Опционы. Разработка, оптимизация и тестирование торговых стратегий - Вадим Цудикман

Медвежий спред создается путем покупки опциона колл (пут) с определенной ценой исполнения и продажи опциона колл (пут) с более низкой ценой исполнения. Комбинация приносит ограниченную прибыль в случае падения цены базового актива и ограниченный убыток, если цена растет (рис. П5). Использование в этой стратегии коллов позволяет создать кредитовую позицию, а использование путов – дебетовую.

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