en     ru     jp
 
 
private banking
private banking
private banking
private banking
private banking
private banking
private banking
     
 
Home
      
Knowledge Base
      
Equity Derivatives and Structured Products Glossary
      
Butterfly spread
       
 
Back

Butterfly spread

 Search definitions     
  Search  

Butterfly spread
The simultaneous sale of a Straddle and purchase of a money Strangle. The structure profits if the Underlying remains stable, and has limited Risk in the event of a large move in either direction. As a trading strategy to capitalise upon a Range trading environment it is usually executed in equal notional amounts. Alternatively, such trades are often applied to benefit from changes in Volatility. In such circumstances the butterfly spread is traded on a ‘Vega-neutral’ Basis (ie the Volatility sensitivity of the Long Position is initially Offset by the Volatility sensitivity of the Short Position). As the Holder of an initially Vega-neutral spread, the trader Will benefit from changes in Volatility since the Strangle Position profits more from an increase in Volatility than the Straddle and loses less than the Straddle in a decline in Volatility (this is due to the fact that the Vomma of the Strangle is higher than that of the Straddle).
Posted by  Privatebanking.com
 
  Back  
  Print  
  Email  

 

private banking
private banking
private banking
private banking
private banking
private banking
private banking

Privatebanking.com
Get the attention you always wanted and promote your corporate image and standing by benefiting from our state of the art interactive web presence.
    Privatebanking.com
   
  Read more  
 
Ascent Limited
Experience The Difference. Ascent Limited provides first class wealth management and family office services. Our private banking team, assembled from a group of highly experienced banking professionals, will provide financial advice tailored to your individual requirements and keep your portfolio in tune with the latest market developments and opportunities.
    Ascent Limited
   
  Read more  
 
 
Home News Library Newsletters Event Calendar Advertise About Contact FAQ
Privacy Policy     Terms of Service
 

©