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# Questions tagged [option-strategies]

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### Approximation of an Autocall (trigger 100%) with ATM options prices

thank you very much for trying to answer this question, and I hope it will be helpful to everyone in my situation. I am preparing for an interview, and I've come across these three questions on the ...
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1 answer
123 views

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### Is there a strategy to increase the granularity of a deep in the money options contract?

My aim to get as close as possible to a "mini" deep in the money options contract. But mini contracts aren't generally available and buying regular 100 packs of high priced stocks is ...
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1 vote
1 answer
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### In the CRR model, describe the strategy replicating the payoff $X=(S_T-K)^{ +} +a(K-S_{T-2})^{+ }$ for $a \neq 0$ [closed]

In the CRR model, describe the strategy replicating the payoff $X=(S_T-K)^{ +} +a(K-S_{T-2})^{+ }$ for $a \neq 0$ $X$ consists of two parts: European call option with strike price $K$ and expiration ...
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### Trading options - risk adjusted return

I have often wondered what kind of risk restrictions do traders of options in Hedge funds have but have not managed to find any information on this matter. I presume there must be some kind of measure ...
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2 votes
1 answer
70 views

### Reverse convertible coupon determination

I had a question about the coupon level determination for a simple reverse convertible product. Assuming risk free rates are 4% while premium on short put is 5%, typical text-books would then quote ...
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### Would it be possible to combine long butterfly with long straddle, achieving profit no matter the outcome?

This has been bugging me for a while, I feel like I'm missing something. Simply put, a long butterfly will make profit if the price at maturity does not change much, as shown below A long straddle is ...
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0 answers
22 views

### Determine if max profit/loss on group of option legs is unlimited

Say you have a group of option legs for a symbol either for a strategy like a vertical spread or maybe an iron condor. Each with different strikes, expiration dates, etc. Without identifying the type ...
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1 answer
125 views

### Pairs trading on two options or option and underlying?

I have been looking into pairs trading strategies (stationary linear combination of multiple securities) for options. Multiple related options or option and underlying over small periods of time such ...
1 vote
1 answer
403 views

### Call spread hedge

I'm trying to understand how a call spread is used for FX hedging. The example that my book gives is when we have USD receivables in 12 months which we want to convert to EUR and we want to hedge ...
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### Strategic Asset Allocation and Multi-Asset Class Option Based Tail Risk Hedging

If a Strategic Asset Allocation is defined as an asset allocation to weather all investment environments and one which should be employed in the absence of any market views, it would appear that the ...
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948 views

### Managing/Hedging strangle with futures at strike prices

Since I am very new to options, I thought would be great to ask the opinions of the experts in this group. Please note that I will hold strangles till expiration. The goal is to sell strangles (OTM ...