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Long or short as many options as you want in gazprom

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Reference no: EM131234457

You are able to long or short as many options as you want in Gazprom. These options are traded with strike prices every $5 from $30 to $80 per share. You wish to build a portfolio with the following payoff structure.

  • Gazprom sells for $50 per share or less = zero payoff
  • Gazprom sells for $60 per share = $20 payoff
  • Gazprom sells for $70 per share or more= $30 payoff

Work out how much you need to long or short of puts and calls for each strike value. Show that your selected portfolio does indeed yield the desired payoff profile.

Reference no: EM131234457

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