Name We think price will Purpose Strategyupside Buy call low exercise price, write call higher exercise price Bear spread calls Fall slightly Benefit from small amount of downside Buy ca
Trang 1Name We think price will Purpose Strategy
upside
Buy call (low exercise price), write call (higher exercise price)
Bear spread (calls) Fall slightly Benefit from small amount of
downside
Buy call (high exercise price), write call (lower exercise price)
Bear spread (puts) Fall slightly Benefit from small amount of
downside Buy put (high exercise price), write put (lower exercise price) Butterfly spread (calls) Fall or rise but
won’t be too volatile
Bet on low volatility Buy one call (high exercise price), buy second call
(low exercise price), write two calls (medium exercise price)
Butterfly spread (puts) Fall or rise but
won’t be too volatile
Bet on low volatility Buy one put (high exercise price), buy second put
(low exercise price), write two puts (medium exercise price)
Straddle Fall or rise sharply Bet on high volatility without
predicting which way the volatility will be (up or down)
Buy call and buy put with same exercise price
Reverse straddle Be unchanged Bet on low volatility, generate
income
Write call and write put with same exercise price Zero cost* collar Irrelevant - we
want to lock in current portfolio value
Lock in current portfolio value Buy underlying, write call, buy put ideally with put
strike less than call strike (Covered call + protective put) Box spread strategy Irrelevant - we
want to earn risk free rate
Earn risk free rate regardless of what end underlying price is
Buy call (low exercise price), write call (high exercise price), write put (low exercise price), buy put (high exercise price)
(Bull spread with calls+ bear spread with puts)
*CFA only covers a collar where premium earned = premium paid = zero cost This means we can ignore call and put premiums