Short description

Set up various option strategies.

Capacity

You act in the role of an option trader. You can transact exchange-listed options (call & puts of 5 series) and their listed underlying futures contract.
More specifically, you act in the capacity of aggressor.

Task

Your task is to set up the following option strategies and calculate the overall price of each of those strategies:

Long call spread
Long put spread
(At-the-money) straddle
Strangle
Even-money collar

Your task is to choose which options (series) to use and which strikes have your preference. Try to calculate the break-even points of each strategy.

Objective

The aim of this simulation is to learn about the valuation of a strategy and the impact of a price change of its underlying value. Try to identify (of each strategy) the break-even point(s), the ideal settlement price at expiration and the related profit or loss. Next, master the impact of the choice regarding the selected strike price(s). In addition, make sure you compare the strategy’s value to the value of the underlying asset.

Conclusion

At the end of the simulation, identify which strategy would have been ideal for the experienced price development of the underlying value. Be precise; define call/put, strike level, long/short, and (in case of an applied ratio) the number of options per individual leg.