If you take the view that volatility will drop over the next three months and then increase

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If you take the view that volatility will drop over the next three months and then increase thereafter, what options strategy would you like to execute? Would the value of this portfolio today be positive or negative?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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If you take the view that volatility will drop over the next three months and then increase

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Based on the perspective given the ideal options strategy would be a Calendar Spread also known as a ...View the full answer

Derivatives Principles And Practice

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