The double diagonal is a combination of a diagonal call spread and a diagonal put spread. You can use it if you expect little volatility before the near expiry. At the near expiry, if the market is still between the strikes or the two near expiry options, you can convert the double diagonal into two vertical spreads. See also diagonal call spread, diagonal put spread, bull calendar spread.
Want to learn more? Download now an interactive reference application for iPhone. The screenshot shows the following portfolio:
Volume | Instrument |
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-1 | European call struck at 10.000 with expiry in 30 days |
1 | European call struck at 11.000 with expiry in 90 days |
-1 | European put struck at 9.000 with expiry in 30 days |
1 | European put struck at 8.000 with expiry in 90 days |
This is an excerpt from iOptioneer option trading reference application. In order to build the real-time dynamic strategy graph and run simulations you will need to download the application from App Store.
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