Transcript Break-Even Price

Opcie a opčné stratégie
Peter KRIŠTOFÍK
Ekonomická fakulta UMB
Banská Bystrica, Slovensko
Povedali o derivátoch ...
The key to understanding derivatives is a deeper understanding of all
that's underlying. (Morgan Stanley)
Derivatives are nothing more than a set of tools. And just as a saw
can build your house, it can cut off your arm if it isn't used
properly. (Walter D. Hops)
Derivatives are not the devil incarnate. But they may not be the Holy
Grail either. (Andrew M. Coleman)
Derivatives are financial weapons of mass destruction, carrying
dangers that, while now latent, are potentially lethal. (Warren
Buffet)
Derivatives don't kill companies. People kill companies. (Anonymous)
Motívy pre obchodovanie
s derivátmi
HEDGING




Presunutie rizík na subjekty, ktoré sú ochotné a
schopné ich prevziať /zmiernenie, rozkladanie/
Elimináciu rizík je možné dosiahnuť zaujatím presne
opačných pozícií, v aktívach, ktoré sú dokonale
korelované
Zisky a straty z jednotlivých obchodov sa navzájom
kompenzujú, výsledkom čoho je zaistenie pozície
Účinný a efektívny mechanizmus riadenia finančných
rizík (trhové…kreditné)
TRADING





Dosiahnutie zisku na základe očakávaní o budúcom
vývoji kurzu a zaujatím adekvátnej pozície /Bull vs.
Bear/
Zisk vs. Riziko
Gearing/Leverage
Zostavenie jednoduchých/komplexných stratégií
Vytvorenie štruktúr s rôznou rizikovou expozíciou
/volatilita.../
ARBITRÁŽ


Dosiahnutie zisku bez podstúpenia rizika
Cenové diferencie na rôznych trhoch
medzi derivátovými trhmi v rovnakom čase
 medzi derivátovým a spotovým trhom
(cash&carry, reverse cash&carry)

•
•
Zabezpečenie efektívneho trhu bez cenových
anomálií
Existencia transakčných nákladov
Financial Engineering



Kombinácia dvoch alebo viacerých
investičných produktov na vytvorenie nového
produktu.
Vytvorenie nových resp. zdokonalenie
existujúcich finančných nástrojov a ich
použitie v existujúcich/nových oblastiach
Typickým prípadom je situácia, keď
neexistuje základný produkt, ktorý
uspokojuje potreby jednotlivých strán.
Riadenie rizík & Financial
Engineering



Reštrukturalizácia existujúcich charakteristík
finančných transakcií
Komplexné riadenie finančných rizík
Produkty použité arbitrážistami:


Synthetic long position on stock (viď neskôr)
Synthetic short position on stock (viď neskôr)
OPCIA
Opcia predstavuje právo (ale nie
povinnosť) na nákup alebo predaj
určitého podkladového aktíva za vopred
dohodnutú cenu k stanovenému dátumu
v budúcnosti.
Za toto právo zaplatí kupujúci opcie
predávajúcemu opčnú prémiu.
Typy opcií
kupujúci
(long)
predávajúci
(short)
kúpna (call)
predajná (put)
právo kúpiť
právo predať
povinnosť predať
povinnosť kúpiť
Profil zisku a straty
call opcia
+
+
Zisk
Bod zlomu
Zisk
Zisk
Exspiračná cena
Zisk
Premia
Premia
Cena bázy
Cena bázy
Exspiračná cena
Strata
Strata
Bod zlomu
-
Strata
Strata
-
long call opcia
short call opcia
Profil zisku a straty
put opcia
+
+
Bod zlomu
Zisk
Zisk
Zisk
EC
Zisk
Cena bázy
premia
premia
Cena bázy
Loss
EC
Strata
Strata
Bod zlomu
Strata
-
-
long put opcia
short put opcia
Opčné stratégie
Základné druhy stratégií
Singulárne
Prioritne zamerané na
Tradingové stratégie
dosahovanie čo najvyššieho
Kombinované
zisku pri čo najnižšom riziku.
Prioritne zamerané na
Hedgingové stratégie
zmierňovanie rizík. Sekundárny
cieľ dosahovanie zisku.
Bezriziková arbitráž
Arbitrážne stratégie
Cenové rozdiely medzi jednotlivými
Dosahovanie zisku pri
spotovými trhmi
minimálnej úrovni rizika.
(využítím cenových rozdielov)
Rozdiely medzi cenami na
spotovom a termínovom trhu
Rozdiely medzi cenami jednotlivých
nástrojov na termínovom trhu
Riziková arbitráž
Synthetic Long Position on Stock
+
+
Profit
Profit
Net option
cost
Break even
price
Profit
Strike
Price
Profit
Profit
Premium
Stock price
Premium
Stock price
Loss
Strike
Price
Loss
Loss
-
Break even
price
Long position on call
Loss
Loss
-
+
Short position on put
= Synthetic long position on
stock
Synthetic Short Position on Stock
+
+
Profit
Profit
Break even
price
Profit
Profit
Strike
price
Profit
Stock price
Premium
Stock price
Premium
Strike
price
Loss
Loss
Net option
cost
Loss
Break even
price
Loss
-
-
Long position on
put
Loss
+
Short position on call
= Synthetic short position on
stock
Ktorú stratégiu použiť?
Stock
Direction
Up
Neutral
Down
Volatility Level
Low
Neutral
High
Strategies





