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The Alpha Exchange Q1 2023 Review
Alpha Exchange
How to Price a Zero Cost Put Spread Collar
JP Morgan is bound to execute a specific zero cost put spread collar, of course. The economics of the latest role appear to be slightly worse than the role executed at the end of 2022 as the zero cost call strike is about 80 basis points lower. Another factor was key in collar pricing late last year and that is how handsomely the market was willing to pay for upside volatility.
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