16. Ratio Spreads and Complex Spreads

  1. Dan Passarelli

Published Online: 11 SEP 2012

DOI: 10.1002/9781118531846.ch16

Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits, Second Edition

Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits, Second Edition

How to Cite

Passarelli, D. (2012) Ratio Spreads and Complex Spreads, in Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits, Second Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531846.ch16

Publication History

  1. Published Online: 11 SEP 2012
  2. Published Print: 17 SEP 2012

ISBN Information

Print ISBN: 9781118133163

Online ISBN: 9781118531846

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Keywords:

  • ratio spreads;
  • complex spreads;
  • delta-neutral positions;
  • trading skew;
  • multiple-class risk

Summary

This chapter contains sections titled:

  • Ratio Spreads

  • How Market Makers Manage Delta-Neutral Positions

  • Trading Skew

  • When Delta Neutral Isn't Direction Indifferent

  • Managing Multiple-Class Risk