Investment bricks

Calculation of parameters of product with 100% capital protection and return of up to 6%
Product parameters
Sum = 10 000
Protection = 100%
Direction = Long (all operations with Call options)
Income = up to 6%
Underlying Asset = AAPL
Current price of the underlying asset = 145,86
Еxpiration date = 15.09.2023
Formation date = 11.11.2022
Return on the protective asset = 4% per annum (including commissions)
The protective asset = LendingRobot
Commission for one options contract = 5
Options turnover commission = 1%
The product consists of the Protective part and the Revenue part
Product Formation
Protective part
The protective part is needed to ensure the protection of capital at the time of expiration. The size of the protective part is calculated in such a way as to achieve the selected protection by the time of expiration, taking into account the return on the protective asset. The commission for transactions with the protective part is included in the return.
The protective asset is set at 9 673.49. There are 308 days to go to product expiration date.
The amount of the protective asset at the time of product expiration including the yield of the protective asset is determined according to the following formula:

Deff_amount_exp=9673.49*(1+0.04*308/365)=10000

The capital required at the time of expiration to ensure capital protection = 10000 * 100% = 10000.
The amount of the protective part at the time of expiration is equal to the amount of capital required to ensure capital protection.
In such manner, 100% capital protection is ensured, regardless of what happens to the revenue part.
Revenue part
For the revenue part, 326.51 is allocated. One option AAPL3IFC170000 is purchased at a price of 10.7, this is 1070. One option AAPL3IFC175000 is sold at a price of 8.75, this is 875. We pay 1070 and obtain 875, the cost of purchasing the option pattern = 1070 - 875 = 195.
The commission for 2 contracts is 5 * 2 = 10. The turnover commission = (1070 + 875) * 0.01 = 19.45.
Balance = 326.51 - 195 - 10 - 19.45 = 102.06.
Scenarios at the time of product expiration
The price of the underlying asset reached the target level at the expiration time
If at the expiration time (September 15, 2023) the share price is greater than or equal to 175 (the strike price of the sold option), then the product will have a total return. In this case, we buy one lot of shares at a price of 170 under the purchased option and sell one lot of shares at a price of 175 under the sold option.
Total income = (175 – 170) * 100 = 500
Total capital at the end of product expiration = 10000 + 500 + 102.6 = 10602.06
Net income = 10602.06 – 10000 = 602.06
Net income as a percentage = 602.06 / 10000 = 6.02%
In this way, total return is achieved.
The price of the underlying asset did not reach the strike level of the purchased option
If at the expiration time (09/15/2023) the share price is less than 170 (the strike price of the purchased option), then both options will be out of the money and will be written off.
The protective part and balance will remain on the product = 10000 + 102.06 = 10102.06
Net income on the product = 102.06
Net income on the product as a percentage = 102.06 / 10000 = 1.02%
Capital protection is ensured in this manner.
The price of the underlying asset is between strike prices at the time of expiration
If at the expiration time (09/15/2023) the share price is between the strike prices, i.e. more than 170 and less than 175, partial return will be achieved on the product. Let us presume that the share price at the expiration time is 173. In this case, we buy one lot of shares at a price of 170 under the purchased option and sell this lot at a market price of 173. The sold option is out of the money and it will simply be written off.
Total income = (173 – 170) * 100 = 300
Total capital at the end of product expiration = 10000 + 300 + 102.6 = 10402.06
Net income = 10402.06 – 10000 = 402.06
Net income as a percentage = 402.06 / 10000 = 4.02%
In this way, partial return is achieved.

Product parameters

Sum = 10 000
Protection = 90%
Direction = Long (all operations with Call options)
Income = up to 15%
Underlying Asset = AAPL
Current price of the underlying asset = 145,86
Еxpiration date = 15.09.2023
Formation date = 11.11.2022
Return on the protective asset = 4% per annum (including commissions)
The protective asset = LendingRobot
Commission for one options contract = 5
Options turnover commission = 1%
The product consists of the Protective part and the Revenue part
Product Formation

Protective part
The protective part is required to ensure the protection of capital at the time of expiration. The amount of the protective part is calculated in such a way as to achieve the selected protection by the time of expiration, taking into account return on the protective asset. The commission for transactions with the protective part is included in the return.
For the protective asset, 8706.14 is allocated. The product is to expire in 308 days.
The amount of the protective asset at the time of product expiration including the yield of the protective asset is determined according to the following formula:

Deff_amount_exp=8706.14*(1+0,04*308/365)=9000


The capital required at the time of expiration to comply with capital protection requirements = 10000 * 90% = 9000.
The amount of the protective part at the time of expiration is equal to the amount of capital required to ensure capital protection.
In such manner, 90% capital protection is ensured, regardless of what happens to the revenue part. 
Revenue part
For the revenue part, 1 293.86 is allocated. Five options AAPL3IFC165000 are purchased at a price of 12.45, this is 6225. Five options AAPL3IFC170000 are sold at a price 10.35, this is 5175. We pay 6225 and obtain 5175, the cost of purchasing the option pattern = 6225 – 5175 = 1050.
The commission for 10 contracts is 5*10 = 50. The turnover commission = (6225 + 5175) *0.01 = 114.
Balance = 1 293.86 – 1050 – 50 – 114 = 79.86.



