I’m a little bit unclear on credit spread options after doing schweser practice exam 2 - afternoon session - question 14.5. Basically, schweser says in the answer section that a credit spread call will be in the money if the spread is above the strike spread. However, it goes on to say that a credit spread put will also be in the money if the credit spread exceeds the reference spread. What’s the difference?
Have you checked the errata? A credit spread put would be in the money if reference rate>credit spread.
Yes, checked the errata - nothing there. But your explanation would make sense. Probably just hasn’t been reported yet.