CONDOR STRATEGIES
LONG CALL
CONDOR
BUY 1 ITM CALL
OPTION (LOWER STRIKE),
SELL 1 ITM CALL
OPTION (LOWER MIDDLE),
SELL 1 OTM CALL
OPTION (HIGHER MIDDLE),
BUY 1 OTM CALL
OPTION (HIGHER STRIKE)
A Long
Call Condor is very similar to a long butterfly strategy. The difference is
that the two middle sold options have different strikes.
Market Scenario: Low Volatility
Risk: Limited
Reward: Limited
BEP: Upper BEP = Highest Strike – Net Premium
Lower BEP = Lowest Strike + Net
Premium
EXAMPLE:
Entry:
|
SPOT
|
5000
|
|
|
STRIKE
|
PREMIUM
|
|
BUY 1 ITM CALL
|
4800
|
284
|
|
SELL 1 ITM CALL
|
4900
|
221
|
|
SELL 1 OTM CALL
|
5100
|
124
|
|
BUY 1 OTM CALL
|
5200
|
90
|
UPPER BEP: 5200 - 29 = 5171 LOWER BEP: 4800 + 29 = 4829
On Exit
if:
|
SPOT
|
BUY ITM
|
SELL ITM
|
SELL OTM
|
BUY ATM
|
STRATEGY PAY-OFF
|
|
4700
|
-284
|
221
|
124
|
-90
|
-29
|
|
4800
|
-284
|
221
|
124
|
-90
|
-29
|
|
4829
|
-255
|
221
|
124
|
-90
|
0
|
|
4900
|
-184
|
221
|
124
|
-90
|
71
|
|
5100
|
16
|
21
|
124
|
-90
|
71
|
|
5171
|
87
|
-50
|
53
|
-90
|
0
|
|
5200
|
116
|
-79
|
24
|
-90
|
-29
|
|
5300
|
216
|
-179
|
-76
|
10
|
-29
|
Long Call Condor - Strategy Pay-Off
No comments:
Post a Comment