Covered Call Writing
Put Writing
Collar
Straddle/Strangle
Spreads


Bull Spreads
Bear Spreads
Covered Call Writing
Long Stock
3.00
2.00
1.00
-2.00
-3.00
-4.00
.5
0
21
.2
0
20
.9
0
18
.6
0
17
.3
0
16
.0
0
15
.7
0
13
.4
0
12
80
.1
0
11
-1.00
9.
8.
50
0.00
Covered Call Writing

Long Stock

3,00
2,00
1,00
-1,00
-2,00
-3,00
-4,00
9,
80
11
,1
0
12
,4
0
13
,7
0
15
,0
0
16
,3
0
17
,6
0
18
,9
0
20
,2
0
21
,5
0
8,
50
0,00

Unlimited profit
potential
Potential loss
equivalent to the
stock price
Establish a long
position as it is more
likely that the stock
price will rise than fall
Covered Call Writing
Long Stock
3,00
2,00
1,00
-2,00
-3,00
-4,00
11
,10
12
,40
13
,70
15
,00
16
,30
17
,60
18
,90
20
,20
21
,50
-1,00
9,8
0
8,5
0
0,00

Do you really
believe that the
stock will continue
to climb the next
three months?
Covered Call Writing
Long Stock

3.00
2.00
1.00
-2.00
-3.00
-4.00
.50
21
.20
20
.90
18
.60
17
.30
16
.00
15
.70
13
.40
12
0
.10
11
-1.00
9 .8
8 .5
0
0.00
If your answer is
no, then why not
sell this potential to
someone else who
believes it is
possible?
How?

Long Stock
3.00
2.00
1.00

-2.00
-3.00
-4.00
.50
21
.20
20
.90
18
.60
17
.30
16
.00
15
.70
13
.40
12
0
.10
11
-1.00
9 .8
8 .5
0
0.00

Determine an upside
target price for the
stock to reach in the
next three months
Would you be ready
to sell at this price?
If yes, sell a call
option with a strike
price close to your
target price
Covered Call Writing

Hold or buy the underlying value and
sell the call option, if you wish to:



Profit from a price increase in the underlying
value
Hedge against a small drop in the underlying
value
Generate additional income
Covered Call Writing
Long stock
Short call option
3.00
Break-Even Point
2.00
1.00
-2.00
-3.00
Strike Price
20
.50
19
.50
18
.50
17
.50
16
.50
15
.50
14
.50
13
.50
-1.00
12
.50
11
.50
0.00
Covered Call Writing
Covered call w rite position
4.00
Maximum Profit
$17.50
3.00
Break-Even Point
$14.00
2.00
1.00
-2.00
-3.00
20
.50
19
.50
18
.50
17
.50
16
.50
15
.50
14
.50
13
.50
-1.00
12
.50
11
.50
0.00
Covered Call Writing

