1. Option Trading Strategy
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
Option Trading Workbook (Deb Sahoo)

2. LOW NEUTRAL HIGH
1. Short Call Sell the Underlying 1. Long Put
Sell/Write one call option
Risk / Reward:
Maximum Loss: Unlimited as the market rises.
Maximum Gain: Limited to the premium received for selling the option.
Buy one put option.
Risk / Reward:
Maximum Loss: Limited to the net premium paid for the option.
Maximum Gain: Unlimited as the market sells off.
2. Call Bear Spread 2. Short Synthetic
Sell one call option with a low strike price
Buy one call option with a higher strike price
Risk / Reward:
Maximum Loss: Limited to the difference between the two strikes minus the net premium
Maximum Gain: Limited to the net premium received for the position. I.e. the premium received for the short call minus the premium
paid for the long call
Short one call option at P
Long one put option at P
Risk / Reward
Maximum Loss:Unlimited.
Maximum Gain: Unlimited.
3. Put Bear Spread 3. Put Backspread
Short one put option at a lower strike price
Long one put option at a higher strike price
Risk / Reward:
Maximum Loss: Limited to the net amount paid for the spread. I.e. the premium paid for the long position less the premium received
for the short position
Maximum Gain: Limited to the difference between the two strike prices minus the net paid for the position
Long two OTM put
Short one ITM put
Risk / Reward:
Maximum Loss: Limited to the difference between the two strikes less the premium received for the spread.
Maximum Gain: Limited on the upside to the net premium received for the spread. Unlimited on the downside.
1. Short Straddle Do Nothing 1. Long Straddle
Short one call option at P
Short one put option at P
Risk / Reward:
Maximum Loss: Unlimited as the market moves in either direction
Maximum Gain: Limited to the net premium received for selling the options
Buy one call option at P
Buy one put option at P
Risk / Reward:
Maximum Loss: Limited to the total premium paid for the call and put options
Maximum Gain: Unlimited as the market moves in either direction
2. Short Strangle 2. Long Strangle
Short one put at lower strike price
Short one call at a higher strike price
Risk / Reward:
Maximum Loss: Unlimited as the market moves in either direction
Maximum Gain: Limited to the net premium received for selling the options
Long one call option at a higher strike price
Long one put option at a lower strike price
Risk / Reward:
Maximum Loss: Limited to the total premium paid for the call and put options
Maximum Gain: Unlimited as the market moves in either direction
3. Short Gut 3. Long Gut
Sell one call option at a higher strike price
Sell one put option at a higher strike price
Risk / Reward:
Maximum Loss: Unlimited as the market moves in either direction
Maximum Gain: Limited to the net premium received for selling the options
Buy one call at higher strike price
Buy one put at a higher strike price
Risk / Reward:
Maximum Loss: Limited to the total premium paid plus (call strike price minus put strike price)
Maximum Gain: Unlimited as the market moves in either direction
4. Call Time Spread 4. Put Time Spread
Short one future month call
Long one far month call (i.e. the option you sell is to be closer to expiration than the option you are buying)
Risk / Reward:
Maximum Loss: Limited on both down and upside for market direction
Maximum Gain: Limited
Short one front month put
Long one far month put (i.e. the option you sell is to be closer to expiry than the option you are buying).
Risk / Reward:
Maximum Loss: Limited
Maximum Gain: Limited
5. Call Ratio Vertical Spread
Long one ITM call
Short two OTM call
Risk / Reward:
Maximum Loss: Unlimited on the upside and limited on the downside
Maximum Gain: Limited to the difference between the two strikes less the net premium paid
IMPLIED VOLATILITY
Bearish
Neutral
Option Strategy Landscape
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
Option Trading Workbook (Deb Sahoo)

