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Pro-Rata Sinker

December 7, 2022
Derivatives

Straddle Calendar Spread

December 7, 2022

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A put calendar spread that involves selling far-month put (short put) and buying near-month put (long put) of the same strike price. Its potential profit is limited to net premium received, while its maximum loss is confined to the time decay on the near-month put less the time decay on the far-month put.

It is also known as a short calendar put spread.

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