
Combinations of Options: Trading Strategies 315
3. Buying a put at P
H
with the high exercise price S
H
4. Writing a call at C
H
with the high exercise price S
H
e value of this box spread = C
L
– P
L
+ P
H
– C
H
= (C
L
– C
H
) – (P
L
– P
H
)
where, C
L
and C
H
represent the price of the call options with the low exercise price and high exercise
price, respectively, and P
L
and P
H
represent the price of put options with the low exercise price and high
exercise price, respectively.
Table 13.18 shows that the terminal value of a box spread is equal to the dierence in the exercise
prices, irrespective of the stock price in the market. e current value of the ...