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Globally floored locally capped cliquet
Suppose we now have a globally floored(at 0) locally capped(at 5%) cliquet with max[0, ∑min(Ret(i), 5%)] and we'd like to analyze whether the buyer is short or long skew. The way I decompose it would be max[0, -∑max(-Ret(i)+5%, 0)+n*5%], so the buyer is long the global floor 0 which is equivalent to long a strip of OTM puts and short a series of ITM puts(>=5%), but what confuses me is the n*5% bit as it's equivalent to long n 5% ITM puts.So I'd like to know how we should analyze the skew position here. Besides, is the buyer long vol or short vol and why? Thx