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Comport. P de Izq.

# Posicin Conjunta y Sinttica Frmulas A Der. De Formula


1 Accin comprada Short put + Long call Precio igual
2 Accin vendida Short call + Long put Precio igual
3 Tnel alcista Long call + Short Put (P Inf.) Baja precio
4 Tnel bajista Short call + Long Putn(P Inf.) Baja precio
5 Long call Accin comprada + Long put
6 Short call Accin vendida + Short put
7 Long put Accin vendida + Long put
8 Short Put Accin comprada + Short call
Long call + Short call (P Sup.)
9 Spread Alcista Sube precio
Long put + Short Put (P Sup.)

10 Spread Bajista Long Put + Short Put (P Inf.) Baja precio


Long call + Short call (P Inf.)
11 Mariposa Comprada Long Call 1 + 2*(Short call) + Long Call 2
12 Mariposa Vendida Short Call 1 + 2*(Long call) + Short Call 2
13 Cono (Straddle) Comprado Long call + Long Put (Mismo P) Precio igual
14 Cono (Straddle) Vendido Short call + Short Put (Mismo P) Precio igual
15 Cuna (Strangle) Comprada Long Put + Long call Precio diferente
16 Cuna (Strangle) Vendida Short Put + Short Call Precio diferente
17 Ratio Call Spread Long call +2*(short call) (P Sup.) Sube precio
18 Ratio Put Spread Long put + 2*(Short Put) (P Inf.)
19 Call Ratio BackSpread Short call + 2*(Long call) (P Sup.) Sube precio
20 Put Ratio BackSpread Short put + 2*(Long put) (P Inf.) Baja precio
21 Box/Conversion Compra futuro + Venta futuro (P mayor) Precio Vta mayor
Tendencia P El mejor

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

PM Long call Long put


41 -6 15 9
42 -6 14 8
43 -6 13 7
44 -6 12 6
47 -6 9 3
47.5 -6 8.5 2.5
48 -6 8 2
48.5 -6 7.5 1.5
49 -6 7 1
49.5 -6 6.5 0.5
50 -6 6 0
50.5 -6 5.5 -0.5
51 -6 5 -1
51.5 -6 4.5 -1.5
52 -6 4 -2
52.5 -6 3.5 -2.5
53 -6 3 -3
53.5 -6 2.5 -3.5
54 -6 2 -4
54.5 -6 1.5 -4.5
55 -6 1 -5
55.5 -6 0.5 -5.5
56 -6 0 -6
56.5 -6 -0.5 -6.5
57 -6 -1 -7
57.5 -6 -1.5 -7.5
58 -6 -2 -8
58.5 -6 -2.5 -8.5
59 -6 -3 -9
59.5 -6 -3.5 -9.5
60 -6 -4 -10
60.5 -5.5 -4 -9.5
61 -5 -4 -9
61.5 -4.5 -4 -8.5
62 -4 -4 -8
62.5 -3.5 -4 -7.5 Chart Title
63 -3 -4 -7
8
63.5 -2.5 -4 -6.5
6
64 -2 -4 -6
4
2
0
57 59 61 63 65
-2
-4
Chart Title
8
6
4
64.5 -1.5 -4 -5.5 2
65 -1 -4 -5 0
65.5 -0.5 -4 -4.5 57 59 61 63 65
-2
66 0 -4 -4 -4
66.5 0.5 -4 -3.5 -6
67 1 -4 -3 -8
67.5 1.5 -4 -2.5 -10
68 2 -4 -2 -12
68.5 2.5 -4 -1.5 Long ca l l Long put
69 3 -4 -1
69.5 3.5 -4 -0.5
70 4 -4 0
70.5 4.5 -4 0.5
71 5 -4 1
71.5 5.5 -4 1.5
72 6 -4 2

opcion precio prima


Short call 30 4
Short put 35 7 Chart Title
8

PM Short call Short put 6

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

Long ca l l Long put Col umn D

Chart Title

34 39 44 49

ort cal l Short put Col umn D


PM Compra futuro
8.4 -1.07
8.46 -1.01 ACCION COMPRADA
8.52 -0.95
1.5
8.58 -0.89
8.64 -0.83
1
8.7 -0.77
8.76 -0.71 0.5
8.82 -0.65
8.88 -0.59 0
8.94 -0.53 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33
9 -0.47 -0.5
9.06 -0.41
9.12 -0.35 -1
9.18 -0.29
9.24 -0.23 -1.5

