Beruflich Dokumente
Kultur Dokumente
Alcista
Bajista
Alcista
Bajista
Alcista
Bajista
Bajista
Alcista
Alcista
Bajista
Alcista/Bajista las long call indican que al aumentar el precio disminuye la prima, por lo qu
Alcista/Bajista las short call disminuye la prima al aumentar el precio, por lo que el mercad
Alcista/Bajista
Si no se como se comporta
Alcista/Bajista
Alcista/Bajista
Alcista/Bajista
Bajista
Alcista
Alcista Si se que es alcista
Bajista Si se que es bajista
Neutral
o disminuye la prima, por lo que es el mercado es bajista
r el precio, por lo que el mercado indica que
opcion precio prima
Long call 60 -6
Long put 60 -4
25 4 -3 1 4
26 4 -2 2 2
27 4 -1 3
0
28 4 0 4 24 29 34 39
-2
29 4 1 5
30 4 2 6 -4
31 3 3 6 -6
32 2 4 6 -8
33 1 5 6 Short cal l Short put Col um
34 0 6 6
35 -1 7 6
36 -2 7 5
37 -3 7 4
38 -4 7 3
39 -5 7 2
40 -6 7 1
41 -7 7 0
42 -8 7 -1
43 -9 7 -2
44 -10 7 -3
45 -11 7 -4
46 -12 7 -5
Chart Title
59 61 63 65 67 69 71 73
Chart Title
59 61 63 65 67 69 71 73
Chart Title
34 39 44 49
9.3 -0.17
9.36 -0.11
9.42 -0.05
9.48 0.01
9.54 0.07
9.6 0.13
9.66 0.19
9.72 0.25
9.78 0.31
9.84 0.37
9.9 0.43
9.96 0.49
10.02 0.55
10.08 0.61
10.14 0.67
10.2 0.73
10.26 0.79
10.32 0.85
10.38 0.91
10.44 0.97
COMPRADA
17 19 21 23 25 27 29 31 33 35
Accion vendida
precio 13.8
bubida 1 perdida
bajada 1 ganancia Accion vendida
n 100 opciones
1
x precios y
0.8
13 0.8
13.5 0.3 0.6
13.8 0 0.4
14 -0.2 0.2
14.5 -0.7 0
12.8 13 13.2 13.4 13.6 13.8 14 14.2 14.4
-0.2
-0.4
-0.6
-0.8
n vendida
2
px prima
1.5
short put 16 0.2
long call 17 0.15 1
0.5
0
12 13 14 15 16 17 18
pm short put long call Tunel alcista -0.5
14 -1.8 -0.15 -1.95 -1
14.25 -1.55 -0.15 -1.7 -1.5
14.5 -1.3 -0.15 -1.45
-2
14.75 -1.05 -0.15 -1.2
s hort put l ong ca l l
15 -0.8 -0.15 -0.95
15.25 -0.55 -0.15 -0.7
15.5 -0.3 -0.15 -0.45
15.75 -0.05 -0.15 -0.2 2.5 Tunel alcista
16 0.2 -0.15 0.05 2
16.25 0.2 -0.15 0.05
1.5
16.5 0.2 -0.15 0.05
1
16.75 0.2 -0.15 0.05
0.5
17 0.2 -0.15 0.05
17.25 0.2 0.1 0.3 0
13 14 15 16 17 18
17.5 0.2 0.35 0.55 -0.5
17.75 0.2 0.6 0.8 -1
18 0.2 0.85 1.05 -1.5
18.25 0.2 1.1 1.3
-2
18.5 0.2 1.35 1.55
-2.5
18.75 0.2 1.6 1.8
19 0.2 1.85 2.05
15 16 17 18 19 20
Tunel alcista
16 17 18 19 20
precio 10.1
vencimiento 30 dias
volatilidad 20%
tipo interes 10%
PRIMA PRECIO
short call 0.1 10.5
