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hayes
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Posts: 1181
Joined: July 18th, 2008, 11:24 am

Call vs Call strategy

August 14th, 2008, 4:23 pm

Hello all,After enjoying the content from your forums and learning quite a bit I feel bad that my first posting is a question rather than assisting somebody else but.......What is a Call vs Call strategy? All I can figure from Google is that involves equity index swaps in some way. If anybody can shed some light on the subject or perhaps point me in the right direction I'd be very grateful. Perhaps it goes by a another name?Many thanks.
 
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acastaldo
Posts: 1416
Joined: October 11th, 2002, 11:24 pm

Call vs Call strategy

August 14th, 2008, 7:11 pm

It is a broad term that could apply in any situation where you are long one call and short another. So it is difficult to say more without knowing the context.If it involves indexes then it is perhaps referring to a type of dispersion trading or correlation trading (q.v.) where you take a position in calls on the index against opposite positions in calls on the index members. This has been mentioned on Wilmott before.
 
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hayes
Topic Author
Posts: 1181
Joined: July 18th, 2008, 11:24 am

Call vs Call strategy

August 15th, 2008, 6:21 am

Acastaldo, that's exactly what I was looking for.Thanks so much for your help.
 
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TraderJoe
Posts: 11048
Joined: February 1st, 2005, 11:21 pm

Call vs Call strategy

August 15th, 2008, 11:41 am

So is stat arb (pairs trading) a form of correlation trading?
 
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lnop2000
Posts: 7
Joined: November 18th, 2006, 12:58 am

Call vs Call strategy

August 15th, 2008, 1:06 pm

Correlation trading is a form of stat arb. Cointegation on basket is also part of stat arb. The basket can contents more than 2 assets. When basket size = 2, we say pair trading. Finally, stat arb is part of relative value arbitrage.
 
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ddxf
Posts: 46
Joined: January 17th, 2004, 1:24 pm

Call vs Call strategy

August 28th, 2008, 8:29 am

however, two different set of people trade different structures. the statarb-ers usually trade delta 1, while call v call has optionality.would be interesting if the two traders could meet in the market, and create liquidity. Do you see any signs that this happens already?
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