Diagonal spread - Misplaced Pages

In derivatives trading, the term diagonal spread is applied to an options spread position that shares features of both a calendar spread and a vertical spread. It is established by simultaneously buying and selling equal amount of option contracts of the same type (call options or put options) but with different strike prices and expiration dates.

Example

Terms	Delta neutral Exercise Expiration Moneyness Open interest Pin risk Risk-free interest rate Strike price Synthetic position the Greeks Volatility
Vanillas	American Bond option Call Employee stock option European Fixed income FX Option styles Put Warrants
Exotics	Asian Barrier Basket Binary Callable bull/bear contract Chooser Cliquet Commodore Compound Forward start Interest rate Lookback Mountain range Rainbow Spread Swaption
Strategies	Backspread Box spread Butterfly Calendar spread Collar Condor Covered option Credit spread Debit spread Diagonal spread Fence Intermarket spread Iron butterfly Iron condor Jelly roll Ladder Naked option Straddle Strangle Protective option Ratio spread Risk reversal Vertical spread (Bear, Bull)
Valuation	Bachelier Binomial Black Black–Scholes (equation) Finite difference Garman–Kohlhagen Heston Lattices Margrabe Put–call parity MC Simulation Real options Trinomial Vanna–Volga

Other derivatives

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