Calendar Collars describe an advanced options strategy combining a calendar spread with a protective collar, adapted for managing exposure to an underlying crypto asset across different time horizons. This structure aims to limit both potential losses and gains within a specified near-term period.
Mechanism
The strategy involves simultaneously purchasing a longer-dated call and a longer-dated put option, while selling a shorter-dated call and a shorter-dated put option. All options typically share the same underlying crypto asset, but possess different strike prices and expiration dates. The sold options generate premium to offset the cost of the bought options.
Methodology
Traders deploy calendar collars to capitalize on varying volatility expectations and time decay between option expiries. This strategy allows for a degree of directional exposure while capping downside risk and potential upside. Institutional participants often execute such structures through Request for Quote (RFQ) processes to achieve precise pricing and customized terms for crypto derivatives.
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