Option Spreads
Horizontal - Calendar - Time
- Different times to expiration
Diagonal
- Both strike & expiration dates are different
Butterfly Strike Price Spread
- Consider three calls, where Ci has strike = Xi
- Let X1 < X2 < X3
- Butterfly spread
- Sell two C2 & Buy one C1 and one C3
- Reverse butterfly or sandwich spread
- Purchase two C2 & Sell one C1 and one C3