A vanilla strip (st or strip) lets you duplicate a series of Vanilla options (a series of puts, calls or a combination of both), all with the same strike for each leg for a number of expiry dates that you specify. The expiry dates must run consistently, e.g., for all exchange dates from July through until December.
The total premium of all the options together is calculated, and then split evenly between the individual options. This gives you a number of options, all with the same strike, each with a different expiry, but all with the same premium.
Pricing a vanilla strip in SDX Commodities & Energy
When pricing a vanilla strip:
You can enter into a composite or quanto version of a vanilla strip.
If you choose exchange traded expiry dates, the strike must be clearable. That is, the strike must be traded on the exchange for that expiry date.
It is 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 strip cannot be selected.