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193 CHAPTER 7 Multi-Expiration Spreads<br />
EXHIBIT 7–15<br />
Double Diagonal (Iron Calendar) for Even Money Flat Skew<br />
Long 10 NOV 101p/107c Strangles /Short 10 OCT 103p/105c Strangles<br />
NOV (56 Days) OCT (28 Days)<br />
Today<br />
2 Weeks<br />
3 Weeks<br />
4 Weeks<br />
EXHIBIT 7–16<br />
Dissection of Iron Calendar or Double Diagonal<br />
Long 10 NOV 101p/107c Strangles /Short 10 OCT 103p/105c Strangles<br />
NOV<br />
Calls<br />
OCT<br />
Strikes<br />
OCT<br />
Puts<br />
NOV<br />
+ - + - + - + -<br />
101 Put Time Spread 101<br />
102<br />
103<br />
Short 10 Iron Condors<br />
104<br />
10 105<br />
106<br />
107 Call Time Spread 10 10 10 107<br />
10 10 10<br />
©1996-2006 Charles M. Cottle RiskDoctor@RiskDoctor.com<br />
10
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