PAT - The Payoff Advantage Tool
Gap Put Option

Asset 1: Gap Put Option.

Formula: H1 = (X1 =96 S12) * heavy (X2 - S12)

X1 = 3; X2 = 1

Asset 2: Gap Call Option.

As can be seen from this and the following diagrams, Gap Put and Call Options possess a parity relationship similar to the parity relationship of plain vanilla European Put and Call options.

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