Example

April 19th

Buy 1000 shares of ABC at $14


Debit: $14,000 (1000 shares x $14)
Sell 10 contracts ABC June 15 calls at $0.50

Credit: $500 (10 contracts x 100 shares x $0.50)
Covered Call Writing

Result

Scenario 1


The stock price is above $15
What is the profit or loss?
Covered Call Writing

Result

Scenario 2


The stock price stays at $14
What is the profit or loss?
Put Writing
Long Stock
3.00
2.00
1.00
-2.00
-3.00
-4.00
.5
0
21
.2
0
20
.9
0
18
.6
0
17
.3
0
16
.0
0
15
.7
0
13
.4
0
12
80
.1
0
11
-1.00
9.
8.
50
0.00
Put Writing
Long Stock

3.00

2.00
1.00

-2.00
-3.00
-4.00
.50
21
.20
20
.90
18
.60
17
.30
16
.00
15
.70
13
.40
12
0
.10
11
-1.00
9 .8
8 .5
0
0.00
Unlimited profit
potential
Potential loss
equivalent to the
stock price
Establish a long
position as you
believe that it is
more likely that the
stock price will rise
than fall
Put Writing

Long Stock
3.00
2.00
1.00
-2.00
-3.00
-4.00
.50
21
.20
20
.90
18
.60
17
.30
16
.00
15
.70
13
.40
12
0
.10
11
-1.00
9 .8
8 .5
0
0.00
Do you believe
that the stock
can lose its
entire value in
the next three
months?
Put Writing

Long Stock
3.00
2.00
1.00
-2.00
-3.00
-4.00
.50
21
.20
20
.90
18
.60
17
.30
16
.00
15
.70
13
.40
12
0
.10
11
-1.00
9 .8
8 .5
0
0.00
If your answer is
no, then why not
sell that potential
to someone else
who believes it is
possible?
How?

Long Stock
3.00
2.00
1.00

-2.00
-3.00
-4.00
.50
21
.20
20
.90
18
.60
17
.30
16
.00
15
.70
13
.40
12
0
.10
11
-1.00
9 .8
8 .5
0
0.00

Determine a
downside target
price for the stock to
reach in the next
three months
Would you be ready
to buy at this price?
If yes, sell a put
option with a strike
price close to your
target price
Put Writing

Hold cash and sell put options, if:




You wish to profit from a price increase in the
underlying value
You expect a small drop in price of the
underlying value
You wish to have the opportunity to buy the
underlying value at a better price
You wish to generate additional income on
the cash position
Put Writing
Short put option
1.50
1.00
Margin required to cover
potential losses
0.50
Put Price
$1.00
0.00
-0.50 .50
8
-1.00
-1.50
0
0
0
0
0
0
0
0
0
0
50
.5
.5
.5
.5
.5
.5
.5
.5
.5
.5
9.
0
1
2
3
4
5
6
7
8
9
1
1
1
1
1
1
1
1
1
1
Strike Price
$12.50
-2.00
-2.50
-3.00
-3.50
Break-Even
Point
$11.50
Put Writing

Example

April 19th

You are ready to buy 1000 ABC shares at $25


Sell 10 contracts of ABC June 25 puts at $1.00


The actual ABC stock price: $27
Credit: $1000 (10 contracts x 100 shares x $1.00)
Margin required

$25/share ($24 personal funds + $1 premium
received)
Put Writing

Result

Scenario 1

The share price falls under $25

What is the profit or loss?
Put Writing

Result

Scenario 2

The share price stays at $27

What is the profit or loss?
Collar


Hold or buy the underlying value
Buy a put option and sell a call
option, if you wish to:



Hedge against a drop in the underlying price
Profit from a price increase
Establish a hedging strategy at low cost
Collar
Long stock
2
Long put option
Put Strike Price
$12.50
1,5
Short call option
Break-Even Point
$18.35
Stock Price
$15.00
1
0,5
-1
-1,5
-2
Break-Even Point
$11.50
Call Strike Price
$17.50
20
,5
19
,5
18
,5
17
,5
16
,5
15
,5
14
,5
13
,5
12
,5
11
,5
10
,5
8,5
-0,5
9,5
0
Collar
Collar
Break-Even Point
$15.15
3.00
Maximum Loss
$12.50
2.00
1.00
-2.00
-3.00
Maximum Profit
$17.50
20
.5
19
.5
18
.5
17
.5
16
.5
15
.5
14
.5
13
.5
12
.5
11
.5
10
.5
-1.00
9.5
8.5
0.00
Collar
Collar
Break-Even Price
$15.15
Maximum Loss
3,00
$12.50
2,00
1,00
-3,00
20
,5
19
,5
18
,5
17
,5
16
,5
15
,5
14
,5
13
,5
12
,5
11
,5
10
,5
-2,00
9,
5
-1,00
8,
5
0,00
Maximum Profit
$17.50
Maximum Profit = Strike price of the call option – Stock price + Premium received – Premium paid
Maximum Loss = Stock price – Strike price of the put option – Premium received + Premium paid
Break-Even Price = Stock price + Premium received – Premium paid
Straddle

