|
In finance, a butterfly is a limited risk, non-directional options strategy that is designed to have a large probability of earning a limited profit when the future volatility of the underlying asset is expected to be lower than the implied volatility. == Long butterfly == A long butterfly position will make profit if the future volatility is lower than the implied volatility. A long butterfly options strategy consists of the following options: * Long 1 call with a strike price of (X − a) * Short 2 calls with a strike price of X * Long 1 call with a strike price of (X + a) where X = the spot price (i.e. current market price of underlying) and a > 0. Using put–call parity a long butterfly can also be created as follows: * Long 1 put with a strike price of (X + a) * Short 2 puts with a strike price of X * Long 1 put with a strike price of (X − a) where X = the spot price and a > 0. All the options have the same expiration date. At expiration the value (but not the profit) of the butterfly will be: * zero if the price of the underlying is below (X − a) or above (X + a) * positive if the price of the underlying is between (X - a) and (X + a) The maximum value occurs at X (see diagram). 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Butterfly (options)」の詳細全文を読む スポンサード リンク
|