3. 6. Put Ratio Vertical Spread
Short two OTM put
Long one ITM put
Risk / Reward:
Maximum Loss: Unlimited on the downside and limited to the net premium paid on the upside
Maximum Gain: The difference between the two strike prices less the premium paid for the position
7. Long Call Butterfly 5. Short Call Butterfly
Short two ATM call
Long one ITM call
Long one OTM call
Risk / Reward:
Maximum Loss: Limited to the ATM strike less the ITM strike less the net premium paid for the spread
Maximum Gain: Limited to the net premium received from the spread
Long two ATM call
Short one ITM call
Short one OTM call
Risk / Reward:
Maximum Loss: Limited to the net difference between the ATM strike less the ITM strike less the premium received for the position
Maximum Gain: Limited to the net premium received for the option spread
8. Long Put Butterfly 6. Short Put Butterfly
Sell two ATM put
Buy one ITM put
Buy one OTM put
Risk / Reward:
Maximum Loss: Limited to the ATM strike less the ITM strike less the net premium paid for the spread
Maximum Gain: Limited to the net premium received from the spread
Long two ATM put
Short one ITM put
Short one OTM put
Risk / Reward:
Maximum Loss: Limited to the net difference between the ATM strike less the ITM strike less the premium received for the position
Maximum Gain: Limited to the net premium received for the option spread
9. Long Iron Condor 7. Short Iron Condor
Long ITM Option (Long 97 Call)
Short ITM Option (Short 99 Call)
Short OTM Option (Short 101 Call)
Long OTM Option (Long 103 Call)
Risk / Reward:
Max loss: Limited. The maximum loss of a long condor occurs at the wings of the option spread. It is the minimum of the difference
between the lower strike call spread less the higher call spread less the total premium paid for the condor
Max gain: Limited. The maximum profit of a long condor will be realized when the stock is trading between the two middle strike
prices. When you look at the Condor as 2 call spreads, take the one that has the maximum distance between the strike prices, subtract
the net premium paid for the spread and that is the max loss
Short ITM Option (Short 97 Call)
Long ITM Option (Long 99 Call)
Long OTM Option (Long 101 Call)
Short OTM Option (Short 103 Call)
Risk / Reward:
Max loss: Limited. The maximum loss of a short condor occurs at the center of the option spread. If you’ve broken the Condor down as 2
call (put) spreads, take the one that has the maximum distance between the strike prices, add the net premium received for the spread and
that is the max loss
Max gain: Limited. The maximum profit of a short condor occurs on the wings, when the underlying asset is trading past the upper or
lower strike prices
1. Naked Put Buy the Underlying 1. Long Naked Call
Sell one put option
Risk / Reward:
Maximum Loss: Unlimited in a falling market.
Maximum Gain: Limited to the premium received for selling the put option.
Purchase of one call option
Risk / Reward:
Maximum Loss: Limited to the premium paid up front for the option
Maximum Gain: Unlimited as the market rallies
2. Call Bull Spread 2. Long Synthetic
Buy one call with a low strike price
Sell one call with a higher strike price
Risk / Reward:
Maximum Loss: Limited to premium paid for the long option minus the premium received for the short option
Maximum Gain: Limited to the difference between the two strike prices minus the net premium paid for the spread
Buy one call option at P
Sell one put option at P
Risk / Reward:
Maximum Loss:Unlimited.
Maximum Gain: Unlimited.
3. Put Bull Spread 3. Call Ratio Spread
Buy one put option with a strike price
Sell one put option with a higher strike price than the put you bought
Risk / Reward:
Maximum Loss: Limited to the difference between the two strike prices minus the net premium received for the position.
Maximum Gain: Limited to the net credit received for the spread. I.e. the premium receieved for the short option less the premium
paid for the long option.
Sell one ITM call option
Buy two OTM call options at P
Risk / Reward:
Maximum Loss: Limited to the difference between the two strikes plus the net premium (which should be a credit).
Maximum Gain: Unlimited on the upside and limited on the downside.
4. Covered Call 4. Call Backspread
Long underlying asset
Short call options.
Risk / Reward:
Maximum Loss: Unlimited on the downside.
Maximum Gain: Limited to the premium received from the sold call option.
Short one ITM call
Long two OTM call
Risk / Reward:
Maximum Loss: Limited to the difference between the two strikes plus the net premium (which should be a credit)
Maximum Gain: Unlimited on the upside and limited on the downside
M
A
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Bullish
Option Trading Workbook (Deb Sahoo)

4. 5. Protective Put
Long the underlying asset
Long put option
Risk / Reward:
Maximum Loss: Limited to the premium paid for the put option.
Maximum Gain: Unlimited as the market rallies.
6. Collar
Long underlying stock
Short OTM call option
Long OTM put option
Risk / Reward:
Maximum Loss: Any loss taken on the stock +/- the premium for the options. The loss on the stock will be the purchase price of the
stock minus the strike price of the put option (as you will exercise at that price) plus the net premium paid or received.
Maximum Gain: The profit of the stock +/- the premium for the optoins. The profit on the stock will be the strike price of the call
option minus the purchase price of the stock (as you will be exercised and deliver at the strike) plus the net premium paid or
received.
Option Trading Workbook (Deb Sahoo)

