This strategy involves buying one in-the-money (ITM) call, selling one ITM call with a lower strike, selling one out-of-the-money (OTM) call with a higher middle strike, and buying one OTM call with an even higher strike. The maximum loss is limited to the net debit paid to open the position. The maximum gain occurs if the underlying asset closes between the two short call strikes. There are two break-even points: one where the asset closes above the lower long call strike plus premiums paid, and one where it closes below the higher long call strike minus premiums paid.

2. LONG CALL CONDOR
It consist of
 Buying 1 ITM Call (Lower Strike)
 Selling 1 ITM Call (Lower Middle)
 Selling 1 OTM Call (Higher Middle)
 Buying 1 OTM Call (Higher Strike)
Volatility
All other things being equal, an increase in implied volatility if the underlying is
between the two short strikes when established would have a negative impact on
this strategy. As with most strategies however, the impact of implied volatility
changes will depend on strike selection relative to the stock price when the
position is established

3. LONG CALL CONDOR
Maximum Loss
The maximum loss is limited to the net debit paid
Maximum gain
The maximum gain would occur if the underlying
security is between the two short call strikes
(Lowest short call strike – lowest long call strike) – Net premium paid
Breakeven
There are two breakeven points. This strategy breaks even if at expiration the
underlying security is above the lower long call strike plus the amount of
premium paid to initiate the position or if the underlying is below the highest
long call strike less the premium paid.
Downside breakeven = lowest long call strike + net debit paid
Upside breakeven = highest long call strike - net debit paid

4. LONG CALL CONDOR
•Assignment Risk
•Expiration Risk

5. CMP=100
Buy 1 ITM Call
Option Strike Price (Rs.) 80
Premium (Rs.) 10
Sell 1 ITM Call
Option Strike Price (Rs.) 90
Premium (Rs.) 6
Sell 1 OTM Call
Option Strike Price (Rs.) 110
Premium (Rs.) 4
Buy1 OTM Call
Option Strike Price (Rs.) 120
Premium (Rs.)
2
LONG CALL CONDOR
Example @ INDIAN HOTELS COMPANY LTD

6. On expiry IHC
Closes at
Net Payoff from 1
ITM Call
purchased (Rs.)
Net Payoff from
1 ITM Call sold
(Rs.)
Net Payoff from
1 OTM Call
sold (Rs.)
Net Payoff
from 1 OTM
Call purchased
(Rs.)
Net
Payoff
(Rs.)
40 -10 6 4 -2 -2
50 -10 6 4 -2 -2
60 -10 6 4 -2 -2
70 -10 6 4 -2 -2
80 -10 6 4 -2 -2
82(82-80)-10=-8 6 4 -2 0
90(90-80)-10)=0 6 4 -2 8
100(100-80)-10=10 (90-100)+6=-4 4 -2 8
110 20(90-110)+6=-14 4 -2 8
118 28(90-118)+6=-22 (110-118)+4=-4 -2 0
120 30 -24(110-120)+4=-6 -2 -2
130 40 -34 -16(130-120)-2=8 -2
140 50 -44 -26(140-120)-2=18 -2
150 60 -54 -36(150-120)-2=28 -2

8. CMS Business School Jain University