Risk Reversal
A risk reversal is a combination of a long call with a strike above the current spot and a short put with a strike below the current spot.
Both with the same expiry date.
This is a special contract popular with practitioners.
Its value is usually quite small and related to the market's expectations of the behaviour of volatility.
© 2024 Better Solutions Limited. All Rights Reserved. © 2024 Better Solutions Limited TopPrevNext