long put -0.15 10
prima -0.25
4
precios Short call Long Put Tunel Bajista
6 0.1 3.85 3.95 3
PM CALL COMPRADA
21 -0.6
21.25 -0.6
21.5 -0.6
21.75 -0.6 CALL COMPRADA
22 -0.6 3
22.25 -0.6 2.5
22.5 -0.6
22.75 -0.6 2
23 -0.6 1.5
23.25 -0.6
1
23.5 -0.6
23.75 -0.6 0.5
24 -0.6 0
24.25 -0.6 20 21 22 23 24 25 26 27 28 29
-0.5
24.5 -0.6
24.75 -0.6 -1
25 -0.6
25.25 -0.35
25.5 -0.1
25.75 0.15
26 0.4
26.25 0.65
26.5 0.9
26.75 1.15
27 1.4
27.25 1.65
27.5 1.9
27.75 2.15
28 2.4
Suponiendo que los precios de mercado al momento de cierre del contrato son los siguientes:
Dias Precio Call Vendida
1 45.5 0.82 Precio de Ejercicio 48
2 45.9 0.82 Precio de Call 50
3 46.3 0.82 Valor de la Call 0.82
4 46.7 0.82
5 47.1 0.82 Call Vendida=Prima si Precio de mercado<precio de
6 47.5 0.82 Call Vendida=Prima - (Precio de Mercado - Precio de
7 47.9 0.82
8 48.3 0.82
Call Vendida
9 48.7 0.82
10 49.1 0.82 2
11 49.5 0.82
1
12 49.9 0.82
13 50.3 0.52
0
14 50.7 0.12 45 46 47 48 49 50
15 51.1 -0.28 -1
16 51.5 -0.68
17 51.9 -1.08 -2
18 52.3 -1.48
19 52.7 -1.88 -3
20 53.1 -2.28
21 53.5 -2.68 -4
22 53.9 -3.08
-5
23 54.3 -3.48
24 54.7 -3.88
-6
25 55.1 -4.28
26 55.5 -4.68
27 55.9 -5.08
28 56.3 -5.48
29 56.7 -5.88
30 57.1 -6.28
60
40
20
0
8 284868
-20
-40
-60
siguientes:
Call Vendida
7 48 49 50 51 52 53 54
Una vez respondido todo esto, busque en el MEFF los sgtes datos:
Spot 9.52 accion TEF
Tasa de interes 0.02% libre de riesgo Referencias circulares
Plazo de cobertura 15 de sept
precio de ejercicio en:
opciones 9.47 8.92
futuros 9.47
precio de la opcion -0.55 8.92
Suponiendo que los precios de mercado al momento de cierre del contrato son los sgtes:
PM compra futuroventa futuro long put
8.4 -1.07 1.07 0.52
8.46 -1.01 1.01 0.46 PUT COMPRADA
8.52 -0.95 0.95 0.4 0.6
8.58 -0.89 0.89 0.34
8.64 -0.83 0.83 0.28 0.4
8.7 -0.77 0.77 0.22
0.2
8.76 -0.71 0.71 0.16
8.82 -0.65 0.65 0.1 0
1 2 3 4 5 6 7 8 9 1011121314151617181920212223
8.88 -0.59 0.59 0.04
-0.2
8.94 -0.53 0.53 -0.02
9 -0.47 0.47 -0.08 -0.4
9.06 -0.41 0.41 -0.14
9.12 -0.35 0.35 -0.2 -0.6
9.18 -0.29 0.29 -0.26
-0.8
9.24 -0.23 0.23 -0.32
9.3 -0.17 0.17 -0.38
9.36 -0.11 0.11 -0.44
9.42 -0.05 0.05 -0.5
9.48 0.01 -0.01 -0.55
9.54 0.07 -0.07 -0.55
9.6 0.13 -0.13 -0.55
9.66 0.19 -0.19 -0.55
9.72 0.25 -0.25 -0.55
9.78 0.31 -0.31 -0.55
9.84 0.37 -0.37 -0.55
