题目
The payoff on a calendar spread is most similar to which of the following option strategies?
选项
A.Bull spread
B.Bear spread
C.Long straddle
D.Butterfly spread
答案
D
解析
A calendar spread is created by transacting in two options that have different expirations. Both options have the same strike price. The strategy sells the short-dated option and buys the long-dated option. The investor profits only if the stock remains in a narrow range, but losses are limited. Overall, the payoff is most similar to the butterfly spread.日历价差与蝶式价差的图形是相似的。