Option Strategies. Probability distributions. Performance
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1 Option Strategies. Probability distributions. Performance 1.1 Market scenario undecided. Volatility undecided Complete hedge using options The payoff of the underlying asset (long share) can be completely hedged by selling a call, buying a put option and selling a riskless bond. This combination would behave like selling the underlying security Box Spread Table 1. Box Spread. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 Call -C 1 -C 1 + S - E 1 -C 1 + S - E 1 - Call +C 2 +C 2 +C 2 -( S - E 2 ) Put -P 2 + E 2 - S -P 2 + E 2 - S - P 2 - Put +P 1 - (E 1 - S) + P 1 + P 1 Total payoff -C + E 2 - E 1 -C + E 2 - E 1 -C + E 2 - E 1 E 2 -E 1 E 2 -E 1 -C 1 +C 2 +P 1 -P 2 E 1 E 2 Spot Price (S) Figure 1. Box Spread
2 1.2 Market scenario undecided. Volatility rising Long Straddle Table 2. Long Straddle. The Value Matrix S<E S>E Call -C 0 -C 0 + S - E Put -P 0 + E - S - P 0 Total payoff + E - S - C 0 - P 0 + S - E -C 0 - P 0 Break-even Point S=E-(P0+C0) Ε-(P 0 +C 0 ) Break-even Point S=E+P 0 +C 0 CF=-(P 0 +C 0 ) Premiums E Figure 2. Long Straddle Spot Price (S) 2
3 1.2.2 Long Strangle Table 3. Long Strangle. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 Put (E 1 ) -P 1 + E 1 - S -P 1 - P 1 Call (E 2 ) -C 2 - C 2 - C 2 + S - E 2 Total payoff -P 1 -C 2 + E 1 - S - P 1 - C 2 - P 1 - C 2 + S - E 2 E 1 E 1 -(P 1 +C 2 ) Break-even Point S=E1- (P1+C2) Break-even Point S=E 2 +P 1 +C 3 -(P 1 +C 2 ) E 1 E 2 Spot Price (S) Figure 3. Long Strangle 3
4 1.2.3 Short Butterfly Spread Table 4. Short Butterfly Spread. The Value Matrix S<E 1 E 1 <S<E 2 E 2 <S<E 3 S>E 3 - Call (E 1 ) C 1 C 1 - S + E 1 C 1 - S + E 1 C 1 - S + E 1 - Call (E 3 ) C 3 C 3 C 3 C 3 - S + E 3 Call (E 2 ) -2C 2-2C 2-2C 2 + 2(S - E 2 ) -2C 2 + 2(S - E 2 ) Total payoff -S + E 1 S - 2E 2 + E 1-2E 2 + E 1 + E 3-2C 2 + C 1 + C 3-2C 2 + C 1 + C 3-2C 2 + C 1 + C 3-2C 2 + C 1 + C 3 Break-even Point S=E 1 +(C 1 +C 3-2C 2 ) Break-even Point S=E 3 -(C 1 +C 3-2C 2 ) -2C 2 +C 1 +C 3 E 1 -E 2 +C 1 +C 3-2C 2 E 1 E 2 E 3 Spot Price (S) Figure 4. Short Butterfly Spread 4
5 1.2.4 Short Condor Table 5. Short Condor. The Value Matrix S<E 1 E 1 <S<E 2 E 2 <S<E 3 E 3 <S<E 4 S>E 4 - Call (E 1 ) +C 1 C 1 - (S - E 1 ) C 1 - (S - E 1 ) C 1 - (S - E 1 ) C 1 - (S - E 1 ) Call (E 2 ) -C 2 -C 2 -C 2 + S - E 2 -C 2 + S - E 2 -C 2 + S - E 2 Call (E 3 ) -C 3 -C 3 -C 3 -C 3 + S - E 3 -C 3 + S - E 3 - Call (E 4 ) C 4 C 4 C 4 C 4 C 4 - (S - E 4 ) Total payoff C -S + E 1 + C -E 2 + E 1 + C -E 3 -E 2 +E 1 +S +C -E 3 -E 2 +E 1 +E 4 +C Break-even Point S=E 2 -C 1 -C 4 +C 2 +C 3 Break-even Point S=E 3 +C 1 +C 4 -C 2 -C 3 E 2 -E 1 E 2 -E 1 +C 1 +C 4 -C 2 -C 3 +C 1 +C 4 -C 2 -C 3 E 1 E 2 E 3 E 4 Spot Price (S) Figure 5. Short Condor 5
