OptionStructureModel - Overview This model allows...

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Unformatted text preview: Overview This model allows structures comprised of one forward or option, to up to one forward and four op The purpose of the model is to get a quick view of what complex structures look like. Directions - only change values in "yellow" cells or in the toggle boxes. 1 Cells D4 and F4 allow the user to specify the lowest price/index and the increment. 2 Cells A8 to A12 include toggle boxes. The user can select buy, sell or none to indicate th A "buy" indicates a long position, a "Sell" indicates a short position, and "none" indicat 3 Cell B8 can be used to specify a Stock or Index; there is no impact on the analysis from 4 Cells B9 to B12 are used to special whether the option contract is a call or a put. 5 Cell C8 is used to specific the price of the forward contract at delivery - this is the amou 6 Cells C9 to C12 are the strike prices for the option contracts. 7 Columns E through N indicate the profits for each contract and the sum of all the contra o one forward and four options to be graphed. es look like. x and the increment. sell or none to indicate the position for each contract. sition, and "none" indicates that the contract will not be used. pact on the analysis from using this cell t is a call or a put. delivery - this is the amount you will pay or receive. d the sum of all the contracts for each price listed in row 7. Purchased Call = Written Call = Purchased Put = Written Put = int adj Written Put = Max (Spot Price -Strike Price,0) - Premiu -MAX(Spot Price - Strike Price,0) + Prem Max (StrikePrice - Spot Price,0) - Premiu -Max (Strike Price - Spot Price ,0) + Prem -Max (Strike Price - Spot Price ,0) + (Pre Price,0) - Premium Page 33 Page 36 Page 38 Page 40 e Price,0) + Premium Price,0) - Premium Price ,0) + Premium Price ,0) + (Premium*(1+r)^t)) Page 40 Option Structure Model Low Price Price Increment 20.00 2.00 2.00% 100% Note: All Cells colored yellow are input cells. Column A and B, rows 8 to 12 are used Price Range Interest Rate Expiry (pecent of 1 year) Strike Buy/Sell Type 22.00 24.00 Price Premium 20.00 Buy Stock 1000.00 -980.00 -978.00 -976.00 Sell Call 30.00 1.20 1.22 1.22 1.22 None Put 30.00 2.75 0.00 0.00 0.00 None Call buy 45.00 4.08 0.00 0.00 0.00 Call None 45.00 0.97 0.00 0.00 0.00 Sum -978.78 -976.78 -974.78 Net Profit Cha 200.00 0.00 -200.00 -400.00 -600.00 -800.00 -1000.00 -1200.00 Profit 20.00 22.00 24.00 26.00 28.00 3 -800.00 -1000.00 -1200.00 20.00 22.00 24.00 26.00 28.00 3 Underlying P tructure Model ws 8 to 12 are used to select position and type of contract. 26.00 28.00 30.00 32.00 34.00 36.00 38.00 -974.00 -972.00 -970.00 -968.00 -966.00 -964.00 -962.00 1.22 1.22 1.22 -0.78 -2.78 -4.78 -6.78 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -972.78 -970.78 -968.78 -968.78 -968.78 -968.78 -968.78 et Profit Chart 00 28.00 30.00 32.00 34.00 36.00 38.00 00 28.00 30.00 32.00 34.00 36.00 38.00 Underlying Price Buy Sell None Call Put 1 2 3 3 3 1 2 1 1 20.00 -980.00 1.22 0.00 0.00 0.00 -978.78 22.00 -978.00 1.22 0.00 0.00 0.00 -976.78 24.00 -976.00 1.22 0.00 0.00 0.00 -974.78 26.00 -974.00 1.22 0.00 0.00 0.00 -972.78 2.13 Calls 20.00 8.00% 100% 35.00 Call 35.00 Put 40.00 Call 45.00 Call 45.00 2.14 Puts 10.00 Change premiums to 9.12 6.22 4.08 0.97 1.53 3.26 5.75 Chapter 3 Synthentic call 900.00 2.00% Strike Premiu 50.00 Buy/Sell Type Price m Buy Stock 1000.0 100% Sell Call 1000.0 74.20 short straddle (for long straddle change sell to buy Low Price Price Increment Price Range 20.00 2.00 Interest Rate 2.00% Expiry (pecent of 1 year) 100% Strike Premiu Buy/Sell Type Price m 20.00 22.00 Buy Stock 1000.00 -980.00 -978.00 Sell Call 30.00 1.20 0.00 0.00 None Put 30.00 2.75 0.00 0.00 None Call buy 45.00 4.08 0.00 0.00 None Call 45.00 0.97 0.00 0.00 28.00 -972.00 1.22 0.00 0.00 0.00 -970.78 30.00 -970.00 1.22 0.00 0.00 0.00 -968.78 32.00 -968.00 -0.78 0.00 0.00 0.00 -968.78 34.00 -966.00 -2.78 0.00 0.00 0.00 -968.78 36.00 -964.00 -4.78 0.00 0.00 0.00 -968.78 38.00 -962.00 -6.78 0.00 0.00 0.00 -968.78 ...
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This note was uploaded on 10/19/2010 for the course BUSINESS A 2600 taught by Professor Alexandrowhich during the Spring '08 term at University of Toronto.

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