
10608 7500 3053 10553 3108 55
Net P/L
-296
Long butterfly (1m Expiry) Long butterfly (4Days Expiry)
Underlying = NIFTY 10800 Underlying = NIFTY 12350
Instrument MP on expiry X PO Prem Net P/L InstrumentMP on expi X
Long Call 10600 10700 0 -194 Long Call 10700 10800
2 Short Call 10600 10600 0 502.5 2 Short Cal 10700 10700
Long Call 10600 10500 100 -302 Long Call 10700 10600
Total 100 6.15 106.15 Total

BEP -1 10493.85
BEP -2 10706.15

Short butterfly
Underlying = NIFTY
Instrument MP on expiry X PO Prem Net P/L
1 Short call 10600 10700 0 246
2 long call 10600 10600 0 -606
1 Short call 10600 10500 -100 369
Total -100 9 -91

BEP -1 10691
BEP -1 10509
PO Prem Net P/L
0 -160
0 388
100 -251
100 -23 77
Outflow to buy share when bought 1 call and sold 1 put Fair Call 247.96
Underlying = Maruti 6930 0.7% Interest for 1 Month Fair Put 152.04
Instrument MP on Expiry X PO Prem
Call buy 6000 6900 0 -230 17.96 Under
Total/Net
Outflow to buy share from Cash Mkt -6000
Total/Net outflow -6900 Strike

Todays cashflows 6870

Withdrawal 6918.09 Arbitrage 18.09

Inflow to sell share when bought 1 put and sold 1 call Fair Call 247.9643
Underlying = MARUTI 6930 Fair Put 192.0357
Instrument MP on expiry X PO Prem
Call write 5000 6900 0 270 22.03575 Over
Put buy 5000 6900 1900 -170 22.03575 Under
Total/Net 1900
Inflow to sell share in cash market 5000
Total/Net inflow 6900 Strike

Today's Cashflows -6830

Repay on expiry -6877.81 Arbitrage 22.19
Maruti
Expiry 1 Month
Interest 0.70%
SP 6930 Strike 6900
Put (quoted) 170 Over 17.96425
Call (quoted) 230 Under 17.96425

Call(fair) 247.9643
Put (fair) 152.0357

Maruti
Expiry 20Days
Interest 0.40%
SP 3304 Strike 3300
Put (quoted) 224 Over 25.14741
Call (quoted) 216 Under 25.14741

Call(fair) 241.1474
Put (fair) 198.8526