6 1.3 Market scenario undecided. Volatility falling Short Straddle Table 6. Short Straddle. The Value Matrix S<E S>E - Call +C 0 +C 0 - (S - E) - Put +P 0 - (E - S) + P 0 Total payoff S -E +C 0 + P 0 E - S +C 0 + P 0 Break-even Point S=E-(P 0 +C 0 ) Break-even Point S=E+P 0 +C 0 (P 0 +C 0 ) E Spot Price (S) Ε+(P 0 +C 0 ) -E Figure 6. Short Straddle 6
7 1.3.2 Short Strangle Table 7. Short Strangle. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 - Put (E 1 ) P 1 - E 1 + S P 1 P 1 - Call (E 2 ) C 2 C 2 C 2 - S + E 2 Total payoff P 1 + C 2 - E 1 +S P 1 + C 2 P 1 + C 2 - S + E 2 Break-even Point S=E 1 - (P 1 +C 2 ) Break-even Point P 1 +C 2 S=E 2 +P 1 +C 3 E 1 E 2 Spot Price (S) Figure 7. Short Strangle 7
8 1.3.3 Long Butterfly Spread Table 8. Long Butterfly Spread. The Value Matrix S<E 1 E 1 <S<E 2 E 2 <S<E 3 S>E 3 Call (E 1 ) -C 1 -C 1 + S - E 1 -C 1 + S - E 1 -C 1 + S - E 1 Call (E 3 ) -C 3 -C 3 -C 3 -C 3 + S - E 3 - Call (E 2 ) +2C 2 +2C 2 +2C 2-2(S - E 2 ) +2C 2-2(S - E 2 ) Total payoff 2C 2 -C 1 -C 3 S - E 1 -S + 2E 2 - E 1 2E 2 - E 1 - E 3 +2C 2 -C 1 -C 3 +2C 2 -C 1 -C 3 +2C 2 -C 1 -C 3 Break-even Point S=E 1 +(C 1 +C 3-2C 2 ) Break-even Point S=E 3 -(C 1 +C 3-2C 2 ) E 2 -E 1 -C 1 -C 3 +2C 2 2C 2 -C 1 -C 3 E 1 E 2 E 3 Spot Price (S) Figure 8. Long Butterfly Spread 8
9 1.3.4 Long Condor Table 9. Long Condor. The Value Matrix S<E 1 E 1 <S<E 2 E 2 <S<E 3 E 3 <S<E 4 S>E 4 Call (E 1 ) -C 1 -C 1 + S - E 1 -C 1 + S - E 1 -C 1 + S - E 1 -C 1 + S - E 1 - Call (E 2 ) +C 2 +C 2 +C 2 - S + E 2 +C 2 - S + E 2 +C 2 - S + E 2 - Call (E 3 ) +C 3 +C 3 +C 3 +C 3 - S + E 3 +C 3 - S + E 3 Call (E 4 ) -C 4 -C 4 -C 4 -C 4 -C 4 + S - E 4 Total payoff -C S - E 1 - C E 2 - E 1 - C E 3 + E 2 - E 1 - S - C E 3 + E 2 - E 1 - E 4 - C Break-even Point S=E 1 +C 1 +C 4 -C 2 -C 3 E 2 -E 1 Break-even Point S=E 4 -(C 1 +C 4 -C 2 -C 3 ) E 2 -E 1 -C 1 -C 4 +C 2 +C 3 -C 1 -C 4 +C 2 +C 3 E 1 E 2 E 3 E 4 Spot Price (S) Figure 9. Long Condor 9
10 1.4 Market scenario bulish. Volatility undecided Long Call + Short Put Long call and short put replicates long share Bull Spread Table 10. Bull Call Spread. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 Call (E 1 ) -C 1 -C 1 + S - E 1 -C 1 + S - E 1 - Call (E 2 ) +C 2 +C 2 +C 2 - S + E 2 Total payoff C 2 -C 1 + S - E 1 +C 2 -C 1 E 2 - E 1 +C 2 -C 1 Break-even Point S=E 1 +C 1 -C 2 E 2 -E 1 C 2 -C 1 E 1 E 2 Spot Price (S) Figure 10. Bull Call Spread 10
11 1.4.3 Rotated Vertical Bull Spread Table 11. Rotated Vertical Bull Spread. The Value Matrix S<E S>E Call -C 0 -C 0 + S - E - Put +P 0 - (E - S) + P 0 Total payoff S - E - C 0 + P 0 + S - E - C 0 + P 0 Break-even Point S=E-P 0 +C 0 CF=P 0 -C 0 E Spot Price (S) Premium Figure 11. Rotated Vertical Bull Spread 11
