Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.
Sign up to join this community
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.
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.
