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Call Ratio Back Spread

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Vasudev Bhanaji
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44 views4 pages

Call Ratio Back Spread

Uploaded by

Vasudev Bhanaji
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Strategy Name Call Ratio Backspread

Number of option legs Three


Direction Bullish
Call Ratio Back Spread
Particular Value
Underlying Nifty Details
Spot Price 17690 Spread
Lower Strike (LS), Sell,ITM 17650 Lower Breakeven
Higher Strike (HS), Buy, OTM 17750 Upper Breakeven
Credit (LS) 201 Max Loss
Debit (HS) 156 Max Loss level
Net Credit 45 Max Profit

Calculations
Market Expiry LS - IV PR LS Payoff
17050 0 201 201
17150 0 201 201
17250 0 201 201
17350 0 201 201
17450 0 201 201
17550 0 201 201
17650 0 201 201
17750 100 201 101
17850 200 201 1
17950 300 201 -99
18050 400 201 -199
18150 500 201 -299
18250 600 201 -399
18350 700 201 -499
18450 800 201 -599
18550 900 201 -699

Legend
LS - IV Lower Strike Intrensic value
PR Premium Received
LS Payoff Payoff from Lower strike
HS IV Higher Strike Intresic value
PP Premium Paid
HS Payoff Payoff from Higher strike
B Buy
S Sell
ITM In the Money
OTM Out of the Money
100
r Breakeven 17695
r Breakeven 17805
55
17750
Unlimited

HS - IV PP HS Payoff Strategy Payoff


0 156 -156 45
0 156 -156 45
0 156 -156 45
Call Ratio Back Spread (2:1)
0 156 -156 45
0 156 -156 45 800
0 156 -156 45 700
0 156 -156 45 600
0 156 -156 -55 500
100 156 44 45 400
200 156 244 145
300
300 156 444 245
400 156 644 345 200
500 156 844 445 100
600 156 1044 545 0
700 156 1244 645
17050

17150

17250

17350

17450

17550

17650

17750

17850

17950
-100
800 156 1444 745
17350

17450

17550

17650

17750

17850

17950

Call Ratio Back Spread (2:1)


18050

18150

18250

18350

18450

18550

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