Vertical spread

Abstract: Based on data on options on Eurodollar futures, the trading and design of vertical spreads (aka bull and bear spreads) are examined. Reducing the cost and/or increasing the likelihood of profit on long positions appears more important than risk reduction on short positions in most traders' decisions to employ vertical spreads. Somewhat surprisingly, we find that most vertical spreads are not designed so as to maximize their sensitivity to changes in the underlying asset price and minimize their sensitivity to other risks. Likewise, they are not designed so that the signs for theta, vega, and/or gamma are opposite those naked calls or puts with the same delta. Instead, most vertical spread traders display a strong preference for out-of-the-money strikes resulting in low net prices, low transaction costs, and low likelihood of early exercise. We find that when futures are combined with a vertical spread position, it is almost always in a ratio which reduces the position's net delta to zero turning the spread into a volatility trade. Seagulls represent a fairly actively traded but rarely discussed variant of the standard vertical spread design with lower prices and higher deltas than bull and bear spreads.

Abstract: This paper describes a cone calorimeter fire test program and the application of a vertical flame spread model developed for internal wall linings to the flame spread on exterior wall claddings. It outlines performance criteria for the design of building facades to ensure that exterior cladding materials are unlikely to accelerate the vertical spread of fire and endanger the safety of building occupants.

Abstract: Field measurements were undertaken to determine the spread of a nonbuoyant surface plume in homogeneous and stratified coastal waters with strong tidal currents. In the homogeneous current the concentration profiles of marked fluid, released near the free surface, were Gaussian in both the lateral and vertical directions; the lateral spread was much larger than the vertical spread. In the stratified current the lateral concentration profiles were Gaussian. The marked fluid spread quickly in the vertical direction, reaching the pycnocline a short distance downstream from the point of release. The lateral spread was less than that in the homogeneous current. In both the homogeneous and stratified currents the spreads were nonlinear. The maximum concentration of marked fluid, occurring long the plume axis, decreased nonlinearly with the diffusion time.

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