Credit Spread Options (Put & Call)

[@jongelb9603]

Great video. I would just add that "the triggering events of credit options can be based either on 1) the value decline of the underlying asset or 2) the spread change over a risk-free rate." - Fong and Guin, reading 22

[@philguiang]

Yes, that is true, I had the same notes. It's confusing, but I would stick to my own notes, that is for Call Options, you will benefit if the spread widens and not in a Put Options as implied here.

[@funnygolem]

The textbook is not wrong, and this video is not wrong either. It is up to your position, long or short. The thing is, this video is about call option buyer, while what your textbook considers probably the position of a seller.

[@anindadatta164]

These credit spread options should be helpful only if there is a non parallel shift in yield curve. Is any option available to guard against parallel shift in yield curve? Moreover, in real life do the credit spread movements of different bonds follow normal distribution?

[@houdapurple]

Thank you !! and i thought i was crazy, my textbook says the same thing !!! which is right and which is wrong ??

[@cjharrol]

Yeah, for credit spreads

[@MatthiasJosefSteiner]

5% - what a dream

[@danidemir7762]

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[@TorynHill]

lol T-Bills aren't risk free. Bury your briefcase full of treasuries next to my chest full of gold and silver and let's reevaluate in 20 years.