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It looks like the subject of seagull option strategy is not as clearly explained as for other strategies (butterly, bull,bear spread). Thus, can someone provide a clear example of what you buy and sell in this strategy? Also, could you please indicate the ralationship between the strikes of each option that is involved in it?

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  • $\begingroup$ Where did you see this mentioned? $\endgroup$ – chrisaycock Aug 19 '13 at 15:18
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The first Google result seems clear enough:

A seagull option is structured through the purchase of a call spread and the sale of a put option (or vice versa)....This structure is appropriate when volatility is high but expected to fall, and the price is expected to trade with a lack of certainty on direction.

So, for example, you might buy the 105% call, sell the 110% call, and sell the 95% put, nudging the strikes as necessary if initially you want to pay zero premium.

If implied volatility is already high, the premium from a short put should finance a more bullish call spread than if IV is low; that, plus the short call make this suitable only when future volatility is expected to decline. It seems like you would also want to have the view that volatility skew is high to justify selling the upside call. More in this note from RBC: https://www.rbccm.com/global/file-410676.pdf

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