SHORT CALL CONDOR
SELL 1 ITM CALL OPTION (LOWER STRIKE),
BUY 1 ITM CALL OPTION (LOWER MIDDLE),
BUY 1 OTM CALL OPTION (HIGHER MIDDLE),
SELL 1 OTM CALL OPTION (HIGHER STRIKE).
A Short Call Condor is very similar to a short butterfly strategy.
The difference is that the two middle bought options have different strikes.
Market
Scenario: Market will cross range but not sure in which direction
Risk: Limited
Reward: Limited
BEP: Upper BEP = Highest Strike – Net Premium
Lower BEP = Lowest Strike + Net
Premium
EXAMPLE:
Entry:
Entry:
|
SPOT
|
5000
|
|
|
STRIKE
|
PREMIUM
|
|
SELL 1 ITM CALL
|
4800
|
284
|
|
BUY 1 ITM CALL
|
4900
|
221
|
|
BUY 1 OTM CALL
|
5100
|
124
|
|
SELL 1 OTM CALL
|
5200
|
90
|
UPPER BEP: 5200 - 29 = 5171 LOWER BEP: 4800 + 29 = 4829
On Exit if:
|
SPOT
|
SELL ITM
|
BUY ITM
|
BUY OTM
|
SELL OTM
|
STRATEGY PAY-OFF
|
|
4700
|
284
|
-221
|
-124
|
90
|
29
|
|
4800
|
284
|
-221
|
-124
|
90
|
29
|
|
4829
|
255
|
-221
|
-124
|
90
|
0
|
|
4900
|
184
|
-192
|
-124
|
90
|
-71
|
|
5000
|
84
|
-121
|
-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
|
Short Call Condor - Strategy Pay-Off
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