9.9 0.43 -0.43 -0.55
9.96 0.49 -0.49 -0.55
10.02 0.55 -0.55 -0.55
10.08 0.61 -0.61 -0.55
10.14 0.67 -0.67 -0.55
10.2 0.73 -0.73 -0.55
10.26 0.79 -0.79 -0.55
10.32 0.85 -0.85 -0.55
10.38 0.91 -0.91 -0.55
10.44 0.97 -0.97 -0.55
PUT COMPRADA
8 9 1011121314151617181920212223242526272829303132333435
PRECIO SUBIRA O SE MANTENDRA ESTABLE
PRIMA 0.45
PM 11.6
PX 12
t 30
SHORT PUT
PRECIO COMPRA SHORT PUT 1
5 -7 -6.55
0
5.5 -6.5 -6.05 5 5.5 6 6.5 7 7.5 8 8.5 9 9.5 10 10.5 11 11.55
6 -6 -5.55 -1
6.5 -5.5 -5.05
7 -5 -4.55 -2
7.5 -4.5 -4.05
-3
8 -4 -3.55
8.5 -3.5 -3.05 -4
9 -3 -2.55
9.5 -2.5 -2.05 -5
10 -2 -1.55
-6
10.5 -1.5 -1.05
11 -1 -0.55 -7
11.55 -0.45 0.00
12 0 0.45 SHORT PUT
SHORT PUT
SPREAD ALCISTA
Precio Prima
Short call 50 0.7
Long call 48 -1.65
-0.95
PM-PE+P PE-PM-P
PM Short call Long call Spread Alcista Spread Alcista
44 0.7 -1.65 -0.95 1.5
45 0.7 -1.65 -0.95
46 0.7 -1.65 -0.95 1
47 0.7 -1.65 -0.95
48 0.7 -1.65 -0.95 0.5
49 0.7 -0.65 0.05
0
50 0.7 0.35 1.05 43 45 47 49 51 5
51 -0.3 1.35 1.05
-0.5
52 -1.3 2.35 1.05
53 -2.3 3.35 1.05 -1
54 -3.3 4.35 1.05
55 -4.3 5.35 1.05 -1.5
PUT SPREAD
Spread Alcista
47 49 51 53 55 57
SPREAD BAJISTA Esperan que el precio baje gradualmente
VENTA
Compra y venta simultanea de opciones
1. Compra de una put y venta de otra put con precio de ejercicio menor
2, Compra de una call y venta de otra call con precio de ejercicio menor
PM-PE+P PE-PM-P
PM SHORT PUT LONG PUT Spread Bajista
35 -6.3 7.35 1.05
36 -5.3 6.35 1.05
37 -4.3 5.35 1.05 SPREAD BAJIST
38 -3.3 4.35 1.05
1.5
39 -2.3 3.35 1.05
40 -1.3 2.35 1.05 1
41 -0.3 1.35 1.05
42 0.7 0.35 1.05 0.5
43 0.7 -0.65 0.05
44 0.7 -1.65 -0.95 0
34 35 36 37 38 39 40 41 42 43 44
45 0.7 -1.65 -0.95
46 0.7 -1.65 -0.95 -0.5
47 0.7 -1.65 -0.95
-1
48 0.7 -1.65 -0.95
49 0.7 -1.65 -0.95
-1.5
50 0.7 -1.65 -0.95
PUT SPREAD
SPREAD BAJISTA
36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51
PE PRIMA
LONG CALL 15 1.48
SHORT CALL 17 0.55
LONG CALL 20 0.15
2 veces
PM LONG CALL SHORT CALL LONG CALL Mariposa comprada
7 -1.48 0.55 0.15 -0.78 Marip
8 -1.48 0.55 0.15 -0.78
14
9 -1.48 0.55 0.15 -0.78
10 -1.48 0.55 0.15 -0.78 12
11 -1.48 0.55 0.15 -0.78
10
12 -1.48 0.55 0.15 -0.78
13 -1.48 0.55 0.15 -0.78 8
12
10
0
0 5 10 15 20 25 30
-2
Accciones ABC 20.8 Volatividad 20%
Inters 10%
2 veces 1.50
