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The Short Lira Put Option Investment - Wealth or Trap of Price Spikes Causing Disastrous Losses

32.00 mins
Dr. Uwe Wystup
Thu 2 Nov 2023

Selling 15-Delta EUR Call TRY Put options in a regime of a steadily growing spot rate can be tempting, especially when volatilities are high. The idea is to keep the initial premium and let the options expire. We consider a case study where a position was force-closed during August 2018 when EUR-TRY spiked.

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