Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development) 7 pot
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_4 potx
... profit.
The probability of either spread expiring in the money can be approxi-
mated by the delta of the strike that is nearest the underlying. In the above
examples, both the 1 17 call and the 113 ... 0.00 0 .77 5.00 5.00 5.00 5.00 5.00
Value
of extra
short
call at
expiration
0.00 0.00 0.00 0.00 0.00 –4.23 7. 50 –10.00 –12.50
Profit/loss
–0 .77 –0 .77 –0 .77 0 –4...
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_7 pot
... for Coca-Cola
Coca-Cola
(below) 45.00 47. 50 50.00 52. 67 53.44 60.00 62.50 65.00
Total
options
debit
–0 .77 –0 .77 –0 .77 –0 .77 –0 .77 –0 .77 –0 .77 –0 .77 –0 .77
Value of
65 call at
expiration
0.00 ... is the price of the underlying at the time of the call sale less the
call income. Here, this would be 100 – 3 = 97.
There are two risks:
When the underlying
is bought a...
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_1 doc
... call, the potential profit theoretically equals the potential
savings. An at -the- money put has the same profit/ savings potential.
Duration and time decay
Another aspect that determines the amount ... 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 intrinsic valu...
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_2 docx
... 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 ... traded at the CBOE. Another
example is the ESX options (at the 25 and 75 strikes) on the Financial
Times 100 Index (FTSE-100) traded at the London Internationa...
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_3 pdf
... 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 ... nearest the money, the 360s and the 400s, also have increased
theta. The far out-of -the- money and deep in -the- money options can have
decreased theta, but this is...
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 ... the 330 put at 3 .75 and a sale of the 370 call at 3 .75 in
the same transaction, for a total credit of 7. 50 ( 75 ).
At expiry, the upside break-even level is the uppe...
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_8 pptx
... losing 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 ... to remain relatively stable when the underlying remains in the cur-
rent trading range. The belly of the skew accounts for this. The increasing
slopes of the parabolic skew in...
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_10 pdf
... 22 .75 – 15 = 7. 75
7. 75 × contract multiplier of $50 = $3 87. 50 profit for seller, loss for
buyer
+100
+75
+50
+25
0
–25
550 575 600 625 650 675 70 0
BE = 5 97. 75
–22 .75
2.25
27. 25
52.25
77 .25
102.25
Answer ... 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-...
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_11 ppt
... 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 ... has any business speculating in commodities.
270 Questions and answers
3 False, because only vegas of out-of- and in -the- money options increase with
an increase in...
iras 401ks and other retirement plans, taking your money out 7th (2006)
... 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 ... amount. The
computation must be repeated every year
to take into account variations in invest-
ment returns and other factors and then to
adjust the amount of the contr...
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