YaKa

Efficient Zero Premium Option strategy

FX:SPX500   S&P 500 Index
6

Underlying: SP500
Expiry: 20Jun16
Strong assumption: Cannot pass speed limit at 2200 before 20Jun16.
Buy Put Spread 1980/1900 (25-15=10)
Sell Call 2200 (10)
Net Premium Zero.

Trading: executing for 40% notional
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