Правильный график опционного календарного спреда

[wanderer]

При построении и анализе графиков календарных спредов важно помнить о некоторых допущениях, без которых невозможно было бы графическое изображение таких конструкций. Все профили доходности, рассчитанные на дату более позднюю, чем дата экспирации ближайшего опциона из спреда, справедливы лишь при условии, что цена базового актива на дату расчёта не изменится относительно цены на момент произошедшей экспирации. Сразу после экспирации ближайшего по дате опциона из календарного спреда график изменит свою форму. До наступления этого момента можно лишь определить профиль опционной конструкции, которая останется. Но невозможно определить величину вертикального смещения по оси доходности, так как она будет зависеть от того, по какой цене исполнятся истекшие опционы.

Ниже приведён график прибыли/убытка для простейшего горизонтального (календарного) спреда из опционов за один день до экспирации ближайшего опциона.

После того, как августовский опцион прекратит своё существование, останется лишь купленный сентябрьский, профиль доходности которого есть во всех учебниках. Увеличится или уменьшится значение максимально возможного убытка для оставшегося опциона будет зависеть от цены экспирации августовского опциона.

[wanderer]

Примечательно, что вплоть до ближайшей экспирации кривая доходности напоминает купленный спред "бабочка", но имеет прямую зависимость от изменения волатильности, тогда как у "бабочки" эта зависимость обратная: у календарного спреда вега положительна, у "бабочки" отрицательна.

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