venta compra venta
Precio Short call P20 Long call P21 Short call P22 Mariposa Vendida
19.5 1.10 -0.47 0.14 0.30 1.00
-2.00
-1.00
-1.50
20.9 0.20 -0.47 0.14 -0.60
21 0.10 -0.47 0.14 -0.70
21.1 0.00 -0.37 0.14 -0.60 -2.00
21.2 -0.10 -0.27 0.14 -0.50
21.3 -0.20 -0.17 0.14 -0.40
21.4 -0.30 -0.07 0.14 -0.30
21.5 -0.40 0.03 0.14 -0.20
21.6 -0.50 0.13 0.14 -0.10
21.7 -0.60 0.23 0.14 0.00 0.40
21.8 -0.70 0.33 0.14 0.10 0.30
21.9 -0.80 0.43 0.14 0.20 0.20
22 -0.90 0.53 0.14 0.30
0.10
22.1 -1.00 0.63 0.04 0.30
0.00
22.2 -1.10 0.73 -0.06 0.30 19 19.5
22.3 -1.20 0.83 -0.16 0.30 -0.10
22.4 -1.30 0.93 -0.26 0.30 -0.20
22.5 -1.40 1.03 -0.36 0.30 -0.30
22.6 -1.50 1.13 -0.46 0.30
-0.40
22.7 -1.60 1.23 -0.56 0.30
-0.50
22.8 -1.70 1.33 -0.66 0.30
22.9 -1.80 1.43 -0.76 -1.13 -0.60
1.00
0.50
0.00
19 19.5 20 20.5 21 21.5 22 22.5 23 Short call P20
Long call P21
Short call P22
-0.50
-1.00
-1.50
-2.00
-1.00
-1.50
-2.00
Mariposa Vendida
0.40
0.30
0.20
0.10
0.00
19 19.5 20 20.5 21 21.5 22 22.5 23
-0.10
-0.20
-0.30
-0.40
-0.50
-0.60
-0.70
-0.80
OPCIONES
Para cubrir la compra de 100 acciones de telefnicas a 3 meses se consideran los datos de mercado
Cul es la estrategias: compra o venta?
Que tipo de producto? Futuros/forward u opciones?
Con derecho u obligacion?
Con margen de ganancias limitado o no?
Con prdida limitada o no?
Lo que buscan,(ganan cuando sube precios)
Una vez respondido todo esto, busque en el MEFF los siguientes datos:
Spot 9.52 (precio de la accin de TELEFONICA)
Tasa de inters 0.02% (libre de riesgo)
Plazo de cobertura 15 de septiembre
Precio de ejercicio en:
Opciones 9.47 Precio de la opci 0.55
Futuros 9.47
Suponiendo que los precios de mercado al momento de cierre del contrato son los siguientes:
PM Compra futuro Venta futuro Long call Long put Short call Short put
8.4 -1.07 1.07 -0.55 0.52 0.55 -0.52
8.46 -1.01 1.01 -0.55 0.46 0.55 -0.46
8.52 -0.95 0.95 -0.55 0.4 0.55 -0.4
8.58 -0.89 0.89 -0.55 0.34 0.55 -0.34
8.64 -0.83 0.83 -0.55 0.28 0.55 -0.28
8.7 -0.77 0.77 -0.55 0.22 0.55 -0.22
8.76 -0.71 0.71 -0.55 0.16 0.55 -0.16
8.82 -0.65 0.65 -0.55 0.1 0.55 -0.1
8.88 -0.59 0.59 -0.55 0.04 0.55 -0.04
8.94 -0.53 0.53 -0.55 -0.02 0.55 0.02
9 -0.47 0.47 -0.55 -0.08 0.55 0.08
9.06 -0.41 0.41 -0.55 -0.14 0.55 0.14
9.12 -0.35 0.35 -0.55 -0.2 0.55 0.2
