Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development) 4 potx

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_4 potx

... calls or puts. The further a spread is from the underlying, the less cost or income it has, and the less probability it has of becoming in -the- money.1×1s and volatility skews In the stock or ... 49 .59 The lower break-even level is calculated as the lower strike minus the maximum profit, or 45 .00 – 4. 59 = 40 .41 .Below the lower break-even level the spread loses point for point with the ... 81 The break-even level is the level at which a decline in the stock matches the spread income. This is calculated as the higher strike minus the price of the spread, or 113 – 0.50 = 112.50.The...

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_1 doc

... 102 103 1 04 105 106 107 108 109 110Income from call 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4Value of call at expiration0 0 0 0 0 0 –1 –2 –3 4 –5 –6 –7 –8 –9 –10Profit/loss 4 4 4 4 4 4 3 2 1 0 ... 110Cost of call 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 Value of call at expiration0 0 0 0 0 0 1 2 3 4 5 6 7 8 9 10Profit/loss 4 4 4 4 4 4 –3 –2 –1 0 1 2 3 4 5 6All options ... would be as shown in Table 2.1.Table 2.1 Buying a putXYZ90 91 92 93 94 95 96 97 98 99 100 101 102 103 1 04 105Cost of put 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 Value of put at...

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_2 docx

... 601/80.991/80.01 340 41 1/80.92 11/ 4 0.08360 24 5/80.76 4 3/ 4 0. 24 380 121/20.51 121/20 .48 40 0 53/80.28 251/ 4 0.72 42 0 17/80.12 41 7/80.83 44 05/80. 04 601/20.961 The ... carry of the index, and the amount of dividends contained in the index. The costs of carry and dividends are added and discounted in the same manner as options on individual stocks. These options ... some investors.On the other hand, a 19 per cent probability of December Corn moving to 44 0 by expiration may be the point at which another investor wishes to cover a short position in the underlying....

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_3 pdf

... most increase in theta because they contain the most time premium. Those nearest the money, the 360s and the 40 0s, also have increased theta. The far out-of -the- money and deep in -the- money options ... 1 point decrease in the underlying, the combined delta decreases by 0.026: the put increases its delta by 0.013, and the call decreases its delta by 0.013. In other words, as the underlying ... 0.001 340 41 1/80.92 11/ 4 0.08 0.005360 24 5/80.76 4 3/ 4 0. 24 0.01380 121/20.51 121/20 .48 0.013 40 0 53/80.28 251/ 4 0.72 0.011 42 0 17/80.12 41 7/80.83 0.006 44 0...

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_5 doc

... cover their risk by selling futures. Then the other players in the market needed to sell futures in order to cover their risk. The market went down and down. Traders were ringing us up, asking ... price, and the maximum return is potentially unlimited. Below 328.50 the spread profits point for point with a decline in the stock price, and the maximum return is the full extent of the shares’ ... reduced by the credit of the spread. For exam-ple, if the stock closes at 45 and you are assigned on the put, the purchase price of Coca-Cola would be 45 – 0.03 = 44 .97. If the stock continues to...

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_7 pot

... that there were better ways of capturing the upside. These are outlined in the examples at the end of Chapters 1 and 2, and they are called substitution trades. 15  The interaction of the ... Conversely, they become less exaggerated if, as the strike prices narrow, the underlying increases in value, and time and the implied increases.Imagine a stock index at 40 00 and an implied ... stock and write the call, and if there are no dividends involved, and if you’re a short-term investor, then just sell the in the money put and save yourself commissions. You’ll have the same...

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_8 pptx

... 9 .44 3.29 9 .45 132 0.59 9. 54 1 34 0. 34 9.58136 0.20 9. 84 138 0.11 9.98 140 0.07 10 .45 142 0. 04 10.70 144 0.02 10.76 146 0.01 10.86Source: Data courtesy of pmpublishing.com. In Figure 20.1, the ... volatility 42 0 0.13 53.67 43 0 0.19 52.77 44 0 0.25 51.16 45 0 0.25 47 .66 46 0 0.19 42 .59 48 0 0.31 38.71 49 0 0 .44 37.19500 0.50 34. 46515 0.81 31.92 545 2.00 25.98550 2.38 25.06555 2.75 23.90570 4. 50 ... value because the stock is moving away from them, but they are gaining value as the increasing implied volatility increases their premium. There is increased demand for them because they are alternatives...

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_10 pdf

... +102.25250150–50050–150–250–350 45 0+253 47 – 147 – 247 – 347 44 7+53+153BE = 55535100 5200 5300 540 0 5500 5700 5800 5900 6000Answer 3h Questions and answers 247 3 In the UK, the FTSE-100 share index is currently ... certain – that they increased the volume of their derivatives exposure in order to maintain their profit level. Fair enough. But they also increased their lever-age. They tried to apply the ... in the long synthetic just as they are with a futures contract. In this example, there were no dividends through expiry.) During the next 75 days the difference between the synthetic and the...

Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_11 ppt

... 340 360 380 40 0 42 0 44 0 46 0 48 0 500Calls 41 ’6 32’2 25 19 4 15’3 12’1 9’6 7’7Puts3 4 7 4 13’5 21’7 32’2 44 ’7(a) i) What is the cost of the long $5 call, short $3 put combo in ticks and in ... they both change the same amount in either case. If the underly-ing moves up, the 0.50 delta call increases in value at half the rate of the underlying, while the 0.50 delta put decreases in ... – 44 00 = 40 0 points change at opening 40 0 /48 00 = 0.0833, or 8.33% price change 8.33% × 16 = 133% volatility of index The options, at 70 per cent, are extremely undervalued. On the other hand,...

iras 401ks and other retirement plans, taking your money out 7th (2006)

... simplify administration. In almost every other respect, the rules and regula- 1 /4 IRAS, 40 1(K)S & OTHER RETIREMENT PLANS the money out whenever you want, nor can you leave it in the plan indeﬁnitely, ... you inherited from your mother, you pay tax on the fair market value of the assets on the date of distribution. And if your mother had some basis left in the account, that re-maining basis ... IRAS, 40 1(K)S & OTHER RETIREMENT PLANSTable IILeave inside IRA: $10,000 Investment return: 8% Tax Rate: 28% Initial Invest- Current Total ment Beginning Interest Year Tax on Investment...

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