VERTICAL PUT SPREAD AND ITS COMBINATIONS IN OPTIONS TRADING STRATEGY ANALYSIS

• Main Author: Novia, Jessica
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/42196
• Institution: Institut Teknologi Bandung

In 2018, stocks listed on Indonesia Stock Exchange (IDX) slumped that led most portfolio performance of fund managers in asset management to decline. This occurred due to tariffs trade war between USA and China that triggered global economy slowdown. Accordingly, fund managers might need certain options strategies that limit risk of market uncertainty and instability. These strategies are called vertical put spread that consist of bull put and bear put spread that have limited loss and profit. These strategies were formed by combining two positions (long and short) of two same type of options. Combination of vertical put strategies can derive four new strategies and they are long butterfly, short butterfly, long condor and short condor spread. The main difference between butterfly and condor spread is condor spread has wider range of stock price movements, while butterfly has only one stock price to realize maximum profit. Long butterfly and long condor spread are suitable for neutral market outlook, while short butterfly and short condor spread are suitable for volatile market outlook. We can analyze the greeks of each strategy to select certain strike price and expiration date in trading so that it can result optimum return.