The Plain and Simple Guide to Successful Strategies 9 potx

... to compare them. ■ The call buyer has the right to buy the underlying, consequently the call seller may have the obligation to sell the underlying. ■ The put buyer has the right to sell the ... e.g. 94 .00, 94 .25, 94 .50, etc. When an option is closest to the underlying, it is termed at -the- money (ATM). Here, both the 94 .25 call and the 94 .25...

Ngày tải lên: 20/06/2014, 20:20

... the FTSE implied was around 20 per cent. In the back of my mind was, and always is, 19 October 198 7. In October 199 7 the UK market started to weaken because of its expo- sure to Hong Kong, and ... options theory takes a back seat. I went to the floor and wedged my way into the crowd, and I waited, knowing that I was covered. The bell sounded and the shouting...

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 ... further from the underlying. How to manage the risk of the long ladder The risk of the long ladder is managed similarly to that of the long one by two. If the underlyin...

Ngày tải lên: 20/06/2014, 20:20

... 5. The profit on the long 95 –100 call spread pairs off against the loss on the short 100–105 call spread. The butterfly is then worth- less, and the cost of the butterfly is taken as a loss. There ... Taking the example above, if XYZ closes at 100, then the 95 –100 call spread is worth 5, and the 100–105 call spread is worth zero. The cost of the butterfly is th...

Ngày tải lên: 20/06/2014, 20:20

... months, and during this time they are exposed to risk. In order to cover their risk, the market-makers need to widen their bid–ask spreads. Under these circumstances, to ask the market-makers to ... wildly, then the options market-makers cannot hedge. In order to cover their risk, they need to widen their markets to correspond to the wide range of the underlyin...

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 223 On the other hand, the holder of the long futures position forgoes the dividends payable for the next six weeks, and...

Ngày tải lên: 20/06/2014, 20:20

... them close to expiration in order to clear options off our books and to avoid pin risk. But then again, the arbs try to pay 19. 75 for the above box, and they try to sell it at 20.25. They often ... more to be said about options in terms of theory and in terms of trading. The Financial Times Guide to Options, and its pre- cursor, Options Plain and Simple,...

Ngày tải lên: 20/06/2014, 20:20

... The box is priced at 1,000 – 3 = 99 7. The market for the box is probably 99 5 – 99 9. (b) Purchase boxes in the FTSE to lend, sell boxes to borrow. (c) 99 7 = (572.5 – 81) – (35.5 + ?) ? = 99 7 ... Given the following May options on Marks and Spencer, determine the price of the synthetic futures contract and the prices of the missing options. Bear in mind...

Ngày tải lên: 20/06/2014, 20:20

... margin on futures options 29 terms used for spreads 72 long 1×2 call spread 85–7, 91 , 97 9 call spread for a credit 88, 91 , 97 9 put spread 88 91 , 97 9 long at -the- money call butterfly 131–4 ... call and put butterflies 136 short straddle 114 theta 59, 165 9, 308 time decay 28, 3 09 time premium 27, 3 09 vega 64, 66, 165 9, 1 89, 3 09 VIX 185 volatility skews 202, 2...

Ngày tải lên: 20/06/2014, 20:20

... the cost of the spread, or 95 + 0. 29 = 95 . 29. No matter how far the stock declines below 95 , you will still be obligated to purchase it for an effective cost of 95 . 29. Because of the naked short ... 0. 29. The break-even level at expiration is the lower strike plus the cost of the spread, or 55 + 0. 29 = 55. 29. The maximum upside profit is the difference...

Ngày tải lên: 21/06/2014, 00:20