9.18 -0.29 0.29 -0.55 -0.26 0.55 0.26
9.24 -0.23 0.23 -0.55 -0.32 0.55 0.32
9.3 -0.17 0.17 -0.55 -0.38 0.55 0.38
9.36 -0.11 0.11 -0.55 -0.44 0.55 0.44
9.42 -0.05 0.05 -0.55 -0.5 0.55 0.5
9.48 0.01 -0.01 -0.54 -0.55 0.54 0.55
9.54 0.07 -0.07 -0.48 -0.55 0.48 0.55
9.6 0.13 -0.13 -0.42 -0.55 0.42 0.55
9.66 0.19 -0.19 -0.36 -0.55 0.36 0.55
9.72 0.25 -0.25 -0.3 -0.55 0.3 0.55
9.78 0.31 -0.31 -0.24 -0.55 0.24 0.55
9.84 0.37 -0.37 -0.18 -0.55 0.18 0.55
9.9 0.43 -0.43 -0.12 -0.55 0.12 0.55
9.96 0.49 -0.49 -0.06 -0.55 0.06 0.55
10.02 0.55 -0.55 0.00 -0.55 0.00 0.55
10.08 0.61 -0.61 0.06 -0.55 -0.06 0.55
10.14 0.67 -0.67 0.12 -0.55 -0.12 0.55
10.2 0.73 -0.73 0.18 -0.55 -0.18 0.55
10.26 0.79 -0.79 0.24 -0.55 -0.24 0.55
10.32 0.85 -0.85 0.3 -0.55 -0.3 0.55
10.38 0.91 -0.91 0.36 -0.55 -0.36 0.55
10.44 0.97 -0.97 0.42 -0.55 -0.42 0.55
Compra call y put
CONO COMP Cono vendido
-0.03 0.03
-0.09 0.09
-0.15 0.15 Cono Comprado
-0.21 0.21
0
-0.27 0.27 0 5 10 15 20 25 30
-0.33 0.33 -0.2
-0.39 0.39
-0.45 0.45 -0.4
-0.51 0.51
-0.57 0.57 -0.6
-0.63 0.63
-0.69 0.69 -0.8
-0.75 0.75
-1
-0.81 0.81
-0.87 0.87
-1.2
-0.93 0.93
-0.99 0.99
-1.05 1.05
-1.09 1.09
-1.03 1.03
-0.97 0.97
-0.91 0.91
-0.85 0.85
-0.79 0.79
-0.73 0.73
-0.67 0.67 Cono Vendido
1.2
1
Cono Vendido
-0.61 0.61 1.2
-0.55 0.55
-0.49 0.49 1
-0.43 0.43
0.8
-0.37 0.37
-0.31 0.31
0.6
-0.25 0.25
-0.19 0.19 0.4
-0.13 0.13
0.2
0
0 5 10 15 20 25
ono Comprado
20 25 30 35 40
Cono Vendido
Cono Vendido
15 20 25 30 35 40
Operacion Precio Prima
PUT 30 0.15 0.80
CALL 33 0.28
0.43 0.60
0.40
0.20
0.80
0.60
31.80 -1.20 -1.80 -0.28 -0.15 -0.43
31.90 -1.10 -1.90 -0.28 -0.15 -0.43 0.40
32.00 -1.00 -2.00 -0.28 -0.15 -0.43
0.20
32.10 -0.90 -2.10 -0.28 -0.15 -0.43
32.20 -0.80 -2.20 -0.28 -0.15 -0.43 0.00
28.50 29.50
32.30 -0.70 -2.30 -0.28 -0.15 -0.43 -0.20
32.40 -0.60 -2.40 -0.28 -0.15 -0.43
32.50 -0.50 -2.50 -0.28 -0.15 -0.43 -0.40
0.60
0.40
0.20
0.00
28.00 29.00 30.00 31.00 32.00 33.00 34.00 35.00
-0.20
-0.40
Long put
1.00
0.80
0.60
0.40
0.20
0.00
28.00 29.00 30.00 31.00 32.00 33.00 34.00 35.00
-0.20
CUNA COMPRADA
(STRANGLE)
0.80
0.60
0.40
0.20
CUNA COMPRADA
(STRANGLE)
0.80
0.60
0.40
0.20
0.00
28.50 29.50 30.50 31.50 32.50 33.50
-0.20
-0.40
-0.60
PM Short call Short put Cuna Vendida
7.86 0.55 -1.06 -0.51
7.92 0.55 -1 -0.45
7.98 0.55 -0.94 -0.39