Scenarios at the time of product expiration
The price of the underlying asset reached the target level at expiration time
If at the expiration time (15.09.2023) the share price is greater than or equal to 170 (the strike price of the option being sold), then the product will yield a total return. In this case, we buy five lots of shares at a price of 165 under the purchased option and sell five lots of shares at a price of 170 under the sold option.
Total income = (170 – 165) * 500 = 2500
Total capital at the end of product expiration = 9000 + 2500 + 79.86 = 11 579.86
Net income = 11 579.86 – 10000 = 1 579.86
Net income as a percentage = 1 579.86 / 10000 = 15.8%
In this way, total return is ensured.
The price of the underlying asset did not reach the strike level of the purchased option
If at the expiration time (15.09.2023) the share price is less than 165 (the strike price of the purchased option), then both options will be out of the money and will be written off.
The protective part and balance will remain on the product = 9000 + 79.86 = 9 079.86
Net income on the product = 9 079.86 – 10000 = -920.14
Net income on the product as a percentage = -920.14 / 10000 = -9.2%
As a result of the protection, we may lose no more than 10%. The losses amounted to 9.2%, which is less than the possible losses.
Capital protection is ensured in this manner.
The price of the underlying asset is between strike prices at the expiration time
If at the expiration time (15.09.2023) the share price is between the strike prices, i.e. more than 165 and less than 170, partial return will be achieved on the product. Let us presume that the share price at the time of expiration is 168. In this case, we buy five lots of shares at a price of 165 under the purchased option and sell these five lots at a market price of 168. The sold option is out of the money and will simply be written off.
Total income = (168 – 165) * 500 = 1500
Total capital at the time of product expiration = 9000 + 79.86 + 1500 = 10 579.86
Net income = 10 579,86 – 10000 = 579.86
Net income as a percentage = 579.86 / 10000 = 5.8%
In this way, partial return is achieved.

Product parameters
Sum = 10 000
Protection = 85%
Direction = Long (all operations with Call options)
Income = up to 22.5%
Underlying asset = AAPL
Current price of the underlying asset =145.86
Expiration date =15.09.2023
Formation date =11.11.2022
Return on the protective asset =4% per annum (including commissions)
The protective asset = LendingRobot
Commission for one options contract =5
Options turnover commission = 1%
The product consists of the Protective part and the Revenue part.
Product formation
Protective part
The protective part is required to ensure capital protection at the time of expiration. The size of the protective part is calculated in such a manner as to ensure, at the time of expiration, the selected protection, taking into account the yield of the protective asset. The commission for transactions with the protective part is included in the yield.
The protective asset is set at 8 222.47; there are 308 days to go to product expiration date.
The amount of the protective asset at the time of product expiration including the yield of the protective asset is arrived at according to the following formula:

Deff_amount_exp=8222.47*(1+0.04*308/365)=8500

The required capital at the expiration time to ensure capital protection is = 10000 * 85% = 8500.
The amount of the protective part at the expiration time is equal to the amount of capital required to ensure capital protection.
Capital protection of 85% is ensured in this manner no matter what happens to the revenue part.
Revenue part
For the revenue part, 1 777.53 is allocated. Eight AAPL3IFC175000 options are purchased at the price of 9.15, this is 7320. Eight AAPL3IFC180000 options are sold at the price of 7.35, this is 5880. We pay 7320 and obtain 5880; the costs of purchasing the option pattern = 7320 – 5880 = 1 440.
The commission for 16 contracts is 5*16 = 80. The turnover commission = (7320 + 5880) *0.01 = 132.
Balance = 1 777.53 – 1 440 – 80 – 132 = 125.53.
Scenarios at the time of product expiration
The price of the underlying asset reached the target level at expiration time
If at the expiration time (15.09.2023) the share price is higher than or equal to 180 (the strike of the sold option), then the product will have a total return. In this case we buy 8 share lots at a price of 175 under the purchased option and we sell 8 share lots at a price of 180 under the sold option.
Total income = (180 – 175) * 800 = 4000
Total capital at the end of product expiration = 8500 + 4000 + 125.53 = 12 625.53
Net income = 12 625.53 – 10000 = 2 625.53
Net income as a percentage = 2 625.53 / 10000 = 26.2%
In this way, total return is ensured.
The underlying asset price did not reach the strike level of the purchased option
If at the expiration time (15.09.2023) the share price is lower than 175 (the strike price of the purchased option), then both options will be out of the money and will be written off.
The protective part and balance will remain on the product = 8500 + 125.53 = 8 625.53
Net income on the product = 8 625.53 – 10000 = -1 374.47
Net income on the product as a percentage = -1 374.47 / 10000 = -13.7%
As a result of protection, we cannot lose more than 15%; the actual losses amounted to 13.7%, which is less than the possible losses.
Capital protection is ensured in this manner.
The underlying asset price is between strike prices at expiration time
If at the expiration time (15.09.2023) the share price is between the strike prices, i.e., higher than 175 and lower than 180, partial return will be achieved on the product. Let us assume that at the expiration time the share price is 177. In this case, we buy 8 share lots at a price of 175 under the purchased option and sell these 8 lots at the market price of 177. The sold option is out of the money and it will simply be written off.
Total income = (177 – 175) * 800 = 1600
Total capital at the end of product expiration = 8500 + 125.53 + 1600 = 10 225.53
Net income = 10 225.53 – 10000 = 225.53
Net income as a percentage = 225.53 / 10000 = 2.2%
In this way, partial return is achieved.