जेव्हा इन्व्हेस्टर अंतर्निहित ॲसेट्समध्ये अस्थिरतेची अपेक्षा करतो तेव्हा दीर्घ इस्त्री बटरफ्लाय अंमलात आणले जाते. कालबाह्यतेनंतर पर्यायांच्या पंखांच्या बाहेर हालचाली कॅप्चर करण्यासाठी ही धोरण सुरू केली जाते. It is a limited risk and a limited reward strategy. A Long Iron Butterfly could also be considered as a combination of bull call spread and bear put spread.
When to initiate a Long Iron Butterfly
A Long Iron Butterfly spread is best to use when you expect the underlying assets to move sharply higher or lower but you are uncertain about direction. Also, when the implied volatility of the underlying assets falls unexpectedly and you expect volatility to shoot up, then you can apply Long Iron Butterfly strategy.
How to construct a Long Iron Butterfly?
A Long Iron Butterfly can be created by buying 1 ATM call, Selling 1 OTM call, buying 1 ATM put and selling 1 OTM put of the same underlying security with the same expiry. ट्रेडरच्या सोयीनुसार स्ट्राईक प्राईस कस्टमाईज केली जाऊ शकते; तथापि, अप्पर आणि लोअर स्ट्राईक मध्यम स्ट्राईकपासून समान असणे आवश्यक आहे.
चला उदाहरणासह समजून घेण्याचा प्रयत्न करूया:
समजा निफ्टी 9200 वर ट्रेड करीत आहे. An investor Mr A thinks that Nifty will move drastically in either direction, below lower strike or above higher strike by expiration. So he enters a Long Iron Butterfly by buying a 9200 call strike price at Rs 70, selling 9300 call for Rs 30 and simultaneously buying 9200 put for Rs 105, selling 9100 put for Rs 65. The net premium paid to initiate this trade is Rs 80, which is also the maximum possible loss.
This strategy is initiated with a view of movement in the underlying security outside the wings of higher and lower strike price in Nifty. Maximum profit from the above example would be Rs 1500 (20*75). Maximum loss will also be limited up to Rs 6000 (80*75).
For the ease of understanding of the payoff, we did not take in to account commission charges. कालबाह्यतेच्या विविध परिस्थितीचा विचार करून पेऑफ चार्ट आणि पेऑफ शेड्यूल खालीलप्रमाणे आहे.
पेऑफ चार्ट:
पेऑफ शेड्यूल:
कालबाह्य होण्यापूर्वी ऑप्शन्स ग्रीक्सचा परिणाम:
Delta: The net Delta of a Long Iron Butterfly spread remains close to zero if underlying assets remain at middle strike. Delta will move towards 1 if underlying expires above higher strike price and Delta will move towards -1 if underlying expires below the lower strike price.
Vega: Long Iron Butterfly has a positive Vega. Therefore, one should buy Long Iron Butterfly spread when the volatility is low and expect to rise.
Theta: With the passage of time, if other factors remain same, Theta will have a negative impact on the strategy.
Gamma: This strategy will have a long Gamma position, so the change in underline assets will have a positive impact on the strategy.
रिस्क कशी मॅनेज करावी?
A Long Iron Butterfly is exposed to limited risk but risk involved is higher than the net reward from the strategy, one can keep stop loss to further limit the losses.
Analysis of Long Iron Butterfly strategy:
A Long Iron Butterfly spread is best to use when you are confident that an underlying security will move significantly. Another way by which this strategy can give profit is when there is an increase in implied volatility. However, this strategy should be used by advanced traders as the risk to reward ratio is high.