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

3.6 13.8 14 14.2 14.4 14.6


2.5

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

s hort put l ong ca l l

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

6.5 0.1 3.35 3.45 2


7 0.1 2.85 2.95
1
7.5 0.1 2.35 2.45
8 0.1 1.85 1.95 0
5 6 7 8 9 10 11 12 13
8.5 0.1 1.35 1.45 -1
9 0.1 0.85 0.95
9.5 0.1 0.35 0.45 -2

10 0.1 -0.15 -0.05 -3


10.5 0.1 -0.15 -0.05
-4
11 -0.4 -0.15 -0.55
11.5 -0.9 -0.15 -1.05
12 -1.4 -0.15 -1.55
12.5 -1.9 -0.15 -2.05
13 -2.4 -0.15 -2.55
13.5 -2.9 -0.15 -3.05
14 -3.4 -0.15 -3.55
9 10 11 12 13 14 15
PRECIO
LONG CALL 25 0.6

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:

i Precio de mercado<precio de la Call


Precio de Mercado - Precio de la Call)

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

12.5 0.5 0.45


13 1 0.45
13.5 1.5 0.45
14 2 0.45
14.5 2.5 0.45
15 3 0.45
SHORT PUT

8.5 9 9.5 10 10.5 11 11.55 12 12.5 13 13.5 14 14.5 15

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

Precio Prima estrategia de cobertura en un rango de precios especificos


SHORT PUT 42 0.7 suma de varias posiciones: producto sintetico
Long Put 44 -1.65

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

un rango de precios especificos


producto sintetico

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

14 -1.48 0.55 0.15 -0.78 6


15 -1.48 0.55 0.15 -0.78
4
16 -0.48 0.55 0.15 0.22
17 0.52 0.55 0.15 1.22 2
18 1.52 -0.45 0.15 1.22 0
19 2.52 -1.45 0.15 1.22 0 5 10
20 3.52 -2.45 0.15 1.22 -2

21 4.52 -3.45 1.15 2.22


22 5.52 -4.45 2.15 3.22
23 6.52 -5.45 3.15 4.22
24 7.52 -6.45 4.15 5.22
25 8.52 -7.45 5.15 6.22
26 9.52 -8.45 6.15 7.22
27 10.52 -9.45 7.15 8.22
28 11.52 -10.45 8.15 9.22
29 12.52 -11.45 9.15 10.22
30 13.52 -12.45 10.15 11.22
31 14.52 -13.45 11.15 12.22
Mariposa comprada
14

12

10

0
0 5 10 15 20 25 30
-2
Accciones ABC 20.8 Volatividad 20%
Inters 10%

Posicin Call Prima Cantidad Total $


Venta (short) 20 1.1 1 1.1 se obliga
Compra (long) 21 -0.47 2 -0.94 se obliga
Venta (short) 22 0.14 1 0.14 se obliga
Resultado Neto 0.3

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

19.6 1.10 -0.47 0.14 0.30


19.7 1.10 -0.47 0.14 0.30
0.50
19.8 1.10 -0.47 0.14 0.30
19.9 1.10 -0.47 0.14 0.30
20 1.10 -0.47 0.14 0.30 0.00
20.1 1.00 -0.47 0.14 0.20 19 19.5 20

20.2 0.90 -0.47 0.14 0.10


20.3 0.80 -0.47 0.14 0.00 -0.50
20.4 0.70 -0.47 0.14 -0.10
20.5 0.60 -0.47 0.14 -0.20
20.6 0.50 -0.47 0.14 -0.30 -1.00

20.7 0.40 -0.47 0.14 -0.40


20.8 0.30 -0.47 0.14 -0.50
-1.50

-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

23 -1.90 1.53 -0.86 -1.23 -0.70


23.1 -2.00 1.63 -0.96 -1.33 -0.80
23.2 -2.10 1.73 -1.06 -1.43
23.3 -2.20 1.83 -1.16 -1.53
23.4 -2.30 1.93 -1.26 -1.63
1.50

