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Description:
This is a volatility strategy consisting of a long position in an ITM call option with a strike price K1, and a long position in an ITM put option with a strike price K2 . This is a net debit trade. Since both call and put options are ITM, this strategy is more costly to establish than a long straddle position. The trader’s outlook is neutral. This is a capital gain strategy.
D > K2 − K1
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