Exercise 28 · 14 min

Calendars and diagonals

Time: 20 to 30 minutes · You'll need: a calculator or spreadsheet · Builds on: Lesson 28

Warm-up

Check yourself

A long calendar is short the 30-day call and long the 60-day call at the same strike. Which outcome hurts it most by the front expiry?

Check yourself

In tastylive's diagonal check, what should the short option's premium be compared with?

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