Simultaneously buy a call option and
a put option with the same strike
price and the same expiry month




Volatility play
Take advantage of leverage
Take advantage of wide swings in the price of
the underlying shares
Uncertain about the price direction
Straddle
Call option
Put option
5
4
Put Price
$1.30
3
Call Price
$1.25
2
1
0
-1
-2
10,00
11,25
12,50
13,75
15,00
16,25
17,50
18,75
20,00
Straddle
Call option
Put option
Straddle
5
4
Put Price
$1.30
3
Call Price
$1.25
Break-Even
Point
2
1
$12.45
$17.55
0
-1
10,00
11,25
12,50
13,75
15,00
16,25
-2
-3
Straddle
$2.55
17,50
18,75
20,00
Straddle
Call Option
Put Option
Straddle
5
Price of Put
$1.30
4
3
Price of Call
$1.25
Break-Even
Price
2
1
$17.55
$12.45
0
-1
10,00
11,25
12,50
13,75
-2
-3
15,00
16,25
17,50
18,75
20,00
Price of
Straddle
$2.55
Maximum Profit = Unlimited
Maximum Loss = Cost of premiums paid
Break-Even Price = Strike Price – Premium and strike price + Premium
Strangle


A strangle is a close cousin of a
straddle
A strangle strategy also requires the
simultaneous buy of a call option and
a put option with the same expiry
month but with different strike prices
(Out-of-the-money)
Strangle
Call option
4
Strangle
Break-Even
Prices
Put Price
$0.90
3
Put option
Call Price
$0.75
2
1
0
-1
-2
-3
-4
$11.35
00
,
9
00
,
10
00
,
11
$18.65
00
,
12
00
,
13
00
,
14
00
,
15
00
,
16
Strangle
$1.65
00
,
17
00
,
18
00
,
19
00
,
20
00
,
21
Strangle
Call Option
4
3
Strangle
Break-Even
Price
Price of Put
$0,90
2
Put Option
Price of Call
$0.75
1
0
-1 ,00
9
-2
$18.65
$11.35
0
,0
10
0
,0
11
0
,0
12
-3
-4
0
,0
13
0
,0
14
0
,0
15
0
,0
16
0
,0
17
0
,0
18
0
,0
19
0
,0
20
0
,0
21
Price of
Strangle
$1.65
Maximum Profit = Unlimited
Maximum Loss = Cost of premiums paid
Break-Even Price = Strike price (X1) – Premium and strike price (X2) + Premium
Covered Strangle

Hold or buy the underlying value and simultaneously sell an
out-of-the-money call option and a put option with the same
expiry month, for a quantity equivalent to the shares held, if
you wish to:
 Profit from a price increase in the underlying value
 Hedge against a small drop in the underlying value
 A small drop in the underlying price is expected
 Have the opportunity to buy the underlying at
a better price
 Generate additional income on the share position
 Generate additional income on the cash position
Covered Strangle
Call option
Put option
4
3
2
1
0
-1
-2
-3
-4
9,00 10,00 11,00 12,00 13,00 14,00 15,00 16,00 17,00 18,00 19,00 20,00 21,00
Put Price
$0.90
Call Price
$0.75
Covered Strangle
Call option
4
3
Strangle
$1.65
2
Put option
Strangle
Break-Even
Price
1
0
-1
$11.35
$18.65
9,00 10,00 11,00 12,00 13,00 14,00 15,00 16,00 17,00 18,00 19,00 20,00 21,00
-2
-3
-4
Put Option
$0.90
Call Option
$0.75
Covered Strangle
Strangle
Break-Even
Price
Strangle
$1.65
$11.35
$18.65
10
,0
0
11
,0
0
12
,0
0
13
,0
0
14
,0
0
15
,0
0
16
,0
0
17
,0
0
18
,0
0
19
,0
0
20
,0
0
21
,0
0
9,
00
4,00
3,00
2,00
1,00
0,00
-1,00
-2,00
-3,00
-4,00
Stock
Long Stock
$15
Covered Strangle
Combined position
Break-Even
Price
$13.35
Limited profits
following the sale
of the initial share
position
10
,0
0
11
,0
0
12
,0
0
13
,0
0
14
,0
0
15
,0
0
16
,0
0
17
,0
0
18
,0
0
19
,0
0
20
,0
0
21
,0
0
9,
00
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
Steeper loss line
Twice more shares
Covered Strangle
Combined Position
Break-Even
Price
$13.35
Capped profits
following sale of
initial position
10
,0
0
11
,0
0
12
,0
0
13
,0
0
14
,0
0
15
,0
0
16
,0
0
17
,0
0
18
,0
0
19
,0
0
20
,0
0
21
,0
0
9,
00
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
Rapidly increasing
losses
Twice more shares
Maximum Profit = Strike price of the call option – Stock price + Premiums received
Maximum Loss = Stock price – Premiums received
Break-Even Price = Stock price – Premiums received
Spreads