8.04 0.55 -0.88 -0.33
8.1 0.55 -0.82 -0.27
8.16 0.55 -0.76 -0.21
8.22 0.55 -0.7 -0.15
8.28 0.55 -0.64 -0.09
8.34 0.55 -0.58 -0.03
8.4 0.55 -0.52 0.03
8.46 0.55 -0.46 0.09
8.52 0.55 -0.4 0.15
8.58 0.55 -0.34 0.21
8.64 0.55 -0.28 0.27 CUNA VENDIDA
8.7 0.55 -0.22 0.33 1.2
8.76 0.55 -0.16 0.39 1
8.82 0.55 -0.1 0.45
0.8
8.88 0.55 -0.04 0.51
8.94 0.55 0.02 0.57 0.6
0 30 40 50 60 70
PM ACCIONES $32.00 100
2 veces
PRECIO COMPRA VENTA LONG CALL SHORT CALL Ratio Call Spread
29 -$2.00 $4.00 -$1.51 $0.43 -$0.65
29.1 -$1.90 $3.90 -$1.51 $0.43 -$0.65
29.2 -$1.80 $3.80 -$1.51 $0.43 -$0.65
29.3 -$1.70 $3.70 -$1.51 $0.43 -$0.65
29.4 -$1.60 $3.60 -$1.51 $0.43 -$0.65
29.5 -$1.50 $3.50 -$1.51 $0.43 -$0.65
29.6 -$1.40 $3.40 -$1.51 $0.43 -$0.65
29.7 -$1.30 $3.30 -$1.51 $0.43 -$0.65
29.8 -$1.20 $3.20 -$1.51 $0.43 -$0.65
29.9 -$1.10 $3.10 -$1.51 $0.43 -$0.65
30 -$1.00 $3.00 -$1.51 $0.43 -$0.65
30.1 -$0.90 $2.90 -$1.51 $0.43 -$0.65
30.2 -$0.80 $2.80 -$1.51 $0.43 -$0.65
30.3 -$0.70 $2.70 -$1.51 $0.43 -$0.65
30.4 -$0.60 $2.60 -$1.51 $0.43 -$0.65
30.5 -$0.50 $2.50 -$1.51 $0.43 -$0.65
30.6 -$0.40 $2.40 -$1.51 $0.43 -$0.65
30.7 -$0.30 $2.30 -$1.51 $0.43 -$0.65
30.8 -$0.20 $2.20 -$1.51 $0.43 -$0.65
30.9 -$0.10 $2.10 -$1.51 $0.43 -$0.65
31 $0.00 $2.00 -$1.51 $0.43 -$0.65
31.1 $0.10 $1.90 -$1.41 $0.43 -$0.55
31.2 $0.20 $1.80 -$1.31 $0.43 -$0.45
31.3 $0.30 $1.70 -$1.21 $0.43 -$0.35
31.4 $0.40 $1.60 -$1.11 $0.43 -$0.25
31.5 $0.50 $1.50 -$1.01 $0.43 -$0.15
31.6 $0.60 $1.40 -$0.91 $0.43 -$0.05
31.7 $0.70 $1.30 -$0.81 $0.43 $0.05
31.8 $0.80 $1.20 -$0.71 $0.43 $0.15
31.9 $0.90 $1.10 -$0.61 $0.43 $0.25
32 $1.00 $1.00 -$0.51 $0.43 $0.35
32.1 $1.10 $0.90 -$0.41 $0.43 $0.45
32.2 $1.20 $0.80 -$0.31 $0.43 $0.55
32.3 $1.30 $0.70 -$0.21 $0.43 $0.65
32.4 $1.40 $0.60 -$0.11 $0.43 $0.75
32.5 $1.50 $0.50 -$0.01 $0.43 $0.85
32.6 $1.60 $0.40 $0.09 $0.43 $0.95
32.7 $1.70 $0.30 $0.19 $0.43 $1.05
32.8 $1.80 $0.20 $0.29 $0.43 $1.15
32.9 $1.90 $0.10 $0.39 $0.43 $1.25
33 $2.00 $0.00 $0.49 $0.43 $1.35
33.1 $2.10 -$0.10 $0.59 $0.33 $1.25
33.2 $2.20 -$0.20 $0.69 $0.23 $1.15
33.3 $2.30 -$0.30 $0.79 $0.13 $1.05
33.4 $2.40 -$0.40 $0.89 $0.03 $0.95
33.5 $2.50 -$0.50 $0.99 -$0.07 $0.85
33.6 $2.60 -$0.60 $1.09 -$0.17 $0.75
33.7 $2.70 -$0.70 $1.19 -$0.27 $0.65
33.8 $2.80 -$0.80 $1.29 -$0.37 $0.55
