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Hedging Breakeven Calculator

The document appears to contain information about futures trading, including: - A futures position of 75 units of CESC bought at Rs. 6020-6046.6 - Theoretical future prices for CESC ranging from Rs. 797.3 to Rs. 805.5 over various dates - Acceptable loss percentage of 10% and risk/reward ratio of 0.5 - Several option Greeks (delta, implied volatility, etc.) listed but showing as #VALUE! errors - Calculations for futures profit/loss, brokerage, taxes and overall P&L at different future price points

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jitendrasutar
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© © All Rights Reserved
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171 views

Hedging Breakeven Calculator

The document appears to contain information about futures trading, including: - A futures position of 75 units of CESC bought at Rs. 6020-6046.6 - Theoretical future prices for CESC ranging from Rs. 797.3 to Rs. 805.5 over various dates - Acceptable loss percentage of 10% and risk/reward ratio of 0.5 - Several option Greeks (delta, implied volatility, etc.) listed but showing as #VALUE! errors - Calculations for futures profit/loss, brokerage, taxes and overall P&L at different future price points

Uploaded by

jitendrasutar
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
You are on page 1/ 11

Futures

Sr. No. Stock Name Position Qty Lot Buy Sell


1 CESC Buy 75 1 6020 6046.6

Theoratical Price 29-Aug-19 797.3 3.0


26-Sep-19 800.9 31.0
31-Oct-19 805.5 66.0
Acceptable Loss % = 10%
Risk / Reward Ratio = 0.5

Spot Price Strike Price Expiry date Implied Volatility CE Price CE Delta
796.9 790 25-Aug-19 23% #VALUE! #VALUE!
Risk free Interest Dividend rate Expiry in Days Rf
0.08 0% -1.0 6% PE Price PE Delta
Expiry in Years d1 d2 nd1 #VALUE! #VALUE!
-0.00274 #VALUE! #VALUE! #VALUE!
nd2
#VALUE!
0.05000% 0.000199931
Futures Options
Brokerage Taxes Net Profit Option Type Strike Spot Buy Sell Brokerage Taxes
276.7 134.6 1584 Put 790 796.9 135 130 190.0 60.1
Net Profit Overall
-625 959
Spot Price Strike Price Qty Expiry date Implied Volatility CE Price CE Delta PE Price PE Delta
786.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
787.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
788.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
789.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
790.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
791.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
792.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
793.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
794.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
795.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
796.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
797.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
798.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
799.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
800.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
801.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
802.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
803.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
804.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
805.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
806.9 790 75 25-Aug-19 51% #VALUE! #VALUE! #VALUE! #VALUE!
Risk free Interest Dividend rate Expiry in Days Rf Expiry in Years d1 d2 nd1 nd2
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
8% 0% -1.0 6% -0.00274 #VALUE! #VALUE! #VALUE! #VALUE!
Brokerage Taxes Net Impact Brokerage Taxes Net Impact
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
20 ### #VALUE! 20 #VALUE! #VALUE!
0.05000% 0.0001999314
Future Price Qty Brokerage Taxes Futures PE Options Overall
6010 75 20.0 88.3 -858 #VALUE! #VALUE!
6011 75 20.0 88.3 -783 #VALUE! #VALUE!
6012 75 20.0 88.3 -708 #VALUE! #VALUE!
6013 75 20.0 88.3 -633 #VALUE! #VALUE!
6014 75 20.0 88.3 -558 #VALUE! #VALUE!
6015 75 20.0 88.4 -483 #VALUE! #VALUE!
6016 75 20.0 88.4 -408 #VALUE! #VALUE!
6017 75 20.0 88.4 -333 #VALUE! #VALUE!
6018 75 20.0 88.4 -258 #VALUE! #VALUE!
6019 75 20.0 88.4 -183 #VALUE! #VALUE!
6020 75 20.0 88.4 -108 #VALUE! #VALUE!
6021 75 20.0 88.4 -33 #VALUE! #VALUE!
6022 75 20.0 88.4 42 #VALUE! #VALUE!
6023 75 20.0 88.4 117 #VALUE! #VALUE!
6024 75 20.0 88.4 192 #VALUE! #VALUE!
6025 75 20.0 88.4 267 #VALUE! #VALUE!
6026 75 20.0 88.4 342 #VALUE! #VALUE!
6027 75 20.0 88.4 417 #VALUE! #VALUE!
6028 75 20.0 88.4 492 #VALUE! #VALUE!
6029 75 20.0 88.4 567 #VALUE! #VALUE!
6030 75 20.0 88.4 642 #VALUE! #VALUE!
800

600

400

200

0
6005 6010f(x) = 6015 6020 6025 6030 6035
R² = 0
-200

-400

-600

-800

-1000
6030 6035
0.05000% 0.000199931
Future Price Qty Brokerage Taxes Futures CE Option Overall 800
6010 75 20.0 88.3 642 #VALUE! #VALUE!
6011 75 20.0 88.3 567 #VALUE! #VALUE! 600
6012 75 20.0 88.3 492 #VALUE! #VALUE!
6013 75 20.0 88.3 417 #VALUE! #VALUE! 400
6014 75 20.0 88.3 342 #VALUE! #VALUE!
6015 75 20.0 88.4 267 #VALUE! #VALUE! 200
6016 75 20.0 88.4 192 #VALUE! #VALUE!
6017 75 20.0 88.4 117 #VALUE! #VALUE! 0
6005
6018 75 20.0 88.4 42 #VALUE! #VALUE!
6019 75 20.0 88.4 -33 #VALUE! #VALUE! -200

6020 75 20.0 88.4 -108 #VALUE! #VALUE!


-400
6021 75 20.0 88.4 -183 #VALUE! #VALUE!
6022 75 20.0 88.4 -258 #VALUE! #VALUE!
-600
6023 75 20.0 88.4 -333 #VALUE! #VALUE!
6024 75 20.0 88.4 -408 #VALUE! #VALUE!
-800
6025 75 20.0 88.4 -483 #VALUE! #VALUE!
6026 75 20.0 88.4 -558 #VALUE! #VALUE! -1000
6027 75 20.0 88.4 -633 #VALUE! #VALUE!
6028 75 20.0 88.4 -708 #VALUE! #VALUE!
6029 75 20.0 88.4 -783 #VALUE! #VALUE!
6030 75 20.0 88.4 -858 #VALUE! #VALUE!
800

600

400

200

0
6005 6010f(x) = 6015 6020 6025 6030 6035
R² = 0
-200

-400

-600

-800

-1000

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