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

PM Compra F Venta F Long Call Long put Cuna Comprada 0.40

29.00 -4.00 1.00 -0.28 0.85 0.57


0.20
29.10 -3.90 0.90 -0.28 0.75 0.47
29.20 -3.80 0.80 -0.28 0.65 0.37
0.00
29.30 -3.70 0.70 -0.28 0.55 0.27 28.00 29.00
29.40 -3.60 0.60 -0.28 0.45 0.17 -0.20
29.50 -3.50 0.50 -0.28 0.35 0.07
29.60 -3.40 0.40 -0.28 0.25 -0.03 -0.40
29.70 -3.30 0.30 -0.28 0.15 -0.13
29.80 -3.20 0.20 -0.28 0.05 -0.23
29.90 -3.10 0.10 -0.28 -0.05 -0.33
30.00 -3.00 0.00 -0.28 -0.15 -0.43
30.10 -2.90 -0.10 -0.28 -0.15 -0.43
30.20 -2.80 -0.20 -0.28 -0.15 -0.43
30.30 -2.70 -0.30 -0.28 -0.15 -0.43
30.40 -2.60 -0.40 -0.28 -0.15 -0.43
30.50 -2.50 -0.50 -0.28 -0.15 -0.43
30.60 -2.40 -0.60 -0.28 -0.15 -0.43
30.70 -2.30 -0.70 -0.28 -0.15 -0.43
30.80 -2.20 -0.80 -0.28 -0.15 -0.43
30.90 -2.10 -0.90 -0.28 -0.15 -0.43
31.00 -2.00 -1.00 -0.28 -0.15 -0.43
31.10 -1.90 -1.10 -0.28 -0.15 -0.43
31.20 -1.80 -1.20 -0.28 -0.15 -0.43
31.30 -1.70 -1.30 -0.28 -0.15 -0.43
31.40 -1.60 -1.40 -0.28 -0.15 -0.43
31.50 -1.50 -1.50 -0.28 -0.15 -0.43
31.60 -1.40 -1.60 -0.28 -0.15 -0.43 0.80
31.70 -1.30 -1.70 -0.28 -0.15 -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

32.60 -0.40 -2.60 -0.28 -0.15 -0.43 -0.60


32.70 -0.30 -2.70 -0.28 -0.15 -0.43
32.80 -0.20 -2.80 -0.28 -0.15 -0.43
32.90 -0.10 -2.90 -0.28 -0.15 -0.43
33.00 0.00 -3.00 -0.28 -0.15 -0.43
33.10 0.10 -3.10 -0.18 -0.15 -0.33
33.20 0.20 -3.20 -0.08 -0.15 -0.23
33.30 0.30 -3.30 0.02 -0.15 -0.13
33.40 0.40 -3.40 0.12 -0.15 -0.03
33.50 0.50 -3.50 0.22 -0.15 0.07
33.60 0.60 -3.60 0.32 -0.15 0.17
33.70 0.70 -3.70 0.42 -0.15 0.27
33.80 0.80 -3.80 0.52 -0.15 0.37
33.90 0.90 -3.90 0.62 -0.15 0.47
34.00 1.00 -4.00 0.72 -0.15 0.57
Long Call
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

-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

9 0.55 0.08 0.63 0.4


9.06 0.55 0.14 0.69 0.2
9.12 0.55 0.2 0.75
0
9.18 0.55 0.26 0.81 0 10 20 30 40 50
-0.2
9.24 0.55 0.32 0.87
9.3 0.55 0.38 0.93 -0.4
9.36 0.55 0.44 0.99 -0.6
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.42 0.55 0.5 1.05
9.54 0.48 0.55 1.03
9.6 0.42 0.55 0.97
9.66 0.36 0.55 0.91
9.72 0.3 0.55 0.85
9.78 0.24 0.55 0.79
9.84 0.18 0.55 0.73
9.9 0.12 0.55 0.67
9.96 0.06 0.55 0.61
10.02 1.1102E-15 0.55 0.55
10.08 -0.06 0.55 0.49
10.14 -0.12 0.55 0.43
10.2 -0.18 0.55 0.37
10.26 -0.24 0.55 0.31
10.32 -0.3 0.55 0.25
10.38 -0.36 0.55 0.19
10.44 -0.42 0.55 0.13
10.5 -0.48 0.55 0.07
10.56 -0.54 0.55 0.01
10.62 -0.6 0.55 -0.05
10.68 -0.66 0.55 -0.11
10.74 -0.72 0.55 -0.17
10.8 -0.78 0.55 -0.23
10.86 -0.84 0.55 -0.29
10.92 -0.9 0.55 -0.35
CUNA VENDIDA

0 30 40 50 60 70
PM ACCIONES $32.00 100

COMPRAMOS SUBIRA HASTA 33


CALL 1 31
PRIMA 1 -$1.51
COMPRA -$151.00 $29.49

VENDEMOS 2 CALL PUEDE BAJAR


CALL 2 33
PRIMA 2 $0.43
VENTA $43.00 $86.00

BENEFICIO NETO -$65.00

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

Strategy Strike Price Premium


Sell Call 8000 120
Buy Call 8100 60
Buy Call 8100 60

Spot PriceSell Call Payof Buy Double Calls PayofStrategy payof


7800 120 -120 0
7900 120 -120 0
8000 120 -120 0
8100 20 -120 -100 diferencia dela perdida en la prima es menor que si vieramos
8200 -80 80 0
8300 -180 280 100
8400 -280 480 200
8500 -380 680 300
8600 -480 880 400 Call Ratio Ba
500

