ANALYSIS OF VERTICAL CALL SPREAD AND ITS COMBINATIONS AS OPTIONS TRADING STRATEGIES

• Main Author: Andrew
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/42077
• Institution: Institut Teknologi Bandung

In 2018, many stock prices have slumped due to the trade war between US and China that triggered global economy slowdown. This led to performance decline of portfolio owned by asset management companies, brokerage firms and retail investors. Accordingly, they might need certain hedging strategies, such as using options to limit loss risk of market uncertainty and instability, or the strategies that increase their profit chances in the low performing market. The strategy is vertical call spread formed by simultaneously buying and selling options with the same amount and of the same type and expiry, but at different strike prices. It consists of bull call and bear call spread that can be combined to derive four new strategies: long butterfly, short butterfly, long condor and short condor spread. These strategies have the unique profile of limited loss and profit, and can be modified by using different strike prices and expiration dates to have optimum performances in several different market conditions.