The Plain and Simple Guide to Successful Strategies 1 pdf

... potential savings. The disadvantage of this position is that the call buyer may lose the amount paid, 4. Table 1. 1 Buying a call XYZ 95 96 97 98 99 10 0 10 1 10 2 10 3 10 4 10 5 10 6 10 7 10 8 10 9 11 0 Cost of ... Table 1. 1. 95 10 0 10 5 11 0 –5 10 Figure 1. 2 Offering a call 95 10 0 10 5 11 0 XYZ –4 +6 Profit/loss BE = 10 4 Figure 1. 3 Buying a call 1...

Ngày tải lên: 20/06/2014, 20:20

... delta 320 60 1 / 8 0.99 1 / 8 0. 01 340 41 1 / 8 0.92 1 1 / 4 0.08 360 24 5 / 8 0.76 4 3 / 4 0.24 380 12 1 / 2 0. 51 12 1 / 2 0.48 400 5 3 / 8 0.28 25 1 / 4 0.72 420 1 7 / 8 0 .12 41 7 / 8 0.83 440 5 / 8 0.04 ... point, then the 380 call moves up by 1 / 2 point, to 22 1 / 2 ; the 380 put then moves down by 1 / 2 point, to 21 1 / 2 . If the December futur...

Ngày tải lên: 20/06/2014, 20:20

... 8.4 Long SPY June 11 3 11 1 put spread Microsoft 10 9 11 0 11 1 11 2 11 2.50 11 3 11 4 11 5 Spread debit –0.50 Value of spread at expiration 2 2 2 1 0.50 0 0 0 Profit/loss 1. 50 1. 50 1. 50 0.50 0 –0.50 ... spread SPDR 11 5 11 6 11 7 11 7.90 11 8 11 9 12 0 12 1 Spread credit 0.90 Value of spread at expiration 0 0 0.00 0.90 1. 00 2.00 2.00 2.00 Profit/loss 0.90...

Ngày tải lên: 20/06/2014, 20:20

... shown in Figure 13 .1. 1 8.75 /1. 25 = 7 /1, and flip it over. 350 0 5 10 –5 330 340 360 370 Figure 13 .1 Expiration profit/loss relating to Table 13 .1 12  Iron butterflies and iron condors: ... spread at expiry 10 10 –9 0 0 0 0 Profit/loss 1 1 0 9 0 1 1 The graph of the expiration profit/loss (see Figure 13 .2) is almost identical to the one shown in Fig...

Ngày tải lên: 20/06/2014, 20:20

... 0.06 11 . 21 118 0 .11 10 .84 12 0 0 .19 10 .38 12 2 0.33 10 . 01 124 0.57 9.76 12 6 3. 31 9.57 1. 30 9.55 *12 8 2.22 9.44 2.20 9.43 10 0 10 6 11 2 11 8 12 4 13 0 13 6 14 2 14 8 10 0 Strike v . volatility Figure 20 .1 ... 0.23 12 7 1. 44 8.44 0.65 0.42 8.42 0.35 *12 8 1. 05 8 .14 0. 51 1.04 8.26 0.49 12 9 0.43 8.30 0.36 1. 41 8.32 0.63 13 0 0.25 8.40 0.24 2...

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 11 40.70. Here, you have the obligation to sell the future above 11 40, and the ... your total cost is 0.70 + 33.70 = 34.40, or the price of the December 11 40 call. Compare the profit/loss tables for the 11 40 call (Table 21. 1) and the...

Ngày tải lên: 20/06/2014, 20:20

... ÷ 18 8 = 1. 10 = risk of 1. 10 to return of 1. 00. Call risk/return = 74 ÷ 11 7 = 0.63 to return of 1. 00 0.5 0 –0.5 1 1. 5 –2 18 18 .5 0 .18 0 .18 0 .18 –0.82 –0.32 1. 32 1. 82 19 19 .5 20 20.5 21 Answer ... Questions and answers Chapter 1 answers 1 (a) 19 .18 (b) unlimited (c) 0 .18 (d) 19 .18 , 0 .18 , unlimited (e) $18 (f) (g) (h) –0 .18 2 1. 5 1 0....

Ngày tải lên: 20/06/2014, 20:20

... 89.5 iii) 5675 + 10 .5 = 5685.5 iv) 5875 – 10 .5 = 5864.5 v) 5864.5 – 5685.5 = 17 9 points vi) 10 .5 = 10 5 (b) i) 15 9.5 + 57 – 11 7 – 81 = 18 .5 ii) [5725 – 5625] – 18 .5 = 81. 5 iii) 5625 + 18 .5 = 5643.5 iv) ... and answers Chaper 13 Questions 1 In the UK, the FTSE -10 0 index has been bullish since the end of October, and you expect this trend to continue through...

Ngày tải lên: 20/06/2014, 20:20

... volatile and stationary 11 0 gamma 57–8, 11 0, 11 2, 307 long straddle 57, 11 0 13 long strangle 11 6 18 market volatility 10 9 10 short straddle 57, 11 4 16 short strangle 11 8 19 theta 11 0, 11 8, ... condor 14 5 long diagonal call spread 16 0 long iron butterfly 12 1 long straddle 11 0, 11 2, 11 3 pin risk 33, 14 0, 308 short at -the- money call and pu...

Ngày tải lên: 20/06/2014, 20:20

... Figure 11 .1. The long straddle has the total positive vega of the call plus the put. It is extremely sensitive to a change in the implied volatility. If the underly- ing starts to move, and the ... an out-of -the- money call and put 11  Volatility spreads 11 1 and the potential return is the full amount that the underlying increases or decreases abov...

Ngày tải lên: 21/06/2014, 00:20