VII.4. Accounting for garanty provision (GP). Let’s consider this question on a concrete example.

Let’s consider this question on a concrete example.

Fig.142. Options board for RTS-6.22 If we want to buy a CALL option with a strike of 122500 (central strike), then at the moment, with this volatility, GP will be for 1 option at the current demand price of 3410 rubles GP = 4383.98 rubles (Fig.143).

Рис.143. Размер ГО.

If we want to buy a CALL option with a strike of 130,000 at the current demand price of 530 rubles, GP = 975.63 rubles.

If we want to buy a CALL option with a strike of 117500 at the current demand price of 6090 rubles, GP = 8856.66 rubles. That is, at the current price of an RTS index futures worth 117500 rubles, we purchase an option with 8856.66 rubles in the account, paying 3410 rubles for the purchase. We get the option leverage of 117500/(8856.66 + 3410) = 9.58x. Remember that after the sale of the purchased option, the GP is returned to you in full, it may grow even more if the price of the underlying asset continues to increase.

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