0
$\begingroup$

There is an active spread option traded in ICS as described here - https://www.theice.com/products/28881205/Crude-Future-Brent-1-Month-Calendar-Spread-Options

I am interested to know the Delta and Gamma profile of such Calendar spread option w.r.t. various possible underlying spread values.

Is there any empirical study for such calendar spread option?

Any pointer will be highly appreciated.

$\endgroup$
1
$\begingroup$

A calendar spread is nothing more than a short call and long call with TTM_1 and TTM_2. If you can find the quotes of those underlying options; you can retrieve the IV and hence the greeks.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.