12 1.5 Market scenario bulish. Volatility rising Long Call Long call is the simplest strategy for an investor expecting rise in prices and rise in volatility Protective Put Table 12. Protective Put. The Value Matrix S<E S>E Long share S S Put -P 0 + E - S - P 0 Total payoff E -P 0 S - P 0 Long share E CF=P 0 Break-even Point Premium S=E-P 0 E Spot Price (S) Figure 12. Protective Put 12
13 1.5.3 Call Ratio Back Spread Table 13. Call Ratio Back Spread. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 - Call (E 1 ) +C 1 +C 1 - S + E 1 +C 1 - S + E 1 Two calls (E 2 ) -2C 2-2C 2-2C (S - E 2 ) Total payoff +C 1-2C 2 - S + E 1 + C 1-2C 2 S + E 1-2E 2 +C 1-2C 2 Break-even Point S=2E 2 -E 1 +2C 2 -C 1 C 1-2C 2 E 1 -E 2 +C 1-2C 2 E 1 -E 2 E 1 E 2 Spot Price (S) Figure 13. Call Ratio Back Spread 13
14 1.6 Market scenario bulish. Volatility falling Short Put Short put is the simplest strategy for an investor expecting fall in prices and fall in volatility Covered Call Table 14. Covered Call. The Value Matrix S<E S>E Long share S S - Call +C 0 +C 0 - (S - E) Total payoff S + C 0 E + C 0 Long share E CF=C 0 Premium Break-even Point S=E+C 0 E Spot Price (S) Figure 14. Covered Call 14
15 1.6.3 Ratio Call Spread Table 15. Ratio Call Spread. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 Call (E 1 ) -C 1 -C 1 + S - E 1 -C 1 + S - E 1 Two short Puts (E 2 ) +2C 2 +2C 2 +2C 2-2( S - E 2 ) Total payoff -C 1 + 2C 2 + S - E 1 - C 1 + 2C 2 -S - E 1 + 2E 2 -C 1 + 2C 2 E 2 -E 1 +2C 2 -C 1 Break-even Point S=2E 2 -E 1 +2C 2 -C 1 E 2 -E 1 2C 2 -C 1 E 1 E 2 Spot Price (S) (2C 2 <C 1 ) Figure 15. Ratio Call Spread 15
16 1.7 Market scenario bearish. Volatility undecided Short Call + Long Put Short call and long put replicates short share or short futures Bear Spread Table 16. Bear Put Spread. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 Put (E 2 ) -P 2 + E 2 - S -P 2 + E 2 - S - P 2 - Put (E 1 ) +P 1 - (E 1 - S) + P 1 + P 1 Total payoff +P 1 - P 2 + E 2 - E 1 + P 1 - P 2 + E 2 - S + P 1 - P 2 Break-even Point S=E 2 +P 1 -P 2 E 2 -E 1 E 2 -E 1 +P 1 -P 2 P 1 -P 2 E 1 E 2 Spot Price (S) Figure 16. Bear Put Spread 16
17 1.7.3 Rotated Vertical Bear Spread Table 17. Rotated Vertical Bear Spread. The Value Matrix S<E S>E - Call +C 0 +C 0 - (S - E) Put -P 0 + E - S - P 0 Total payoff E - S +C 0 - P 0 E - S + C 0 - P 0 Break-even Point S=E-P 0 +C 0 CF=C 0 -P 0 Premium E Spot Price (S) Figure 17. Rotated Vertical Bear Spread 17
18 1.8 Market scenario bearish. Volatility rising Long Put Long put is the simplest strategy for an investor expecting fall in prices and rise in volatility Put Ratio Back Spread Table 18. Put Ratio Back Spread. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 Put (E 1 ) -2P 1-2(S - E 1 ) -2P 1-2P 1 - Put (E 2 ) +P 2 -E 2 +S +P 2 - E 2 + S +P 2 Total payoff -2P 1 + P 2 - S - E 2 + 2E 1-2P 1 + P 2 - E 2 + S -2P 1 + P 2 Break-even Point S=2E 1 -E 2-2P 1 +P 2 P 2-2P 1 E 1 -E 2 +P 2-2P 1 E 1 -E 2 E 1 E 2 Spot Price (S) Figure 18. Put Ratio Back Spread 18
