Butterfly Spread Using Calls

Butterfly Spread Using Calls - ST - K2 K3 ST Total...

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Butterfly Spread Using Calls Figure 11.6, page 257 K1 K3 Profi t ST K2 1
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Butterfly Spread Using Puts Figure 11.7, page 258 K1 K3 Profit ST K2 2
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Butterfly Spread Using Puts Purchased spread, K2 = ½(K1+K3) 3 Today ST < K1 K1<ST <K2 K2<ST <K3 ST > K3 Buy put 1 -p1 K1 – ST - - - Sell 2 put 2 +2p2 2(ST - K2) 2(ST - K2) - - Buy put 3 -p3 K3 – ST K3 – ST K3 - ST - payoff 2p2- p1-p3
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Unformatted text preview: ST - K2 K3 ST Total (2p2-p1-p3) ST - K2 + (2p2-p1-p3) K3 ST + (2p2-p1-p3) (2p2-p1-p3) A Straddle Combination Figure 11.10, page 260 Profit ST K 4 Strip &amp; Strap Figure 11.11, page 261 Profit K ST Profit K ST Strip Strap 5 A Strangle Combination Figure 11.12, page 262 K1 K2 Profit ST 6...
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Butterfly Spread Using Calls - ST - K2 K3 ST Total...

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