5. This worksheet is a simple option pricer. You simply enter the option details into the blue cells and the output values will be displayed underneath in the grey cells.
Company Ticker NTAP NetApp Inc.
Outlook of the Stock Bullish Bullish or Bearish ?
Name of Option Strategy Employing
Input Value
Current Underlying Price $34.90 The current base price of the instrument, eg, the closing price of Xilinx stock
Exercise Price $40.00 The price at which the underlying instrument will be exchanged. Also called Strike Price
Strategy Implementation Date 5/3/2013
Expiry Date 1/18/2014 The Date which the contract expires
Annual Historical Volatility 40.00% The Historical Volatility of the asset's returns
Annual Risk Free Rate 2.00% The current risk free interest rate i.e. your return on cash held in the bank
Dividened Yield 0.00% The Annualized Dividend Growth Rate of the Stock
DTE (Years) 0.71
Parameter Call Option Put Option What It Means For Your Strategy ?s
Theoretical Price $3.03 $7.57
Delta 0.4235 -0.5765 Measures the exposure of option price to movement of underlying stock price
Gamma 0.0332 0.0332 Measures the exposure of the option delta to the movement of the underlying stock price
Theta -0.0095 -0.0074 Measures the exposure of the option price to the passage of time
Vega 0.1153 0.1153 Measures the exposure of the option price to changes in volatility of the underlying
Rho 0.0837 -0.1972 Measures the exposure of the option price to changes in risk free interest rates (Rarely Used)
Comments
Inputs for Creating an Option Strategy
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
Option Trading Workbook (Deb Sahoo)

6. Input Value
Current Stock Price $34.90
Annual Standard Deviation 40.00%
Annual Risk-Free Rate 2.00%
Annual Dividend Yield 0.00%
Exercise Price $40.00
Days to Expiration 260
d1 -0.193
d2 -0.531
N(d1) 0.4235
N(d2) 0.2978
Intrinsic Call Value $0.00
Black-Scholes Call Price $3.03
Put Price (Put/Call Parity) $7.57
Put Option Delta -0.5765
Black Sholes Valuation of Option
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
Option Trading Workbook (Deb Sahoo)

7. This worksheet allows you to price a string of calls and puts for the same expiration and compare implied market volatility to the theoretical volatility of the underlying
Company Name NetApp Inc.
$34.90 Underlying Price
5/3/2013 Strategy Implementation Date
40% Annual Historical Volatility
1/18/2014 Expiry Date
2.00% Annual Risk Free Rate
0.00% Dividend Yield
260 DTE
0.71 DTE in Years
Theoretical Market Theoretical Market
Strike Prices Price Price Implied Volatility Delta Gamma Vega Theta Rho Strike Prices Price Price Implied Volatility Delta Gamma Vega Theta Rho
20.00 ITM 15.35$ $14.91 0.00% 0.97 0.0060 0.0208 -0.0026 0.1315 20.00 OTM 0.16$ $0.48 51.06% -0.03 0.0060 0.0208 -0.0015 -0.0090
23.00 ITM 12.67$ $9.95 0.00% 0.93 0.0119 0.0413 -0.0043 0.1399 23.00 OTM 0.45$ $0.58 43.00% -0.07 0.0119 0.0413 -0.0030 -0.0216
25.00 ITM 11.02$ $10.59 31.25% 0.88 0.0165 0.0573 -0.0055 0.1414 25.00 OTM 0.77$ $0.72 39.10% -0.12 0.0165 0.0573 -0.0041 -0.0341
30.00 ITM 7.49$ $7.30 38.01% 0.75 0.0272 0.0946 -0.0083 0.1319 30.00 OTM 2.16$ $1.95 37.74% -0.25 0.0272 0.0946 -0.0067 -0.0788
33.00 ITM 5.80$ $4.50 28.06% 0.65 0.0315 0.1095 -0.0093 0.1195 33.00 OTM 3.43$ $2.80 34.21% -0.35 0.0315 0.1095 -0.0076 -0.1122
34.00 ITM 5.31$ $4.00 28.40% 0.61 0.0325 0.1127 -0.0096 0.1147 34.00 OTM 3.93$ $3.70 37.98% -0.39 0.0325 0.1127 -0.0077 -0.1241
35.00 OTM 4.85$ $3.15 25.28% 0.58 0.0332 0.1151 -0.0097 0.1097 35.00 ITM 4.46$ $3.80 34.31% -0.42 0.0332 0.1151 -0.0078 -0.1361
38.00 OTM 3.67$ $2.22 27.54% 0.48 0.0338 0.1174 -0.0098 0.0941 38.00 ITM 6.24$ $5.50 33.72% -0.52 0.0338 0.1174 -0.0077 -0.1728
40.00 OTM 3.03$ $1.64 27.61% 0.42 0.0332 0.1153 -0.0095 0.0837 40.00 ITM 7.57$ $6.80 33.27% -0.58 0.0332 0.1153 -0.0074 -0.1972
42.00 OTM 2.50$ $1.12 26.87% 0.37 0.0320 0.1110 -0.0091 0.0737 42.00 ITM 9.00$ $8.50 35.42% -0.63 0.0320 0.1110 -0.0068 -0.2213
45.00 OTM 1.85$ $0.82 28.89% 0.29 0.0292 0.1015 -0.0083 0.0599 45.00 ITM 11.31$ $10.60 32.59% -0.71 0.0292 0.1015 -0.0058 -0.2561
47.00 OTM 1.51$ $0.57 28.58% 0.25 0.0270 0.0938 -0.0076 0.0517 47.00 ITM 12.94$ $13.61 46.76% -0.75 0.0270 0.0938 -0.0051 -0.2784
50.00 OTM 1.11$ $0.15 23.96% 0.20 0.0235 0.0816 -0.0066 0.0410 50.00 ITM 15.50$ $17.91 64.40% -0.80 0.0235 0.0816 -0.0039 -0.3101
55.00 OTM 0.65$ $0.36 34.56% 0.13 0.0178 0.0616 -0.0049 0.0271 55.00 ITM 19.98$ $23.95 82.00% -0.87 0.0178 0.0616 -0.0020 -0.3591
60.00 OTM 0.38$ $0.06 28.92% 0.08 0.0128 0.0445 -0.0036 0.0176 60.00 ITM 24.64$ $28.80 87.93% -0.92 0.0128 0.0445 -0.0003 -0.4038
60.00 OTM 0.38$ $0.06 28.92% 0.08 0.0128 0.0445 -0.0036 0.0176 60.00 ITM 24.64$ $28.80 87.93% -0.92 0.0128 0.0445 -0.0003 -0.4038
60.00 OTM 0.38$ $0.06 28.92% 0.08 0.0128 0.0445 -0.0036 0.0176 60.00 ITM 24.64$ $28.80 87.93% -0.92 0.0128 0.0445 -0.0003 -0.4038
60.00 OTM 0.38$ $0.06 28.92% 0.08 0.0128 0.0445 -0.0036 0.0176 60.00 ITM 24.64$ $28.80 87.93% -0.92 0.0128 0.0445 -0.0003 -0.4038
60.00 OTM 0.38$ $0.06 28.92% 0.08 0.0128 0.0445 -0.0036 0.0176 60.00 ITM 24.64$ $28.80 87.93% -0.92 0.0128 0.0445 -0.0003 -0.4038
60.00 OTM 0.38$ $0.06 28.92% 0.08 0.0128 0.0445 -0.0036 0.0176 60.00 ITM 24.64$ $28.80 87.93% -0.92 0.0128 0.0445 -0.0003 -0.4038
Theoretical Volatility vs. Market View of Voliatility of Available Options in the Market
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
Option Greeks
Implied Volatility From Available Put Options in the Market
Option Greeks
Implied Volatility From Available Call Options in the Market
-10.00%
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
100.00%
0.00 10.00 20.00 30.00 40.00 50.00 60.00 70.00
ImpliedVolatility
Strike Prices
Implied Volatility
Implied Volatility From Available Call Options in the Market Implied Volatility From Available Put Options in the Market
Option Trading Workbook (Deb Sahoo)

