Assume that the market has been moving sideways for some time and that implied volatility levels are

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Assume that the market has been moving sideways for some time and that implied volatility levels are low. A trader decides to purchase the calendar spread with the strike price at exactly the price of the underlying. Determine the following:

Delta: positive, neutral, or negative Gamma: positive, neutral, or negative Theta: positive, neutral, or negative Vega: positive, neutral, or negative LO.1

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Option Spread Strategies Trading Up Down And Sideways Markets

ISBN: B003O2SXRI

1st Edition

Authors: Anthony J Saliba ,Joseph C Corona ,Karen E Johnson

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