问题如下图:
帮忙解答下short calendar spread 为什么可以?
NO.PZ2020021203000089问题如下A trar feels ththere will a big jump in a stopribut is uncertain of the rection. Intify three trang strategies ththe investor cimplement to reflehis or her views.The trar ctry a short butterfly sprea a short calenr sprea a strangle, or a strale.老师好,1、short butterfly sprea什么也可以?不是得在两个breeven point中间才有收益吗?下图红色short butterfly的图正确吗?2、卖出日历期权,日历期权不是为了节约成本的吗?您的意思是前期价格没波动买日历期权能保证有收入又节约期权费,但如果第一个时间段波动特别大,那就卖出日历期权?
NO.PZ2020021203000089 问题如下 A trar feels ththere will a big jump in a stopribut is uncertain of the rection. Intify three trang strategies ththe investor cimplement to reflehis or her views. The trar ctry a short butterfly sprea a short calenr sprea a strangle, or a strale. short butterfly spre具体是什么?
题目说的是BIG jump ,说明波动率上升,short butterfly想得通,Short strale 不是做空波动率么。。。难道不是应该long strale和long strangle?
现在讲义里好像没有short calenr sprea只看到有calenr spre和 reverse calenr sprea calenr sprea short call (short-maturity)+ long call (long-maturity) reverse calenr spreashort put(short-maturity)+ long put(long-maturity) 那么short calenr sprea什么?