Option strategy for exporters with lock downside risk for March 2020
|The given strategy is beneficial for the exporters who want to lock downside risk while at the same time want to gain an upside participation upto a certain extent.
Risk reversal strategy for Exporter (April 2020 expiry)
Buy Put 75.00 strike @0.70
Sell Call 76.50 strike @0.60
Net premium to be paid 10 paise
Scenario analysis for month end expiry
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Expiry below 75.00 = Rate locked 74.90
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Expiry between 75.00 – 76.50 , Rate will be spot – premium paid (10 paise)
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Eg: if expiry rate is 76.00, your outright rate will be (76.00-0.10) = 75.90
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Expiry above 76.50= rate locked 76.40
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