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Quantitative Finance · Glosarium

Apa itu Event straddle?

Definition 4.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Bab 4 — Gamma Scalping and Event Volatility

An event straddle is a long at-the-money straddle bought shortly before a scheduled event and sold soon after it, usually delta-hedged, which profits when the move delivered on the event exceeds the implied move by more than the time decay and costs of holding it.

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