A futures contract which has an overnight index swap as underlying. An overnight index swap (OIS) futures tracks the overnight effective federal funds rate...
A futures contract which has an overnight index swap as underlying. An overnight index swap (OIS) futures tracks the overnight effective federal funds rate...
A complex ratio spread in which the same type of position is taken in both a put ratio spread and a call ratio spread. To...
A measure of a bond's convexity which takes into account the convexity of options embedded within the bond. It captures the curvature of the price/yield...
A jelly roll consists of a long time spread and a short time spread, one made up of puts, the other of calls, all having the same strike...
An option trading strategy which involves selling a call and buying a put at the same strike price, both being with a near-month expiration date,...
An option that can be exercised on discrete dates before expiration, such as the first of every month. This option is similar...
A series of calculations which determine and reflect different profiles of risk exhibited by a stock or asset underlying a derivative in response to changes in...
A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/gamma This second-order greek expresses the quality of gamma...
Another name for barrier option. By definition, it is an exotic option whose payoff depends on whether the underlying asset...