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Straddles - involve the purchase and sale of both puts and calls

Spreads - the investor simultaneously buys one call (put) while selling another

Range forwards (collars) - require the purchase of a call and the concurrent sale of a put (or vice-versa)

Acts as the guarantor of each CBOE-traded contract.

Current security price

Exercise price

Time to expiration

Risk-free rate

Security price volatility

Weighted average of the implied volatility estimates from options on the Standard & Poor’s 500 Index using a wide range of exercise prices.