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

Call Ratio Backspread

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%

LONG PUT SHORT PUT


PRECIO UTILIDAD 19 20
14.00 4.26 9.56 -5.30
14.25 4.01 9.06 -5.05
14.50 3.76 8.56 -4.80
14.75 3.51 8.06 -4.55
15.00 3.26 7.56 -4.30
15.25 3.01 7.06 -4.05
15.50 2.76 6.56 -3.80
15.75 2.51 6.06 -3.55
16.00 2.26 5.56 -3.30 PUT RATIO BACKSPRE
16.25 2.01 5.06 -3.05
5.00
16.50 1.76 4.56 -2.80
16.75 1.51 4.06 -2.55
4.00
17.00 1.26 3.56 -2.30
17.25 1.01 3.06 -2.05
17.50 0.76 2.56 -1.80 3.00

17.75 0.51 2.06 -1.55


18.01 0.25 1.54 -1.29 2.00
18.26 0.00 1.04 -1.04
18.50 -0.24 0.56 -0.80 1.00
18.75 -0.49 0.06 -0.55
19.00 -0.74 -0.44 -0.30 0.00
13.00 15.00 17.00 19.00
19.25 -0.49 -0.44 -0.05
19.50 -0.24 -0.44 0.20 -1.00
19.74 0.00 -0.44 0.44
20.00 0.26 -0.44 0.70
20.25 0.26 -0.44 0.70
20.50 0.26 -0.44 0.70
20.75 0.26 -0.44 0.70 12.00

21.00 0.26 -0.44 0.70 10.00


21.25 0.26 -0.44 0.70 8.00
21.50 0.26 -0.44 0.70
6.00
21.75 0.26 -0.44 0.70
4.00
22.00 0.26 -0.44 0.70
22.25 0.26 -0.44 0.70 2.00
22.50 0.26 -0.44 0.70 0.00
13.00 15.00 17.00 19.00 21.00 23.00
22.75 0.26 -0.44 0.70 -2.00

-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

PUT RATIO BACKSPREAD

17.00 19.00 21.00 23.00 25.00

LONG PUT 19
SHORT PUT 20

19.00 21.00 23.00 25.00


19.00 21.00 23.00 25.00
Juntar compra y venta de futuros
Precio compra Futuros 23
Precio Venta futuros 25

Precio Compra Venta Box/Conversion


19.00 -4.00 6.00 2.00 20.00
19.50 -3.50 5.50 2.00
20.00 -3.00 5.00 2.00
15.00
20.50 -2.50 4.50 2.00
21.00 -2.00 4.00 2.00
10.00
21.50 -1.50 3.50 2.00
22.00 -1.00 3.00 2.00
5.00
22.50 -0.50 2.50 2.00
23.00 0.00 2.00 2.00
23.50 0.50 1.50 2.00 0.00
15.00 17.50 20.00 22.50 25.00 27.50 30.00 3
24.00 1.00 1.00 2.00
24.50 1.50 0.50 2.00 -5.00
25.00 2.00 0.00 2.00
25.50 2.50 -0.50 2.00 -10.00
26.00 3.00 -1.00 2.00
26.50 3.50 -1.50 2.00 -15.00
27.00 4.00 -2.00 2.00 Compra Venta
27.50 4.50 -2.50 2.00
28.00 5.00 -3.00 2.00
28.50 5.50 -3.50 2.00
29.00 6.00 -4.00 2.00
29.50 6.50 -4.50 2.00
Box/Convers
2.50
30.00 7.00 -5.00 2.00 Box/Convers
30.50 7.50 -5.50 2.00 2.50
31.00 8.00 -6.00 2.00
31.50 8.50 -6.50 2.00
32.00 9.00 -7.00 2.00 2.00

32.50 9.50 -7.50 2.00


33.00 10.00 -8.00 2.00 1.50
33.50 10.50 -8.50 2.00
34.00 11.00 -9.00 2.00
1.00
34.50 11.50 -9.50 2.00
35.00 12.00 -10.00 2.00
35.50 12.50 -10.50 2.00 0.50
36.00 13.00 -11.00 2.00
36.50 13.50 -11.50 2.00
0.00
37.00 14.00 -12.00 2.00 18.00 20.50 23.00 25.50 28.00
37.50 14.50 -12.50 2.00 Box/Convers
38.00 15.00 -13.00 2.00
38.50 15.50 -13.50 2.00
22.50 25.00 27.50 30.00 32.50 35.00 37.50 40.00 42.50

Compra Venta

Box/Conversion
Box/Conversion

23.00 25.50 28.00 30.50 33.00 35.50 38.00


Box/Conversi on