Structured Products in Portfolio

Discussion in 'Risk Management' started by luisHK, Feb 1, 2017.

  1. sle

    sle

    Yup. You short an 60% put with a digital kicker (so it's a put spread plus a put) and buy 100/120 call spread.

    That plus a zero coupon bond. Forgetting the funding component, you can DIY a 2-year booster fairly easy, especially when vol is high (OTM shorts will make it net short vol).
     
    #21     Apr 27, 2017