This looks interesting, but let me make sure i got my math right…
Ok, so that means your long call option won’t be profitable until it reaches above 1.3145 (1.2900 strike + .0245(purchase price)).
And by 1.3145, your short spot position [1M EUR/USD] will be down 192.7 pips [1.3145 - 1.29523], or -$19,270 (192.7 pips * $100 [value per pip on 1M position of EUR/USD]). But that will be offset by the short put that you received .0190 pips on a 1.5M unit EUR/USD contract. That would be worth $28,500 (190 pip premium price * $150 [value per pip on 1.5M EUR/USD]. That’s a profit of at least $9,230 if the pair closes above 1.3145 at expiration.
So, the breakeven price is 1.30835
($9,230[put & short spot profit diff.]/ $150 [value per pip on short put contract])= 61.5 pips. Breakeven call price is 1.3145 - 61.5 pips = 1.30835.
So, the true breakeven price if EUR/USD rises is when it closes above 1.30835 by expiration.
If EUR/USD falls below 1.2900, then you lose your premium on the long call option 245 pips or -$24,500 ([$100/pip on 1M EUR/USD] * 245 pip buy price). But the short spot position gains. So, it would have to fall 245 pips from 1.29523, or to 1.27073, before it you hit breakeven… except one thing. You are short a 1.5M unit put on EUR/USD at 1.29 strike. That means at expiration you owe the put buyer $50 per pip ($150 [value per pip on 1.5M put contract] - $100 [value per pip on 1M unit short spot position])
So if EUR/USD fell below 1.2900 at expiration then not only do you lose the Call premium paid of 245 pips, or $24,500, but also $50 per pip below 1.29. Because below 1.2900, that Put you sold cancels out the short spot position and puts you in debt to the Put buyer by what ever the price closes at below 1.2900. And the short spot position only makes a profit of $5,230 at 1.2900 [1.29523 [open price] - 1.2900 [max profit level on combined short put and short spot position]] = 52.3 pips. 52.3 pips * $100 [value per pip on 1M EUR/USD position.
Did I do my math right? If I did, where is the profit window, or where does EUR/USD need to close at expiration in order this position to be profitable?
I know above 1.3085 it is profitable, but is there any area between there and 1.2900??
Also, this is a net positive delta position right??