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Description:
This volatility strategy can be viewed as a combination of a long synthetic forward and a short synthetic forward, or as a combination of a bull call spread and a bear put spread, and consists of a long position in an ITM put option with a strike price K1 , a short position in an OTM put option with a lower strike price K2 , a long position in an ITM call option with the strike price K2 , and a short position in an OTM call option with the strike price K1. The trader’s outlook is neutral. This is a capital gain strategy.
K1 ≥ K2 + D
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