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Calendar straddle
A strategy combining the sale of a near-term straddle and the simultaneous purchase of a longer-term straddle with the same exercise price in order to take advantage of the rapid time decay (theta) of the near-term straddle sold.
This strategy is used when the investor expects the underlying price to experience very little volatility in the near term.
Translations
Synonyms and variations
- Straddle calendar spread