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Annexe B: Strategy Types
Market Model & Functionality
Nasdaq Derivatives Markets
Last Update: 14 Mar 2022
Annexe B: Strategy Types
Market Model & Functionality – Nasdaq Derivatives Markets
B.1 List of Strategy Types
The different strategy types that can be traded in the Trading System, their template definitions as
recognised by the Exchange and their strategy type codes can be found in the table below.
Strategy Type Strategy Leg Definitions (Buyer’s Perspective) Implied Pricing
Code
Futures Spread TS Leg 1: Buy 1 future, far expiry Implied-in/out
Leg 2: Sell 1 future, near expiry
Forwards Spread TS Leg 1: Buy 1 forward, far expiry Implied-in/out
Leg 2: Sell 1 forward, near expiry
Call Vertical VS Leg 1: Buy 1 call Implied-in/out
Spread Leg 2: Sell 1 call, same expiry, higher strike
Call Horizontal HS Leg 1: Buy 1 call, far expiry Implied-in/out
(Calendar) Spread Leg 2: Sell 1 call, near expiry, same strike
Call Diagonal DS Leg 1: Buy 1 call, far expiry Implied-in/out
Spread Leg 2: Sell 1 call, near expiry, different strike
Put Vertical VS Leg 1: Buy 1 put Implied-in/out
Spread Leg 2: Sell 1 put, same expiry, lower strike
Put Calendar HS Leg 1: Buy 1 put, far expiry Implied-in/out
(Horizontal) Leg 2: Sell 1 put, near expiry, same strike
Spread
Put Diagonal DS Leg 1: Buy 1 put, far expiry Implied-in/out
Spread Leg 2: Sell 1 put, near expiry, different strike
Straddle SD Leg 1: Buy 1 call Implied-in/out
Leg 2: Buy 1 put, same expiry and strike
Strangle or Guts SG Leg 1: Buy 1 call Implied-in/out
Leg 2: Buy 1 put, same expiry, different strike
Synthetic or Risk SY Leg 1: Buy 1 call Implied-in/out
Reversal Leg 2: Sell 1 put, same expiry, same or lower strike
Call Ratio Spread RS Leg 1: Buy 1 call Implied-in
Leg 2: Sell 2 calls, same expiry, higher strike
Put Ratio Spread RS Leg 1: Buy 1 put Implied-in
Leg 2: Sell 2 puts, same expiry, lower strike
Last Update: 14 Mar 2022 Page 2 (4)
Annexe B: Strategy Types
Market Model & Functionality – Nasdaq Derivatives Markets
Strategy Type Strategy Leg Definitions (Buyer’s Perspective) Implied Pricing
Code
Call Butterfly BF Leg 1: Buy 1 call Implied-in
Leg 2: Sell 2 calls, same expiry, higher strike
Leg 3: Buy 1 call, same expiry, even higher strike
Put Butterfly BF Leg 1: Buy 1 put Implied-in
Leg 2: Sell 2 puts, same expiry, lower strike
Leg 3: Buy 1 put, same expiry, even lower strike
Call Ladder LD Leg 1: Buy 1 call Implied-in
Leg 2: Sell 1 call, same expiry, higher strike
Leg 3: Sell 1 call, same expiry, even higher strike
Put Ladder LD Leg 1: Buy 1 put Implied-in
Leg 2: Sell 1 put, same expiry, lower strike
Leg 3: Sell 1 put, same expiry, even lower strike
Iron Butterfly IB Leg 1: Buy 1 call, low strike Implied-in
Leg 2: Sell 1 call, same expiry, higher strike
Leg 3: Buy 1 put, same expiry, same low strike
Leg 4: Sell 1 Put, same expiry, lower strike
Call Condor CN Leg 1: Buy 1 call Implied-in
Leg 2: Sell 1 call, higher strike
Leg 3: Sell 1 call, even higher strike
Leg 4: Buy 1 call, yet even higher strike
Put Condor CN Leg 1: Buy 1 put Implied-in
Leg 2: Sell 1 put, lower strike
Leg 3: Sell 1 put, even lower strike
Leg 4: Buy 1 put, yet even lower strike
Condor IC Leg 1: Buy 1 call, low strike Implied-in
Leg 2: Sell 1 call, same expiry, higher strike
Leg 3: Buy 1 put, same expiry, lower strike
Leg 4: Sell 1 Put, same expiry, even lower strike
Box BX Leg 1: Buy 1 call, lower strike Implied-in
Leg 2: Sell 1 call, higher strike
Leg 3: Buy 1 put, same higher strike
Leg 4: Sell 1 put, same lower strike
Last Update: 14 Mar 2022 Page 3 (4)
Annexe B: Strategy Types
Market Model & Functionality – Nasdaq Derivatives Markets
Strategy Type Strategy Leg Definitions (Buyer’s Perspective) Implied Pricing
Code
Jelly Roll JR Leg 1: Buy 1 call, same strike, far expiry Implied-in
Leg 2: Sell 1 call, same strike, near expiry
Leg 3: Sell 1 put, same strike, same far expiry
Leg 4: Buy 1 put, same strike, same near expiry
Call-Call Vertical RV Leg 1: Buy 1 call, low strike, far month Implied-in
Calendar Leg 2: Sell 1 call, high strike, same far month
Leg 3: Sell 1 call, any strike, near month
Call Vertical-Call VR Leg 1: Buy 1 call, any strike, far month Implied-in
Calendar Leg 2: Sell 1 call, low strike, near month
Leg 3: Buy 1 call, high strike, same near month
Put-Put Vertical RV Leg 1: Buy 1 put, high strike, far month Implied-in
Calendar Leg 2: Sell 1 put, low strike, same far month
Leg 3: Sell 1 put, any strike, near month
Put Vertical-Put VR Leg 1: Buy 1 put, any strike, far month Implied-in
Calendar Leg 2: Sell 1 put, high strike, near month
Leg 3: Buy 1 put, low strike, same near month
Non-Standard NS An options spread or combination that does not No
Strategy conform to any of the above listed template
definitions but meets the overall conditions set by
the Exchange for user-defined combinations.
Last Update: 14 Mar 2022 Page 4 (4)
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