Explanation:
A cliquet option is an exotic option consisting of a series of consecutive forward start options. The first option is active immediately. The second then becomes active when the first expires, etc. Each option is struck at-the-money when it becomes active.
Option B is incorrect. A gap option is a type of binary option whose stated strike price is different from its payoff strike.
Option C is incorrect. A forward start option starts at a specified date in the future; however, the premium is paid in advance, and the time of expiration is established at the time the forward start option is purchased.
Option D is incorrect. A spiral futures option is not a type of option.
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Q.67 A trader is interested in a strategy in which she purchases an option with the strike price of USD 92 that expires in April. She then invests in another option that starts in April and expires in July. This option will have a strike price equal to the price of the underlying in April. The series of such options is called a:
A
Cliquet option
B
Gap option
C
Forward start option
D
Spiral futures option
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