The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides) 3 pot

... time period. The put owner has the right to ‘put the underlying to the opposing party. The other party, the put seller, consequently incurs the potential obligation to purchase the underlying. Buying ... components. The first of these is the amount equal to the difference between the strike price and the price of the underlying, and it is termed the...

Ngày tải lên: 20/06/2014, 20:20

... N 11.00 12.00 13. 00 14.00 15.00 16.00 17.00 18.00 19.00 20.00 21.00 22.00 23. 00 24.00 25.00 26.00 27.00 28.00 29.00 30 .00 32 .00 33 .00 34 .00 35 .00 36 .00 37 .00 38 .00 39 .00 31 .00 Figure 4 .3 Chart of historical volatility of FTSE-100 index compared to daily price ... to 22 1 / 2 ; the 38 0 put then moves down by 1 / 2 point, to 21 1 / 2 . If the December fu...

Ngày tải lên: 20/06/2014, 20:20

... want to know about theory.) Then together we devised trade recommendations which the brokers passed on to their clients. The clients did well. One of them took one of our recommendations and ... as a potential sale of the index (the ETF) at 1 13, and a potential buy of the index at 111. For this profit potential you pay a premium. In order to assess the profit/loss po...

Ngày tải lên: 20/06/2014, 20:20

... expect the stock to range, and for volatility to come down. The expiry profit/loss is shown in Table 12 .3. Table 12 .3 Marks and Spencer short April 33 0 34 0 36 0 37 0 iron condor M&S 32 0.0 33 0.0 ... 1. 2 Table 12.4 shows the expiration profit/loss. Table 12.4 Marks and Spencer long April 33 0 34 0 36 0 37 0 iron condor M&S 32 0.0 33 0.0 33 4.5 34 0.0...

Ngày tải lên: 20/06/2014, 20:20

... 1.04 8.26 0.49 129 0. 43 8 .30 0 .36 1.41 8 .32 0. 63 130 0.25 8.40 0.24 2. 23 8.46 0.75 131 0. 13 8 .38 0.14 132 0.07 8.62 0.09 133 0.04 9.01 0.05 134 0.02 9.19 0. 03 135 0.01 9.41 0.01 Source: pmpublishing.com. Skews’ ... So, in the end, what’s going to happen? A blow-out. No firm, no one, no body is bigger that the market. Think of the Hunt brothers who tried to corne...

Ngày tải lên: 20/06/2014, 20:20

... on the other hand, you sell the call at 34 .40 and pay 33 .70 for the put, then you have sold the synthetic future at 1140.70. Here, you have the obligation to sell the future above 1140, and the ... Futures, synthetics and put–call parity 2 23 On the other hand, the holder of the long futures position forgoes the dividends payable for the next six weeks,...

Ngày tải lên: 20/06/2014, 20:20

... expiry Marks and Spencer 33 0 34 0 35 0 36 0 37 0 Debit from long 34 0 synthetic –11 Value of long 34 0 synthetic at expiry –10 0 10 20 30 Debit from short 36 0 synthetic –9 Value of short 36 0 synthetic ... connect the four dots at 34 0 and 36 0 then the picture looks like a box. Questions and answers 247 3 In the UK, the FTSE-100 share index is currently...

Ngày tải lên: 20/06/2014, 20:20

... 5470 + 5725 = 35 2.5 2 (a) 15.75 – 14.75 + 35 0 = 35 1 (b) 28.50 – 35 1 + 33 0 = 7.50 (c) 35 1 – 34 0 + 10.00 = 21.00 (d) 11.00 – 35 1 + 36 0 = 20.00 (e) 35 1 – 37 0 + 26 = 7.00 284 Questions and answers Strike 420 ... iii) 537 .5 – 17.5 = 520 iv) 17.5/ 537 .5 = 3. 26% 3 (a) 7.5 – 5. 13 = 2 .37 Questions and answers 297 6 If the implied is increasing from a very l...

Ngày tải lên: 20/06/2014, 20:20

... 112, 1 13 pin risk 33 , 140, 30 8 short at -the- money call and put butterflies 136 short straddle 114 theta 59, 165–9, 30 8 time decay 28, 30 9 time premium 27, 30 9 vega 64, 66, 165–9, 189, 30 9 ... premium 34 exercise and assignment 31 interest rates, dividends and margin vs cash payment 29 30 pin risk 33 , 30 8 put–call parity 232 synthetic/combo 226 v...

Ngày tải lên: 20/06/2014, 20:20

... crushed, and the straddle sellers quickly buy their straddles back. 33 0 5 10 15 20 25 0 –5 –10 –15 –20 –25 31 0 32 0 34 0 35 0 36 0 37 0 38 0 39 0 Figure 11.2 Expiration profit/loss relating to Table 11 .3 ... strikes are to the underlying, the more this spread behaves like a long straddle, with increased exposure 33 0 5 10 15 20 0 –5 –10 –15 31 0 32 0 34 0 35 0...

Ngày tải lên: 21/06/2014, 00:20