19 1.9 Market scenario bearish. Volatility falling Short Call Short call is the simplest strategy for an investor expecting fall in prices and fall in volatility Ratio Put Spread Table 19. Ratio Put Spread. The Value Matrix S<E 1 E 1 <S<E 2 S>E 2 - Put (E 1 ) 2P 1 +2(S - E 1 ) 2P 1 2P 1 Put (E 2 ) -P 2 +E 2 -S -P 2 + E 2 - S -P 2 Total payoff 2P 1 - P 2 +S+ E 2-2E 1 2P 1 - P 2 + E 2 - S 2P 1 - P 2 E 2 -E 1 E 2 -E 1 +2P 1 -P 2 Break-even Point S=2E 1 -E 2-2P 1 +P 2 2P 1 -P 2 E 1 E 2 Spot Price (S) Figure 19. Ratio Put Spread 19
20 Table 20. Option Strategies. Risk and Return. 5 perc. µ σ µ/σ (µ-r)/σ 1 Long Share + Short Forward 100% 0% 2 Short Share + Long Forward 100% 0% 3 Parytet Put-Call -1% 0% 0% -0,31 4 Parytet Put-Call -1% 0% 0% 0,31 5 Box Spread -1% 0% 0% -1,25 6 Long Straddle -71% 242% 258% 0,94 0,92 7 Long Straddle* = Long Futures +2 Long Puts -3% 8% 9% 0,94 0,36 8 Long Straddle* = Short Futures + 2 Long Calls -3% 9% 9% 0,94 0,39 9 Long Strangle -100% 351% 417% 0,84 0,83 10 Long Strangle* = Long Futures + 2 Long Puts -3% 7% 9% 0,84 0,27 11 Long Strangle* = Short Futures + 2 Long Calls -3% 8% 10% 0,84 0,32 12 Short Butterfly Spread (Calls) -92% 69% 63% 1,09 1,01 13 Short Butterfly Spread (Puts) -92% 69% 63% 1,09 1,01 14 Short Condor (Calls) -56% 59% 61% 0,98 0,89 15 Short Condor (Puts) -56% 59% 61% 0,98 0,89 16 Long Strip -73% 256% 305% 0,84 0,82 17 Long Strap -77% 229% 286% 0,80 0,78 18 Short Straddle -745% -242% 258% -0,94-0,96 19 Short Straddle* = Long Futures + 2 Short Calls -27% -9% 9% -0,94-1,48 20 Short Straddle* = Short Futures + 2 Short Puts -25% -8% 9% -0,94-1,52 21 Short Strangle -1173% -351% 417% -0,84-0,85 22 Short Strangle* = Long Futures + 2 Short Calls -27% -8% 10% -0,84-1,37 23 Short Strangle* = Short Futures + 2 Short Puts -25% -7% 9% -0,84-1,42 24 Long Butterfly Spread (Calls) -100% -69% 63% -1,09-1,17 25 Long Butterfly Spread (Puts) -100% -69% 63% -1,09-1,17 26 Long Condor (Calls) -100% -59% 61% -0,98-1,06 27 Long Condor (Puts) -100% -59% 61% -0,98-1,06 28 Short Strip -876% -256% 305% -0,84-0,85 29 Short Strap -822% -229% 286% -0,80-0,82 30 Long Share -25% 0% 15% -0,03-0,37 31 Long Share + Short Forward 50% -25% 0% 15% -0,03-0,37 32 Long Futures -25% 0% 15% -0,03-0,37 33 Long Futures (Split-Strike)* = Long Call + Short Put -5974% -99% 3590% -0,03-0,03 34 Long Futures (Split-Strike)* = Long Call + Short Put -1202% 26% 743% 0,04 0,03 35 Bull Call Spread -100% -6% 86% -0,07-0,12 36 Bull Put Spread -100% -6% 96% -0,07-0,12 37 Bull Spread* = Long Futures + Short Call + Long Put -4% -1% 2% -0,37-2,46 38 Collar -6% 0% 5% -0,07-1,17 39 Rotated Vertical Bull Spread % -76% 7645% -0,01-0,01 40 Long Call -100% 205% 450% 0,46 0,45 41 Long Call* = Long Futures + Long Put -2% 4% 9% 0,46-0,13 42 Long Call* = Short Futures + 2 Long Calls +Short Put -2% 4% 9% 0,46-0,11 43 Protective Put -2% 4% 9% 0,46-0,13 44 Call