Simultaneous buy and sell of options
(calls or puts)

Bull spread



With call options
With put options
Bear spread


With call options
With put options
Bull Spreads

Bull spread


Purchase of an option financed in part by the sale of
another option with a higher strike price
Bull call spread






ABC = $15
Buy ABC June 15 C (X1) = $2.50
Sell ABC June 20 C (X2) = $0.50
Net cost of options = Sale (X2) – Purchase (X1)
Net cost of options = $0.50 - $2.50 = -$2.00
Net cost of options = $2.00 Debit
Bull Call Spread
Long call position
Short call position
8,00
Short Call
Price (X2)
$0.50
6,00
4,00
Long Call
Price (X1)
$2.50
2,00
-4,00
24
,0
0
23
,0
0
22
,0
0
21
,0
0
20
,0
0
19
,0
0
18
,0
0
17
,0
0
16
,0
0
15
,0
0
14
,0
0
13
,0
0
-2,00
12
,0
0
11
,0
0
0,00
Bull Call Spread
Bull Call Spread - Profit and Loss
Maximum Profit
$3.00
4,00
Break-Even Price
$17.00
3,00
2,00
1,00
-2,00
-3,00
24
,0
0
23
,0
0
22
,0
0
21
,0
0
20
,0
0
19
,0
0
18
,0
0
17
,0
0
16
,0
0
15
,0
0
14
,0
0
13
,0
0
-1,00
12
,0
0
11
,0
0
0,00
Maximum Loss
$2.00
Maximum Profit = X2 – X1 – Net cost of options ($20 - $15 - $2 = $3)
Maximum Loss = Net cost of options ($2)
Break-Even Price = X1 + Net cost of options ($15 + $2 = $17)
Bull Spreads

Bull spread


Purchase of an option financed in part by the sale of
another option with a higher strike price
Bull put spread





ABC = $20
Buy ABC June 15 P (X1) = $0.50
Sell ABC June 20 P (X2) = $2.50
Net premium received = Sale (X2) – Purchase (X1)
Net premium received = $2.50 - $0.50 = $2.00 credit
Bull Put Spread
Long put position
Short put position
4,00
Short Put
Price (X2)
$2.50
2,00
-4,00
-6,00
-8,00
Long Put
Price (X1)
$0.50
24
,0
0
23
,0
0
22
,0
0
21
,0
0
20
,0
0
19
,0
0
18
,0
0
17
,0
0
16
,0
0
15
,0
0
14
,0
0
13
,0
0
-2,00
12
,0
0
11
,0
0
0,00
Bull Put Spread
Bull Put Spread - Profit and Loss
3,00
Maximum Profit
$2.00
Break-Even Price
$18.00
2,00
1,00
24
,0
0
23
,0
0
22
,0
0
21
,0
0
20
,0
0
19
,0
0
18
,0
0
17
,0
0
16
,0
0
15
,0
0
14
,0
0
13
,0
0
-1,00
12
,0
0
11
,0
0
0,00
-2,00
-3,00
-4,00
Maximum Loss
$3.00
Maximum Profit = Net cost of options ($2)
Maximum Loss = X2 – X1 – Net cost of options ($20 - $15 - $2 = $3)
Break-Even Price = X2 – Net cost of options ($20 - $2 = $18)
Bear Spreads