8. This worksheet lets you implement combinations of options positions and provides you the P&L plot of your strategy. The data for the options is taken from the Input tab. Enter the number of contracts for each position with positive for Long positions and
negative for short positions. Enter C for calls, P for puts, S for stock. If you know what the option premium in the market, you can enter in the "Actual Market Premium" section.
Company Name NetApp Inc.
Input Value
Current Underlying Price $34.90 The current base price of the instrument, eg, the closing price of Xilinx stock
Exercise Price $40.00 The price at which the underlying instrument will be exchanged. Also called Strike Price
Strategy Implementation Date 5/3/2013
Expiry Date 1/18/2014 The Date which the contract expires
Annual Historical Volatility 40.00% The Historical Volatility of the asset's returns
Annual Risk Free Rate 2.00% The current risk free interest rate i.e. your return on cash held in the bank
Dividened Yield 0.00% The Annualized Dividend Growth Rate of the Stock
Position 1 Position 2 Position 3 Position 4 Position 5 Position 6 Position 7 Position 8 Position 9 Position 10 Strategy Total
No of Contracts 0 -1 1 1 -1
Contract Type S C C C C Enter S/C/P
Strike Price $34.90 $25.00 $30.00 $40.00 $45.00
Calculated Theoretical Premium $4.40 $11.02 $7.49 $3.03 $1.85 $0.00 $0.00 $0.00 $0.00 $0.00
Actual Market Premium $0.00 $10.59 $7.30 $1.64 $0.82
Premium To Be Used $0.00 $10.59 $7.30 $1.64 $0.82 $0.00 $0.00 $0.00 $0.00 $0.00 $2.47 Red - Debit, Black - Credit
Delta 0.00 -0.88 0.75 0.42 -0.29 0.00 0.00 0.00 0.00 0.00 -0.01
Gamma 0.00 -0.02 0.03 0.03 -0.03 0.00 0.00 0.00 0.00 0.00 0.01
Theta 0.00 0.01 -0.01 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
Vega 0.00 -0.06 0.09 0.12 -0.10 0.00 0.00 0.00 0.00 0.00 0.05
Rho 0.00 -0.14 0.13 0.08 -0.06 0.00 0.00 0.00 0.00 0.00 0.01
Graph Increment
5.00
Comments
Option Strategy Implementation
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
2 5 10 15 20 25 30 35 40 45 50 55 60 65 70
Total Profit / Loss of Option Strategy at Expiration
Total P&L
Total Theoretical P&L
Option Trading Workbook (Deb Sahoo)

9. Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 Strat8 Strat9 Strat10 Total P&L Intercept
2 0.00 10.59 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47 0.00
5 0.00 10.59 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47 0.00
10 0.00 10.59 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47 0.00
15 0.00 10.59 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47 0.00
20 0.00 10.59 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47 0.00
25 0.00 10.59 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47 27.42
30 0.00 5.69 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 -2.43 0.00
35 0.00 0.69 -2.40 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 -2.53 0.00
40 0.00 -4.31 2.60 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 -2.53 42.48
45 0.00 -9.31 7.60 3.26 0.82 0.00 0.00 0.00 0.00 0.00 2.37 0.00
50 0.00 -14.31 12.60 8.26 -4.08 0.00 0.00 0.00 0.00 0.00 2.47 0.00
55 0.00 -19.31 17.60 13.26 -9.08 0.00 0.00 0.00 0.00 0.00 2.47 0.00
60 0.00 -24.31 22.60 18.26 -14.08 0.00 0.00 0.00 0.00 0.00 2.47 0.00
65 0.00 -29.31 27.60 23.26 -19.08 0.00 0.00 0.00 0.00 0.00 2.47 0.00
70 0.00 -34.31 32.60 28.26 -24.08 0.00 0.00 0.00 0.00 0.00 2.47 #DIV/0!
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 Strat8 Strat9 Strat10 Total Theoretical P&L
2 0.00 10.59 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47
5 0.00 10.59 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47
10 0.00 10.58 -7.30 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.47
15 0.00 10.40 -7.25 -1.64 0.82 0.00 0.00 0.00 0.00 0.00 2.34
20 0.00 9.41 -6.82 -1.57 0.79 0.00 0.00 0.00 0.00 0.00 1.81
25 0.00 7.14 -5.53 -1.22 0.62 0.00 0.00 0.00 0.00 0.00 1.01
30 0.00 3.73 -3.15 -0.31 0.09 0.00 0.00 0.00 0.00 0.00 0.37
35 0.00 -0.43 0.19 1.39 -1.03 0.00 0.00 0.00 0.00 0.00 0.12
40 0.00 -5.03 4.21 3.91 -2.87 0.00 0.00 0.00 0.00 0.00 0.23
45 0.00 -9.83 8.66 7.15 -5.43 0.00 0.00 0.00 0.00 0.00 0.54
50 0.00 -14.74 13.36 10.96 -8.64 0.00 0.00 0.00 0.00 0.00 0.94
55 0.00 -19.70 18.20 15.17 -12.37 0.00 0.00 0.00 0.00 0.00 1.31
60 0.00 -24.68 23.12 19.67 -16.48 0.00 0.00 0.00 0.00 0.00 1.62
65 0.00 -29.67 28.07 24.35 -20.88 0.00 0.00 0.00 0.00 0.00 1.87
70 0.00 -34.67 33.05 29.15 -25.48 0.00 0.00 0.00 0.00 0.00 2.05
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 Strat8 Strat9 Strat10 Total Delta
2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15 0.00 -0.09 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.06
20 0.00 -0.32 0.16 0.03 -0.01 0.00 0.00 0.00 0.00 0.00 -0.15
25 0.00 -0.58 0.37 0.12 -0.06 0.00 0.00 0.00 0.00 0.00 -0.16
30 0.00 -0.77 0.58 0.26 -0.16 0.00 0.00 0.00 0.00 0.00 -0.09
35 0.00 -0.88 0.75 0.42 -0.29 0.00 0.00 0.00 0.00 0.00 -0.01
40 0.00 -0.94 0.85 0.58 -0.44 0.00 0.00 0.00 0.00 0.00 0.05
45 0.00 -0.97 0.92 0.71 -0.58 0.00 0.00 0.00 0.00 0.00 0.07
50 0.00 -0.99 0.96 0.81 -0.70 0.00 0.00 0.00 0.00 0.00 0.08
55 0.00 -0.99 0.98 0.87 -0.79 0.00 0.00 0.00 0.00 0.00 0.07
P&L Payoff of Each Strategy Relative to Changes in Underlying Price
Theoretical P&L of Each Strategy Relative to Changes in Underlying Price
Position Delta of Each Strategy Relative to Underlying Price Changes
Option Trading Workbook (Deb Sahoo)

