Straddle Strangle Swaps
To the right is a fun little trade called the Straddle Strangle Swap. Look familiar? It looks a lot like a simple calendar spread or a butterfly spread. In actuality it is both, making it what I consider a sort of super calendar spread. Now lets take a look at how to construct these and what qualities make them so super. Straddle Strangle Swaps are a specific type of Double Diagonal. They involve selling a front month straddle and buying a…
Friday, May 23, 2008
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