Download lsedm trading services description

LSEDM TRADING
SERVICES DESCRIPTION
30 March 2015
Strategy
Description (Long position)
LSEDM BTS convention
(K = strike, T = maturity)
date and with strikes equidistant)
17. Put Butterfly
Sell two puts at a middle strike, buy two puts each
at lower and higher strike (all with same expiry
date and with strikes equidistant)
Buy P (K1, T)
Buy P (K3, T)
Sell 2 P (K2, T), K1 < K2 < K3
18. Call Ladder
Buy call, sell call at higher strike and sell call at
equally higher strike (all with same expiry date
and with strikes equidistant)
Buy C (K1, T)
Sell C (K2, T)
Sell C (K3, T), K1 < K2 < K3
19. Put Ladder
Sell put, sell put at higher strike and buy put at
equally higher strike (all with same expiry date
and with strikes equidistant)
Sell P (K1, T)
Sell P (K2, T)
Buy P (K3, T), K1 < K2 < K3
20. Call spread versus
Short Put
Buy Call, sell Call at higher exercise price, sell Put
at any (lowest) strike
Sell P (K1, T)
Buy C (K2, T)
Sell C (K3, T), K1 < K2 < K3
21. Put spread versus
Short Call
Buy Put and sell Put at lower strike, sell Call at
any (highest) strike
Sell P (K1, T)
Buy P (K2, T)
Sell C (K3, T), K1 < K2 < K3
22. Straddle Calendar
Spread
Selling a near term straddle while buying a longer
term straddle at same strike prices
Sell C (T1, K)
Sell P (T1, K)
Buy C (T2, K)
Buy P (T2, K), T1 < T2
23. Iron Butterfly
Buy a put and a call at a middle strike, sell a put at
a lower strike and a call at a higher strike (all with
same expiry date and with strikes equidistant)
Sell P (T, K1)
Buy P (T, K2)
Buy C (T, K2)
Sell C (T, K3), K1 < K2 < K3
24. Call Condor
Sell two calls at middle equidistant strikes, buy
two calls each at lower and higher strike (all with
same expiry date and with strikes equidistant)
Buy C (T, K1)
Sell C (T, K2)
Sell C (T, K3)
Buy C (T, K4), K1 < K2 < K3 < K4
25. Put Condor
Sell two puts at middle equidistant strikes, buy two
puts each at lower and higher strike (all with same
expiry date and with strikes equidistant)
Buy P( T, K1)
Sell P (T, K2)
Sell P (T, K3)
Buy P (T, K4), K1 < K2 < K3 < K4
26. Box
Buy call and sell put at same strike, buy put and
sell call at higher strike (all with same expiry date)
Buy C (T, K1)
Sell P (T, K1)
Sell C (T, K2)
Buy P (T, K2), K1 < K2
27. Diagonal Straddle
Calendar Spread
Sell near term straddle and buy long term straddle
at different strike prices.
Sell C (T1, K1)
Sell P (T1, K1)
Buy C (T2, K2)
Buy P (T2, K2), T1 < T2
28. Iron Condor
Buy Put 1, Sell Put 2, Sell Call 1 and Buy Call 2 all
in ascending order of strike price, all at the same
maturity
Buy P (K1, T)
Sell P (K2, T)
Sell C (K3, T)
Buy C (K4, T), K1 < K2< K3 < K4
4 legged strategies
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