Risk Management
Marginal Value at Risk
February 20, 2022
Risk Management
Incremental Value at Risk
February 21, 2022

An option or futures strategy which involves establishing positions with high deltas by combining long and short options, or long options and long and short futures contracts. In other words, it involves the use of option spreads or a combination of option and futures positions to establish a trade that is a toned-down equivalent to a futures (outright futures). This helps provide a trader with similar or identical risk-reward profiles as that of a futures.

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