SDX Interest Rates Help > Supported Instruments > Swaption Spread Strategy

Swaption Spread Strategy

A spread is a predefined strategy constructed from payer and receiver swaptions.

With a spread you can do either of the following:

Buy a receiver swaption and sell a receiver swaption with the same expiry but different strike prices and notionals.

Buy a payer swaption and sell a payer swaption with the same expiry but different strike prices and notionals.

For more information on a swaption (and how to price it and what points to consider) see Swaption.

Advantages of a Swaption Spread Strategy

In a swaption spread strategy, the cost of one of the options reduces or cancels the cost of the other.