The motivation of this strategy is: bearish on the market outlook, but unwilling to take too many risks. In the initial stage of investment, the royalty is net income.
if the underlying futures price falls, the option investment income will increase with the price falling within the range between the two exercise prices; When the futures price reaches and is lower than the lower strike price, the investor's income will no longer increase. This is because, at this time, the losses and gains of call options and put options are fixed when the futures price is below the low exercise price.
when the futures price rises, only one of the two options will be put forward for execution within the range between the two exercise prices, and the investment income of options will decrease with the increase of the market price; When the futures price rises above the strike price at a high place, the investor's income will no longer decrease, because at this time, both options will be put forward for execution, and the losses suffered by the put option when the price rises are offset by the gains gained by the call option when the price rises.
Therefore, the profit and loss characteristics of the call short spread strategy are as follows:
1. Within the range between the two execution prices, the investment income decreases (increases) with the rise (fall) of the futures price
2. When the futures price rises beyond the execution price at a high place, the users of this strategy will suffer the greatest loss. It is expressed by the formula:
investment profit and loss = low exercise price–high exercise price+royalties from selling options–royalties from buying options
3. When the futures price falls below the lower exercise price, the investment profit and loss will not increase as the futures price continues to fall. The formula for calculating the maximum profit and loss of this strategy is as follows:
investment profit and loss = royalties received from selling options–royalties paid from buying options
4. Break-even point = low execution price+royalties paid from selling options–royalties paid from buying options
Timing of use: It is expected that the futures price will fall in the future, but the downward trend will only be in the form of a market decline, and there will be no sharp decline.
Example 3
The wheat futures price is 1,6 yuan/ton, and the investor sells the option price of 1,59 yuan/ton, and the income premium price is 47 yuan/ton; Buy the option with the strike price of 161, and pay the royalty of 37 yuan/ton.
then:
when the futures price is ≥ 161 yuan/ton, the investment profit and loss is 159–161+47–37 =-1 yuan/ton
when the futures price is ≤ 159 yuan/ton, the investment profit and loss is 47–37 = 1 yuan/ton
when 159 yuan. Futures price <; 161 yuan/ton, -1 yuan/ton <; Investment profit and loss <; 1 yuan/ton
break-even point = 159+47–37 = 16 yuan/ton. When the futures price is 16 yuan/ton, the profit and loss of the portfolio is ; The futures price is lower than this price, and the portfolio begins to make a profit; The futures price is higher than this price, and the portfolio begins to lose money.