Derivatives, Futures & Options
6 terms
Derivatives, Futures & Options
Backwardation
A condition in which futures prices are below the spot price, and later expiries are priced below nearer ones.
Derivatives, Futures & OptionsBasis
The difference between a futures price and the spot price of its underlying.
Derivatives, Futures & OptionsBear Put Spread
Buying a put at one strike and writing a put at a lower strike with the same expiry, capping both cost and gain.
Derivatives, Futures & OptionsBlack-Scholes Model
A mathematical model that prices European options from the spot price, strike, time to expiry, interest rate and volatility.
Derivatives, Futures & OptionsBull Call Spread
Buying a call at one strike and writing a call at a higher strike with the same expiry, capping both cost and gain.
Derivatives, Futures & OptionsButterfly Spread
A three-strike position buying one option at each outer strike and writing two at the middle strike.