Calendar spread is also known as time spread

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Reference no: EM131525722

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

IV 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 value of the calendar (aka how much you can sell the spread for) if underlying trades at $99 one day later, BASED on theta/gamma/delta??

Reference no: EM131525722

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