Ratio Back Spread -143% 277% 427% 0,65 0,64 45 Call Ratio Back Spread* = Short Futures + 2 Long Calls + Short Put -3% 3% 6% 0,49-0,39 46 Short Put -1478% -288% 563% -0,51-0,52 47 Short Put* = Long Futures +Short Call -23% -4% 9% -0,51-1,09 48 Short Put* = Short Futures + Long Call + 2 Short Puts -23% -4% 8% -0,51-1,10 49 Covered Call -25% -4% 10% -0,37-0,86 50 Ratio Call Spread (upside) -1238% -277% 427% -0,65-0,66 51 Ratio Call Spread* = Short Futures + Long Put + 2 Short Puts -15% -3% 5% -0,49-1,44 52 Short Share -25% 0% 15% 0,03-0,31 53 Short Share + Long Forward 50% -25% 0% 15% 0,03-0,31 54 Short Futures -25% 0% 15% 0,03-0,31 55 Short Futures* = Short Call + Long Put -5978% 99% 3590% 0,03 0,03 56 Short Futures* = Short Call + Long Put -1324% -26% 743% -0,04-0,04 57 Bear Call Spread -90% 6% 86% 0,07 0,01 58 Bear Put Spread -100% 6% 96% 0,07 0,01 59 Bear Spread* = Short Futures + Long Call + Short Put -2% 1% 2% 0,37-1,72 60 Rotated Vertical Bear Spread % 76% 7645% 0,01 0,01 20
21 61 Long Put -100% 288% 563% 0,51 0,50 62 Long Put* = Long Futures + Short Call + 2 Long Puts -2% 4% 8% 0,51-0,08 63 Long Put* = Short Futures +Long Call -2% 4% 9% 0,51-0,06 64 Put Ratio Back Spread -121% 262% 388% 0,68 0,66 65 Put Ratio Back Spread* = Long Futures + Short Call + 2 Long Puts -3% 3% 6% 0,47-0,41 66 Short Call -1185% -205% 450% -0,46-0,47 67 Short Call* = Long Futures + 2 Short Calls + Long Put -24% -4% 9% -0,46-1,02 68 Short Call* = Short Futures + Short Put -23% -4% 9% -0,46-1,04 69 Covered Put -23% -4% 9% -0,46-1,04 70 Ratio Put Spread (downside) -1107% -262% 388% -0,68-0,69 71 Ratio Put Spread* = Long Futures + 2 Short Calls +Long Call -17% -3% 6% -0,47-1,28 21
22 Table 21. Option Strategies. Sensitivity Measures Delta Gamma Theta Rho Vega 1 Long Share + Short Forward 100% 2 Short Share + Long Forward 100% 3 Parytet Put-Call 0,01-0,08 4 Parytet Put-Call -0,01 0,08 5 Box Spread 0,00-0,01 6 Long Straddle 0,09 0,18-0,06 0,00 0,23 7 Long Straddle* = Long Futures +2 Long Puts 0,09 0,18-0,04-0,08 0,23 8 Long Straddle* = Short Futures + 2 Long Calls 0,09 0,18-0,07 0,09 0,23 9 Long Strangle 0,45 0,13-0,05 0,04 0,16 10 Long Strangle* = Long Futures + 2 Long Puts 0,45 0,13-0,03-0,05 0,16 11 Long Strangle* = Short Futures + 2 Long Calls 0,45 0,13-0,06 0,11 0,16 12 Short Butterfly Spread (Calls) 0,03 0,09-0,03 0,00 0,11 13 Short Butterfly Spread (Puts) 0,03 0,09-0,03 0,00 0,11 14 Short Condor (Calls) 0,30 0,07-0,03 0,03 0,09 15 Short Condor (Puts) 0,30 0,07-0,03 0,03 0,09 16 Long Strip -0,36 0,28-0,08-0,03 0,34 17 Long Strap 0,64 0,28-0,09 0,05 0,34 18 Short Straddle -0,09-0,18 0,06 0,00-0,23 19 Short Straddle* = Long Futures + 2 Short Calls -0,09-0,18 0,07-0,09-0,23 20 Short Straddle* = Short Futures + 2 Short Puts -0,09-0,18 0,04 0,08-0,23 21 Short Strangle -0,45-0,13 0,05-0,04-0,16 22 Short Strangle* = Long Futures + 2 