To preclude arbitrage we must at least require: No call or put spread arbitrage : $\dfrac{\partial c}{\partial K}\leq 0,\ \dfrac{\partial p}{\partial K}\geq 0.$ This strategy is a limited risk and limited profit strategy. This is known as a multi-leg order. The strategy limits the losses of owning a stock, but also caps the gains. Arbitrage strategy is a way to earn small profits with very little or zero risk. For Nifty Spot Price at 10550, the 10400 Call Option is ITM and 10700 Call is OTM. Fixed-Income Arbitrage: An investment strategy that attempts to profit from arbitrage opportunities in interest rate securities. Put Spread meaning 2 puts, one ITM and one OTM. Covered Call Box Spread (Arbitrage) About Strategy: A Covered Call is a basic option trading strategy frequently used by traders to protect their huge share holdings. Note: A bull call spread can be executed as a single trade. Deep ITM Bear Call Spread Arbitrage Deep ITM Bear Call Spread can become an arbitrage position with no possibility of loss. When using a fixed-income arbitrage … Let's take a look at what could go right, or wrong, with this strategy: Example 1: The underlying stock, XYZ, rises … Call Spread meaning 2 calls, one ITM and one OTM. A bull call spread is an options strategy designed to benefit from a stock's limited increase in price. ITM is 'In the money' and OTM is 'Out of the money'. Call-SpreadOverlay: Incorporating theEﬀects of Convertible Arbitrage Samira Shirgir A Thesis In The Department of Mathematics and Statistics Presented in Partial Fulﬁlment of the Requirements ... discounted at the risk-free rate plus a credit spread which is the extra yield that the It is a strategy in which you own shares of a company and Sell OTM Call Option of the company in similar proportion. For more information, contact your Fidelity representative. In this case, instead of making a loss when the price of the underlying stock remain stagnant or rises, it will make a very small profit and make a big profit if the price falls strongly, resulting in the risk graph below. The book Advanced Equity Derivatives Volatility and Correlation page 22 said. Short Call Butterfly Box Spread (Arbitrage) About Strategy: Short Call Butterfly (or Short Butterfly) is a neutral strategy similar to Long Butterfly but bullish on the volatility.