The 1m 25-deltas risk reversal is 1.35 EUR calls.
German translation: Attempt...
| 13:29 Dec 31, 2002 |
| English to German translations [PRO] Bus/Financial - Investment / Securities / foreign exchange | |||||||
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|  Selected response from: Ralf Lemster Germany Local time: 16:57 | ||||||
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Answers
7 mins confidence: 
peer agreement (net): +1
peer agreement (net): +1Attempt... Explanation: Ich müsste den Kontext sehen, um das genauer sagen zu können. 1m = 1 Monat (richtig!). "Risk reversal" ist eine Kombinationsstrategie aus Long Call & Short Put; bei einer "25-deltas"-Strategie werden vermutlich Optionen mit einem Deltafaktor von 25 eingesetzt. Insofern würde ich die Aussage dahingehend interpretieren, dass zur Erzeugung einer deltaneutralen Position Optionen im Verhältnis 1,35 Calls zu 1 Put verwendet werden. Macht das im Kontext Sinn? |
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