Short Calls -0,45-0,13 0,06-0,11-0,16 23 Short Strangle* = Short Futures + 2 Short Puts -0,45-0,13 0,03 0,05-0,16 24 Long Butterfly Spread (Calls) -0,03-0,09 0,03 0,00-0,11 25 Long Butterfly Spread (Puts) -0,03-0,09 0,03 0,00-0,11 26 Long Condor (Calls) -0,30-0,07 0,03-0,03-0,09 27 Long Condor (Puts) -0,30-0,07 0,03-0,03-0,09 28 Short Strip 0,36-0,28 0,08 0,03-0,34 29 Short Strap -0,64-0,28 0,09-0,05-0,34 30 Long Share 1,00 31 Long Share + Short Forward 50% 0,50 32 Long Futures 1,00 33 Long Futures (Split-Strike)* = Long Call + Short Put 1,00-0,01 0,08 34 Long Futures (Split-Strike)* = Long Call + Short Put 0,64 0,05-0,02 0,05 0,07 35 Bull Call Spread 0,75-0,02 0,00 0,06-0,02 36 Bull Put Spread 0,75-0,02-0,01 0,07-0,02 37 Bull Spread* = Long Futures + Short Call + Long Put 0,36-0,05 0,02-0,05-0,07 38 Collar 0,75-0,02 0,01-0,02-0,02 39 Rotated Vertical Bull Spread 0,25 0,02-0,01 0,02 0,02 40 Long Call 0,55 0,09-0,04 0,04 0,11 41 Long Call* = Long Futures + Long Put 0,55 0,09-0,02-0,04 0,11 42 Long Call* = Short Futures + 2 Long Calls +Short Put 0,55 0,09-0,05 0,13 0,11 43 Protective Put 0,55 0,09-0,02-0,04 0,11 44 Call Ratio Back Spread 0,19 0,14-0,05 0,02 0,18 45 Call Ratio Back Spread* = Short Futures + 2 Long Calls + Short Put -0,24 0,02-0,02 0,06 0,02 46 Short Put 0,45-0,09 0,02 0,04-0,11 47 Short Put* = Long Futures +Short Call 0,45-0,09 0,04-0,04-0,11 48 Short Put* = Short Futures + Long Call + 2 Short Puts 0,45-0,09 0,01 0,12-0,11 49 Covered Call 0,85-0,06 0,02-0,01-0,07 50 Ratio Call Spread (upside) -0,19-0,14 0,05-0,02-0,18 51 Ratio Call Spread* = Short Futures + Long Put + 2 Short Puts 0,24-0,02-0,01 0,11-0,02 52 Short Share -1,00 53 Short Share + Long Forward 50% -0,50 54 Short Futures -1,00 55 Short Futures* = Short Call + Long Put -1,00 0,01-0,08 56 Short Futures* = Short Call + Long Put -0,64-0,05 0,02-0,05-0,07 57 Bear Call Spread -0,75 0,02 0,00-0,06 0,02 58 Bear Put Spread -0,75 0,02 0,01-0,07 0,02 59 Bear Spread* = Short Futures + Long Call + Short Put -0,36 0,05-0,02 0,05 0,07 60 Rotated Vertical Bear Spread -0,25-0,02 0,01-0,02-0,02 22
23 61 Long Put -0,45 0,09-0,02-0,04 0,11 62 Long Put* = Long Futures + Short Call + 2 Long Puts -0,45 0,09-0,01-0,12 0,11 63 Long Put* = Short Futures +Long Call -0,45 0,09-0,04 0,04 0,11 64 Put Ratio Back Spread -0,06 0,13-0,04 0,00 0,16 65 Put Ratio Back Spread* = Long Futures + Short Call + 2 Long Puts 0,26-0,01 0,01-0,06-0,02 66 Short Call -0,55-0,09 0,04-0,04-0,11 67 Short Call* = Long Futures + 2 Short Calls + Long Put -0,55-0,09 0,05-0,13-0,11 68 Short Call* = Short Futures + Short Put -0,55-0,09 0,02 0,04-0,11 69 Covered Put -0,55-0,09 0,02 0,04-0,11 70 Ratio Put Spread (downside) 0,06-0,13 0,04 0,00-0,16 71 Ratio Put Spread* = Long Futures + 2 Short Calls +Long Call -0,26 0,01 0,01-0,10 0,02 23
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