10. 60 0.00 -1.00 0.99 0.92 -0.86 0.00 0.00 0.00 0.00 0.00 0.06
65 0.00 -1.00 0.99 0.95 -0.90 0.00 0.00 0.00 0.00 0.00 0.04
70 0.00 -1.00 1.00 0.97 -0.94 0.00 0.00 0.00 0.00 0.00 0.03
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 Strat8 Strat9 Strat10 Total Gamma
2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15 0.00 -0.03 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.02
20 0.00 -0.05 0.04 0.01 -0.01 0.00 0.00 0.00 0.00 0.00 -0.01
25 0.00 -0.05 0.04 0.02 -0.01 0.00 0.00 0.00 0.00 0.00 0.01
30 0.00 -0.03 0.04 0.03 -0.02 0.00 0.00 0.00 0.00 0.00 0.02
35 0.00 -0.02 0.03 0.03 -0.03 0.00 0.00 0.00 0.00 0.00 0.01
40 0.00 -0.01 0.02 0.03 -0.03 0.00 0.00 0.00 0.00 0.00 0.01
45 0.00 0.00 0.01 0.02 -0.03 0.00 0.00 0.00 0.00 0.00 0.00
50 0.00 0.00 0.01 0.02 -0.02 0.00 0.00 0.00 0.00 0.00 0.00
55 0.00 0.00 0.00 0.01 -0.02 0.00 0.00 0.00 0.00 0.00 0.00
60 0.00 0.00 0.00 0.01 -0.01 0.00 0.00 0.00 0.00 0.00 0.00
65 0.00 0.00 0.00 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 0.00
70 0.00 0.00 0.00 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 0.00
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 Strat8 Strat9 Strat10 Total Theta
2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
25 0.00 0.01 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
30 0.00 0.01 -0.01 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00
35 0.00 0.01 -0.01 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
40 0.00 0.00 -0.01 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
45 0.00 0.00 -0.01 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
50 0.00 0.00 0.00 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
55 0.00 0.00 0.00 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
60 0.00 0.00 0.00 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
65 0.00 0.00 0.00 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
70 0.00 0.00 0.00 -0.01 0.01 0.00 0.00 0.00 0.00 0.00 0.00
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 Strat8 Strat9 Strat10 Total Vega
2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15 0.00 -0.02 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.01
20 0.00 -0.06 0.04 0.01 -0.01 0.00 0.00 0.00 0.00 0.00 -0.01
25 0.00 -0.08 0.08 0.04 -0.03 0.00 0.00 0.00 0.00 0.00 0.01
30 0.00 -0.08 0.10 0.08 -0.06 0.00 0.00 0.00 0.00 0.00 0.04
35 0.00 -0.06 0.09 0.12 -0.10 0.00 0.00 0.00 0.00 0.00 0.05
40 0.00 -0.04 0.08 0.13 -0.13 0.00 0.00 0.00 0.00 0.00 0.04
45 0.00 -0.02 0.06 0.13 -0.15 0.00 0.00 0.00 0.00 0.00 0.02
Position Gamma of Each Strategy Relative to Underlying Price Changes
Position Theta of Each Strategy Relative to Underlying Price Changes
Position Vega of Each Strategy Relative to Underlying Price Changes
Option Trading Workbook (Deb Sahoo)

11. 50 0.00 -0.01 0.04 0.12 -0.15 0.00 0.00 0.00 0.00 0.00 -0.01
55 0.00 -0.01 0.02 0.10 -0.13 0.00 0.00 0.00 0.00 0.00 -0.02
60 0.00 0.00 0.02 0.07 -0.12 0.00 0.00 0.00 0.00 0.00 -0.03
65 0.00 0.00 0.01 0.06 -0.09 0.00 0.00 0.00 0.00 0.00 -0.03
70 0.00 0.00 0.01 0.04 -0.07 0.00 0.00 0.00 0.00 0.00 -0.03
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 Strat8 Strat9 Strat10 Total Rho
2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
5 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
15 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.01
20 0.00 -0.04 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.02
25 0.00 -0.08 0.05 0.02 -0.01 0.00 0.00 0.00 0.00 0.00 -0.02
30 0.00 -0.12 0.09 0.05 -0.03 0.00 0.00 0.00 0.00 0.00 0.00
35 0.00 -0.14 0.13 0.08 -0.06 0.00 0.00 0.00 0.00 0.00 0.01
40 0.00 -0.16 0.16 0.13 -0.10 0.00 0.00 0.00 0.00 0.00 0.03
45 0.00 -0.17 0.18 0.16 -0.14 0.00 0.00 0.00 0.00 0.00 0.04
50 0.00 -0.17 0.19 0.20 -0.18 0.00 0.00 0.00 0.00 0.00 0.04
55 0.00 -0.17 0.20 0.22 -0.21 0.00 0.00 0.00 0.00 0.00 0.04
60 0.00 -0.17 0.20 0.24 -0.24 0.00 0.00 0.00 0.00 0.00 0.03
65 0.00 -0.17 0.21 0.25 -0.26 0.00 0.00 0.00 0.00 0.00 0.02
70 0.00 -0.18 0.21 0.26 -0.28 0.00 0.00 0.00 0.00 0.00 0.02
Position Rho of Each Strategy Relative to Underlying Price Changes
Option Trading Workbook (Deb Sahoo)

