Forward-start option
Definition · Level 10 · Derivatives pricing
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Option whose strike is set at a later date (e.g. ATM in 6 months, expiring in 12). Under Black–Scholes it has zero gamma until the strike sets — a bet on forward volatility.
Example
No dividends: worth a 6-month ATM option priced at the 6→12-month forward vol.
Where Tradecraft teaches it
Level 10 · Derivatives pricing, in the lesson “No-arbitrage bounds & trick questions”: Price limits, limit cases, early exercise, the full sign table and strike convexity — the interview favourites.
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