SDX Commodities Help > Supported Instruments > Vanilla Strategies

Vanilla Strategies

A vanilla strategy is a combination of the four basic vanilla options (long call, short call, long put, short put) with varying strikes, expiry dates and notionals.

 
You can only price a predefined vanilla strategy in the Single Option page. To price a vanilla strategy in the Portfolio page you must manually create the strategy out of individual options. For example, to price a put spread you must enter two options, a purchase of a put (a long put) and a sale of a put (a short put).
In SDX Commodities & Energy, vanilla strategies are only supported for the relevant commodities. That is, for commodities that do not have a vanilla instrument, e.g., a European electricity asset, the vanilla-based instruments cannot be selected.

You can create the following vanilla strategies in the Single Option page:

Straddle

Strangle

2-Vol Strangle

Butterfly

Three-Vol Butterfly

Vanilla Calendar Spread

Collar

Call Spread

Put Spread

Participating Forward

Two-Leg Vanilla

Three-Leg Vanilla