7.4看涨期权水平价差(HorizontalCalendarCallSpread) 1 2024-07 7.3卖出飞碟式(ShortGut) 1 2024-07 7.2卖出宽跨式(ShortStrangle) 2 2024-07 7.1卖出跨式(ShortStraddle) 0 2024-07 6.14反向铁信天翁式价差(ReverseIronAlbatrossSpread) 0 2024-07 6.13反向铁鹰式价差(ReverseIronCondorSpread) ...
上一节我们学习了 calendar spread,即买远月平值 call,卖近月平值 call。它的特点是赚取时间价值,delta neutral。如果你对市场的方向有预判,觉得股价会涨,你可以把近月 call 改成 虚值。这样一来,远月 call …
这样一来,远月 call 的 delta 就大于近月 call 的 delta,组合的总体 delta 是正数。当股价上涨的时候,我们就能获得比 calendar spread 更大的盈利。这个策略叫做 diagonal spread。 diagonal spread 的两张合约的到期日不一样,因此我们无法计算它的break-even point。它的盈亏分析和上一节的 calendar spread 相似...
Spread的Diagonalization - Delta, Gamma, Theta, Vega - 知乎专栏
Summary Diagonals are a refinement of calendar spreads. This chapter discusses the diagonal spreads, the nature of such spreads, and the reasons for their use. A diagonal spread is a combination of a horizontal spread and a vertical spread. A call diagonal is a spread where a shorter-dated ...
7.5看涨期权对角价差(DiagonalCalendarCallSpread) 12024-07 7.4看涨期权水平价差(HorizontalCalendarCallSpread) 12024-07 7.3卖出飞碟式(ShortGut) 12024-07 7.2卖出宽跨式(ShortStrangle) 22024-07 7.1卖出跨式(ShortStraddle) 02024-07 6.14反向铁信天翁式价差(ReverseIronAlbatrossSpread) 02024-07 6.13反向铁鹰式价差...
In Finance, A diagonal spread is established by simultaneously entering into a long and short position in two options of the same type (two call options or two put options) but with different strike prices and expiration dates. 以上来源于:Wikipedia ...
diagonal spread Anoptionsstrategyrequiringalongandashort positioninthesameclassofoptionatdifferentstrike pricesanddifferentexpiration dates.Forexample,buyinganXYZApril50callandsellinganXYZJuly55call.See:Calendar spread;vertical spread. Copyright©2012,Campbell R. Harvey.AllRightsReserved. ...
* Income Strategies including Covered Call, Naked Put, Bull Put Spread, Bear Call Spread, Long Iron Butterfly, Long Iron Condor, Calendar Call, Diagonal Call...* Vertical Spreads including Bull Call Spread, Bull Put Spread, Bear ... G Cohen - FT Press 被引量: 10发表: 2005年 Bible of...
A diagonal spread is a modifiedcalendar spreadinvolving differentstrike prices. It is an options strategy established by simultaneously entering into a long and short position in two options of the same type—two call options or two put options—but with different strike prices and different expirati...