Calendar spread is also known as a time spread

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A calendar spread is a combination of two options with different time to expiration. Calendar spread is also known as a time spread.

IV(implied volatility) is $2/day. Underling is currently priced at $100. Assume normal distribution and zero interest rate.

You decided to long a 2 week ATM CALL option (DTE=1) and short a 1 week ATM CALL option (DTE=5).

What is the delta/theta/gamma of the calendar spread when initially bought?

Reference no: EM131525715

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Calendar spread is also known as a time spread : A calendar spread is a combination of two options with different time to expiration. Calendar spread is also known as a time spread.

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