Bear spreads


Purchase of an option financed in part by the sale of
another option with a lower strike price
Bear call spread





ABC = $15
Sell ABC June 15 C (X1) = $2.50
Buy ABC June 20 C (X2) = $0.50
Net premium received = Sale (X1) – Purchase (X2)
Net premium received = $2.50 - $0.50 = $2.00 credit
Bear Call Spreads
Short call position (X1)
Long call position (X2)
4,00
Short Call
Price (X1)
$2.50
2,00
-4,00
-6,00
-8,00
Long Call
Price (X2)
$0.50
24
,0
0
23
,0
0
22
,0
0
21
,0
0
20
,0
0
19
,0
0
18
,0
0
17
,0
0
16
,0
0
15
,0
0
14
,0
0
13
,0
0
-2,00
12
,0
0
11
,0
0
0,00
Bear Call Spread
Bear Call Spread - Profit and Loss
3,00
Maximum Profit
$2.00
Break-Even Price
$17.00
2,00
1,00
24
,0
0
22
,0
0
23
,0
0
21
,0
0
19
,0
0
20
,0
0
17
,0
0
18
,0
0
15
,0
0
16
,0
0
14
,0
0
-1,00
12
,0
0
13
,0
0
11
,0
0
0,00
-2,00
-3,00
-4,00
Maximum Loss
$3.00
Maximum Profit = Net cost of options ($2)
Maximum Loss = X2 – X1 – Net cost of options ($20 - $15 - $2 = $3)
Break-Even Price = X2 – Net cost of options ($20 - $3 = $17)
Bear Spreads

Bear spreads


Purchase of an option financed in part by the sale of
another option with a lower strike price
Bear put spread






ABC = $20
Sell ABC June 15 P (X1) = $0.50
Buy ABC June 20 P (X2) = $2.50
Net cost of options = Sale (X1) – Purchase (X2)
Net cost of options = $0.50 - $2.50 = -$2.00
Net cost of options = $2.00 Debit
Bear Put Spread
Short put position
Long put position
8,00
6,00
Short Put
Price (X1)
$0.50
4,00
2,00
-4,00
Long Put
Price (X2)
$2.50
24
,0
0
23
,0
0
22
,0
0
21
,0
0
20
,0
0
19
,0
0
18
,0
0
17
,0
0
16
,0
0
15
,0
0
14
,0
0
13
,0
0
-2,00
12
,0
0
11
,0
0
0,00
Bear Put Spread
Bear Put Spread - Profit and Loss
4,00
3,00
Maximum Profit
$3.00
Break-Even Price
$18.00
2,00
1,00
24
,0
0
23
,0
0
22
,0
0
21
,0
0
20
,0
0
19
,0
0
18
,0
0
17
,0
0
16
,0
0
15
,0
0
14
,0
0
13
,0
0
-1,00
12
,0
0
11
,0
0
0,00
-2,00
-3,00
Maximum Loss
$2.00
Maximum Profit = X2 – X1 – Net cost of options ($20 - $15 - $2 = $3)
Maximum Loss = Net cost of options ($2)
Break-Even Price = X2 – Net cost of options ($20 - $2 = $18)
Which Strategy?
Which Strategy?
Stock
Direction
Volatility Level
Low
Neutral
High
Up
Buy Calls
Bull Spreads
Calls: (B) ATM/(S) OTM
Puts: (B) ATM/(S) ITM
Buy the stock
Put Writing
Covered Call Writing
Bull Spreads
Calls: (B) ITM/(S) ATM
Puts: (B) OTM/(S) ATM
Neutral
Buy
Straddle/Strangle
Go on vacation
Write
Straddle/Strangle
Down
Buy Puts
Bear Spreads
Calls: (B) ATM/(S) ITM
Puts: (B) ATM/(S) OTM
Sell the stock
Call Writing
Bear Spreads
Calls: (B) OTM/(S) ATM
Puts: (B) ITM/(S) ATM
ITM = In-the-money
ATM = At-the-money
OTM = Out-of-the-money
(B) = Buy
(S) = Sell
Source : Sheldon Natenveg, Option Volatility Pricing: Advanced Trading Strategies & Techniques, McGraw-Hill Publishers