Basket Options: Diversity of Instruments
Interactive

Basket Options: Diversity of Instruments

Intuition Publishing
Updated Sep 24, 2020

There are a wide variety of basket options available to traders, and we explore a few of them here. We examine some basket option structures that have a varying sensitivity to volatility, some variations that have a key dependence on the correlations between the movements of the constituents in the basket, and finally look at the mountain range options, where the issues resulting from exposure to volatility and correlation are combined.