12. Strategy Names Strategy Setup
Company Name NetApp Inc.
Strategy Implementation Date 5/3/2013 Option Exp Date1/18/2014 Current Stock Price $34.90 Historical Volatility 40.00%
Long Syntetic Current Stock Price $34.90
NetApp Inc.
Long 40 Call
Short 40 Put
Call Backspread Current Stock Price $34.90
NetApp Inc.
Short 34 Call
Long 38 Call
Long 38 Call
P&L Plots of Various Strategies Relative to Changes in Underlying Price
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
P&L PLOTS
Option Trading Workbook (Deb Sahoo)

13. Call Bull Spread Current Stock Price $34.90
NetApp Inc.
Long 33 Call
Short 38 Call
Put Bull Spread Current Stock Price $34.90
NetApp Inc.
Long 38 Put
Short 42 Put
Option Trading Workbook (Deb Sahoo)

14. Put Bull Spread Current Stock Price $34.90
NetApp Inc. Long Stock
Short 38 Call
Long 33 Put
Put Backspread Current Stock Price $34.90
NetApp Inc.
Short 38 Put
Long 30 Put
Long 30 Put
Option Trading Workbook (Deb Sahoo)

15. Call Bearspread Current Stock Price $34.90
NetApp Inc.
Short 33 Call
Long 38 Call
Put Bearspread Current Stock Price $34.90
NetApp Inc.
Short 33 Put
Long 38 Put
Option Trading Workbook (Deb Sahoo)

16. Long Straddle Current Stock Price $34.90
NetApp Inc.
Long 33 Call
Long 33 Put
Long Straddle Current Stock Price $34.90
NetApp Inc.
Short 35 Call
Short 35 Put
Option Trading Workbook (Deb Sahoo)

17. Long Strangle Current Stock Price $34.90
NetApp Inc.
Long 38 Call
Long 30 Put
Short Strangle Current Stock Price $34.90
NetApp Inc.
Short 40 Call
Short 30 Put
Option Trading Workbook (Deb Sahoo)

18. Call Ratio Vertcal Ratio Spread Current Stock Price $34.90
NetApp Inc.
Long 34 Call
Short 45 Call
Short 45 Call
Put Ratio Vertcal Ratio Spread Current Stock Price $34.90
NetApp Inc.
Long 40 Put
Short 25 Put
Short 25 Put
Option Trading Workbook (Deb Sahoo)

19. Long Call Butterfly Current Stock Price $34.90
NetApp Inc.
Short 35 Call
Short 35 Call
Long 30 Call
Long 40 Call
Short Call Butterfly Current Stock Price $34.90
NetApp Inc.
Long 35 Call
Long 35 Call
Short 30 Call
Short 40 Call
Option Trading Workbook (Deb Sahoo)

20. Long Put Butterfly Current Stock Price $34.90
NetApp Inc.
Short 35 Put
Short 35 Put
Long 30 Put
Long 40 Put
Short Put Butterfly Current Stock Price $34.90
NetApp Inc.
Long 35 Put
Long 35 Put
Short 30 Put
Short 40 Put
Option Trading Workbook (Deb Sahoo)

21. Long Iron Condor Current Stock Price $34.90
NetApp Inc.
Long 25 Call
Short 30 Call
Short 40 Call
Long 45 Call
Short Iron Condor Current Stock Price $34.90
NetApp Inc.
Short 25 Call
Longt 30 Call
Long 40 Call
Short 45 Call
Option Trading Workbook (Deb Sahoo)

