LONG PUT CONDOR:

LONG PUT CONDOR:

BUY 1 ITM PUT OPTION (HIGHER STRIKE),

SELL 1 ITM PUT OPTION (HIGHER MIDDLE),

SELL 1 OTM PUT OPTION (LOWER MIDDLE),

BUY 1 OTM PUT OPTION (LOWER STRIKE)

A Long Put 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 PUT	5200	284
SELL 1 ITM PUT	5100	221
SELL 1 OTM PUT	4900	124
BUY 1 OTM PUT	4800	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	216	-179	-76	10	-29
4800	116	-79	24	-90	-29
4829	87	-50	53	-90	0
4900	16	21	124	-90	71
5100	-184	221	124	-90	71
5171	-255	221	124	-90	0
5200	-284	221	124	-90	-29
5300	-284	221	124	-90	-29

Long Put Condor - Strategy Pay-Off