33.9 $2.90 -$0.90 $1.39 -$0.47 $0.45
34 $3.00 -$1.00 $1.49 -$0.57 $0.35
34.1 $3.10 -$1.10 $1.59 -$0.67 $0.25
34.2 $3.20 -$1.20 $1.69 -$0.77 $0.15
34.3 $3.30 -$1.30 $1.79 -$0.87 $0.05
34.4 $3.40 -$1.40 $1.89 -$0.97 -$0.05
34.5 $3.50 -$1.50 $1.99 -$1.07 -$0.15
34.6 $3.60 -$1.60 $2.09 -$1.17 -$0.25
34.7 $3.70 -$1.70 $2.19 -$1.27 -$0.35
34.8 $3.80 -$1.80 $2.29 -$1.37 -$0.45
34.9 $3.90 -$1.90 $2.39 -$1.47 -$0.55
35 $4.00 -$2.00 $2.49 -$1.57 -$0.65
35.1 $4.10 -$2.10 $2.59 -$1.67 -$0.75
35.2 $4.20 -$2.20 $2.69 -$1.77 -$0.85
35.3 $4.30 -$2.30 $2.79 -$1.87 -$0.95
35.4 $4.40 -$2.40 $2.89 -$1.97 -$1.05
35.5 $4.50 -$2.50 $2.99 -$2.07 -$1.15
35.6 $4.60 -$2.60 $3.09 -$2.17 -$1.25
35.7 $4.70 -$2.70 $3.19 -$2.27 -$1.35
35.8 $4.80 -$2.80 $3.29 -$2.37 -$1.45
35.9 $4.90 -$2.90 $3.39 -$2.47 -$1.55
36 $5.00 -$3.00 $3.49 -$2.57 -$1.65
36.1 $5.10 -$3.10 $3.59 -$2.67 -$1.75
36.2 $5.20 -$3.20 $3.69 -$2.77 -$1.85
36.3 $5.30 -$3.30 $3.79 -$2.87 -$1.95
$5.00
$4.00
$3.00
$2.00
$1.00
LONG CAL
SHORT CA
$0.00
28 29 30 31 32 33 34 35 36 37
-$1.00
-$2.00
-$3.00
-$4.00
$2.00
$1.50
$1.00
$0.50
$0.00
$1.50
$1.00
$0.50
$0.00
28 29 30 31 32 33 34 35 36 37
-$0.50
-$1.00
-$1.50
-$2.00
-$2.50
LONG CALL
SHORT CALL
35 36 37
36 37
Volatilidad Interes
0.2 0.1
put 18,5 0.49
put 19 0.8 18.5 19
2
0.49 0.8 = +2 Short Put + 1 Long Put
2 veces
Pm Short Put Long Put Put Spread
16 -4.02 2.2 -1.82
16.5 -3.02 1.7 -1.32
17 -2.02 1.2 -0.82
17.5 -1.02 0.7 -0.32
17.82 -0.38 0.38 0
18 -0.02 0.2 0.18
18.5 0.98 -0.3 0.68
19 0.98 -0.8 0.18 Put Spread
19.5 0.98 -0.8 0.18 1
20 0.98 -0.8 0.18
20.5 0.98 -0.8 0.18 0.5
21 0.98 -0.8 0.18
21.5 0.98 -0.8 0.18
0
22 0.98 -0.8 0.18 15 16 17 18 19 20
22.5 0.98 -0.8 0.18
-0.5
-1
-1.5
-2
Put Spread
18 19 20 21 22 23
Spot Price 8000
400
300
200
100
0
7700 7800 7900 8000 8100 82
-100
-200
1000
800
600
400
200
0
7800 7900 8000 8100 8200 8300 8400 8500 8600
-200
-400
-600
la prima es menor que si vieramos una longSelcall
l Cal l Payof Buy Doubl e Cal l s Payof
7800 7900 8000 8100 8200 8300 8400 8500 8600 8700
PUT RATIO BACKSPREAD
PRECIO 19.40
PRECIO PUT 1 19.00 0.22
PRIMAS
PRECIO PUT 2 20.00 0.70
VOLATILIDAD 20%
INTERES 10%
-4.00
-6.00
-8.00
0.00
13.00 15.00 17.00 19.00 21.00 23.00
-2.00
-4.00
-6.00
-8.00
RATIO BACKSPREAD
LONG PUT 19
SHORT PUT 20
Compra Venta
Box/Conversion
Box/Conversion