Synthetic Position Calculator
This calculator models common synthetic positions made from option pairs (long call + short put for synthetic long stock; short call + long put for synthetic short; option pair to approximate a forward). It provides net premium, notional exposure, breakeven price at expiry, an approximate synthetic delta, initial cash outlay, and an indicative margin estimate.
The tool is for illustrative and planning purposes only. It uses explicit inputs for premiums, strikes, deltas, commissions, and simple financing/dividend adjustments. Real trading costs, assignment risk, liquidity, taxation, and broker margin rules vary and must be confirmed with your broker or compliance team.
Replicates a long underlying position using a long call and a short put at the same strike. Assumes European-style settlement for expiry calculations and same strike for both legs.
Inputs
Results
Net premium per share
$0.48
Initial outlay (total)
$48.00
Notional exposure
$10,000.00
Breakeven price
100.48
Synthetic delta
1
Indicative margin
$5,000.00
| Output | Value | Unit |
|---|---|---|
| Net premium per share | $0.48 | — |
| Initial outlay (total) | $48.00 | — |
| Notional exposure | $10,000.00 | — |
| Breakeven price | 100.48 | — |
| Synthetic delta | 1 | — |
| Indicative margin | $5,000.00 | — |
Visualization
Methodology
Synthetic positions are modeled by algebraic combinations of the option legs. Net premium equals the premium paid for one leg minus the premium received for the other leg, adjusted for round-trip commissions converted to a per-share basis.
Notional exposure equals underlying price multiplied by total shares (contracts × contract size). Breakeven is computed from the strike plus or minus the net premium per share depending on the construction.
The synthetic forward uses a linearized forward-price approximation from simple carry: forward ≈ spot × (1 + (r - q) × T), where r is annual interest rate, q is dividend yield, and T is days to expiry divided by 365. This linearization is an approximation for short expiries; for larger T use a continuous-compounding forward model or a full options pricing model.
Worked examples
Example 1: Long call (2.50) + short put (2.00) at 100 strike, 1 contract of 100 shares, $1 commission per leg. Net premium per share = 2.50 - 2.00 - (2×1/100) = 0.48. Initial outlay = $48 for one contract. Breakeven ≈ 100 + 0.48 = 100.48.
Example 2: To approximate a 30-day forward on a 100 underlying with 0.5% interest and 0% dividend, forward ≈ 100 × (1 + (0.5 - 0) × 30 / 36500) ≈ 100.041. Net premium then shows cash required to synthetically hold that forward exposure.
Key takeaways
This calculator provides rapid, transparent algebraic approximations for synthetic option constructions. It is intended for planning and risk-awareness, not as a substitute for broker margin calculators, option-pricing models, or professional advice.
Verify results with live market data, confirm assignment and margin policies with your broker, and test critical workflows using controlled paper-trading before committing capital.
Further resources
External guidance
Expert Q&A
Is this a substitute for option pricing models (Black-Scholes, binomial)?
No. This tool computes algebraic outcomes (premiums, breakevens, notional, simple forward approximations). For Greeks beyond delta, implied volatility effects, and pricing dynamics use a dedicated option-pricing model and market data.
Does it account for early assignment on American options?
No. Early assignment risk is not modeled. American-style options can be assigned prior to expiry and will change cashflow and position status; contact your broker for assignment procedures and risk management.
Are margin estimates guaranteed?
No. Margin estimates are indicative and based on a user-supplied percentage. Actual margin requirements depend on broker rules, account type, and regulatory jurisdiction and can change intraday.
Can I use different strikes for the two legs?
This calculator supports separate strike inputs but the synthetic long/short methods assume same-strike replication for classical equivalence. Different strikes produce spread exposures and will not perfectly replicate a stock position.
Is this financial advice?
No. This tool is educational and illustrative only and does not constitute investment, tax, or legal advice. Consult appropriate professionals before trading.
Sources & citations
- NIST Special Publication 800-53 (Security and privacy controls) — https://csrc.nist.gov/publications/detail/sp/800-53/rev-5/final
- ISO 31000 — Risk management — https://www.iso.org/iso-31000-risk-management.html
- IEEE Standards Association — https://standards.ieee.org
- OSHA — Occupational Safety and Health Administration — https://www.osha.gov