Overall Profit & Loss

50000
40000
30000
20000
10000
0
5000

5100

5200

5300

5400

5500

5600

5700

-10000
-20000

Nifty
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000

P/L due to call @5500 P/L due to put @ 5500 Overall Profit & Loss
-5000
45000
40000
-5000
35000
30000
-5000
25000
20000
-5000
15000
10000
-5000
5000
0
-5000
-10000
-15000
0
-10000
-10000
5000
-10000
-5000
10000
-10000
0
15000
-10000
5000
20000
-10000
10000

5800

5800

5900

6000

Strike Price
Premium on Call
Lot Size of Nifty

5500
100
50

5500
100
50

Overall Profit & Loss

40000

30000

20000

10000

0
5000

5100

5200

5300

5400

5500

5600

5700

5800

5900

-10000

-20000

Nifty
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000

P/L due to buy 1 call @5500

P/L due to buy 2 put @ 5500
Overall Profit & Loss
-10000
20000
10000
-10000
15000
5000
-10000
10000
0
-10000
5000
-5000
-10000
0
-10000
-10000
-5000
-15000
0
-5000
-5000
10000
-5000
5000
20000
-5000
15000
30000
-5000
25000
40000
-5000
35000

6000

6000

Strike Price
Premium on Call
Lot Size of Nifty

5500
100
50

5500
100
50

Overall Profit & Loss

15000

10000

5000

0
5000

5100

5200

5300

5400

5500

5600

-5000

-10000

-15000

Nifty
5000
5100
5200
5300
5400
5500
5600
5700
5800
5900
6000

Strike Price
Premium on Call
Lot Size of Nifty

P/L due to buy call @5100

P/L due to sell two call @ 5300
-5500
4000
-5500
4000
-500
4000
4500
4000
9500
4000
14500
-2000
19500
-12000
24500
-22000
29500
-32000
34500
-42000
39500
-52000

5100
110
50

5500
40
50

5700

l Profit & Loss

5700

5800

5900

6000

P/L due to buy call @5900

Overall Profit & Loss
-1500
-3000
-1500
-3000
-1500
2000
-1500
7000
-1500
12000
-1500
11000
-1500
6000
-1500
1000
-1500
-4000
-1500
-9000
3500
-9000

5900
30
50

Q1

Find the price of put option with a strick price of 45 on a stock which is currently trading at Rs. 50, The stock can go up
r
7.5%
4
Strike Price
48
12
Up-Down
30%
P

0.542187

0.97531
84.5
0

Fu = 0
65
0
50

45.5
2.5

Fo = 1.9
35
13
Fd = 4.97

Fu
Fd
Fo

1.12
11.81
5.87

24.5
23.5

urrently trading at Rs. 50, The stock can go up by 20% or down by 20%, there are 2 time periods of 6 months each

Q1

Find the value of a call option on a stock price which is currently trading at rs. 72 with a strike price of 65, the stock can
r
7.5%
4
3
Strike Price
65
12
12
UP
30%
Down
15%
P1
0.389583
4 months
3 months
P2

0.375389
121.68
56.68
93.6
28.6
72

79.56
14.56
61.2
0
52.02
0

Fu
Fd
Fo

29.81
5.36
14.52

at rs. 72 with a strike price of 65, the stock can go up by 30% or down by 15% there are 2 time periods of 4 months and 3 months

4 months and 3 months

Q2