Add training workflow, datasets, and runbook
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Chapter 9: Calendar Spreads
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FIGURE 9-1.
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Calendar spread at near-term expiration.
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C:
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i +$200
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$
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1i:i
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~
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0
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~ o. -$300
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Stock Price at Expiration
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TABLE 9-1.
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Estimated profit or losses at April expiration.
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XYZ Stock April 50 April 50 July 50
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Price Price Profit Price
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40 0 +$500 1/2
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45 0 + 500 21/2
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48 0 + 500 4
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50 0 + 500 5
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52 2 + 300 6
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55 5 0 8
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60 10 - 500 l 01/2
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193
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July 50 Total
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Profit Profit
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-$750 -$250
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- 550 - 50
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- 400 + 100
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- 300 + 200
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- 200 + 100
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0 0
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+ 250 - 250
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of the remaining long call at expiration, as well as a function of the time remaining to
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near-term expiration.
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Table 9-1 and Figure 9-1 clearly depict several of the more significant aspects
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of the calendar spread. There is a range within which the spread is profitable at near
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term expiration. That range would appear to be about 46 to 55 in the example.
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Outside that range, losses can occur, but they are limited to the amount of the initial
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debit. Notice in the example that the stock would have to be well below 40 or well
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