跨期 = Calender Spread
Use when you think current month IV will drop and the front month will settle around the strike price,
e.g. yesterday after the debt event, no more news so premium for the uncertainty (aka IV) drop.
If you think the market will close between 228 - 238, you can do both,
probably you will earn a little from it.
The premium for both Nov SC + SP is estimated around 600,
and your cost is around 400, so you get around 200 from it.
[ 本帖最後由 fatpat 於 2013-10-18 15:22 編輯 ]