22. This worksheet show the changes in your option strategy Greeks relative to the change in the price of the underlying.
Company Name NetApp Inc.
Strategy Implementation Date 5/3/2013 Option Exp Date 1/18/2014 Current Stock Price $34.90 Historical Volatility 40.00%
Plots of Strategy Greeks Relative to Underlying Price Changes
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
2 5 10 15 20 25 30 35 40 45 50 55 60 65 70
P&L at Expiration
-0.20
-0.15
-0.10
-0.05
0.00
0.05
0.10
2 5 10 15 20 25 30 35 40 45 50 55 60 65 70
Delta
-0.02
-0.02
-0.01
-0.01
0.00
0.01
0.01
0.02
0.02
2 5 10 15 20 25 30 35 40 45 50 55 60 65 70
Gamma
-0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2 5 10 15 20 25 30 35 40 45 50 55 60 65 70
Theta
-0.04
-0.02
0.00
0.02
0.04
0.06
2 5 10 15 20 25 30 35 40 45 50 55 60 65 70
Vega
-0.03
-0.02
-0.01
0.00
0.01
0.02
0.03
0.04
0.05
2 5 10 15 20 25 30 35 40 45 50 55 60 65 70
Rho
Option Trading Workbook (Deb Sahoo)

23. Company Name NetApp Inc.
34.90$ Underlying Price
40.00$ Exercise Price
5/5/2013 Today's Date
40.00% Historical Volatility
1/18/2014 Expiry Date
2% Risk Free Rate
0% Dividend Yield
258 DTE
0.71 DTE in Years
Strike Price 10 15 20 25 30 35 40 45 50 55 60
40 0.000051 0.001937 0.010456 0.023209 0.032011 0.033348 0.029126 0.022664 0.016314 0.011132 0.007320
45 0.000012 0.000701 0.005116 0.014341 0.023934 0.029290 0.029410 0.025879 0.020793 0.015672 0.011284
50 0.000003 0.000255 0.002433 0.008403 0.016630 0.023505 0.026737 0.026262 0.023282 0.019181 0.014979
Underlying Price
Gamma vs. Underlying Price For Various Strike Price
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
-0.005000
0.000000
0.005000
0.010000
0.015000
0.020000
0.025000
0.030000
0.035000
0.040000
10 15 20 25 30 35 40 45 50 55 60
Gamma vs. Underlying Price For Various Strike Price
40 45
50
Option Trading Workbook (Deb Sahoo)

24. Company NameNetApp Inc.
34.90$ Underlying Price
40.00$ Exercise Price
5/5/2013 Today's Date
40.00% Historical Volatility
1/18/2014 Expiry Date
2% Risk Free Rate
0% Dividend Yield
258 DTE
0.71 DTE in Years
Strike Price 10 15 20 25 30 35 40 45 50 55 60
40 0.00001 0.00122 0.01171 0.04069 0.08092 0.11484 0.13111 0.12919 0.11486 0.09487 0.07426
45 0.00000 0.00044 0.00573 0.02514 0.06050 0.10087 0.13238 0.14751 0.14639 0.13355 0.11447
50 0.00000 0.00016 0.00272 0.01473 0.04204 0.08095 0.12035 0.14969 0.16391 0.16345 0.15195
Vega vs Underlying Price For Various Strike Price
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
Underlying Price
(0.05000)
0.00000
0.05000
0.10000
0.15000
0.20000
10 15 20 25 30 35 40 45 50 55 60
Vega vs Underlying Price For Various Strike Price
40 45
50
Option Trading Workbook (Deb Sahoo)

25. Company Name NetApp Inc.
34.90$ Underlying Price
40.00$ Exercise Price
5/5/2013 Today's Date
40.00% Historical Volatility
1/18/2014 Expiry Date
2% Risk Free Rate
0% Dividend Yield
258 DTE
0.71 DTE in Years
Strike Price 100 90 80 70 60 50 40 30 20 10 1
Call Theta 40 (0.0132) (0.0136) (0.0140) (0.0144) (0.0147) (0.0150) (0.0150) (0.0145) (0.0124) (0.0060) (0.0000)
Call Option Price 40 1.26 1.12 0.99 0.85 0.70 0.55 0.40 0.25 0.12 0.02 0.00
Put Theta 40 (0.0111) (0.0114) (0.0118) (0.0122) (0.0125) (0.0128) (0.0128) (0.0123) (0.0102) (0.0039) 0.0022
Put Option Price 40 6.14 6.03 5.91 5.79 5.67 5.54 5.41 5.29 5.17 5.10 5.10
Days To Expiry / Passage of Time
Decay of Call and Put Option Price Relative To Passage of Time
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
(0.0160)
(0.0140)
(0.0120)
(0.0100)
(0.0080)
(0.0060)
(0.0040)
(0.0020)
0.0000
100 90 80 70 60 50 40 30 20 10 1
Call Theta
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
100 90 80 70 60 50 40 30 20 10 1
Decay of Call Option Price
(0.0150)
(0.0100)
(0.0050)
0.0000
0.0050
100 90 80 70 60 50 40 30 20 10 1
Put Theta
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
100 90 80 70 60 50 40 30 20 10 1
Decay of Put Option Price
Option Trading Workbook (Deb Sahoo)