Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development) 8 pptx
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_8 pptx
... 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 indicate that the implied ... 126 2.26 8. 59 0.77 0.25 8. 68 0.23 127 1.44 8. 44 0.65 0.42 8. 42 0.35*1 28 1.05 8. 14 0.51 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 ... spreading risk, either with the underlying or with other options. If the underlying or the other options contracts are not liquid, then the options 18 Options talk 2: trading options 191Some...
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Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_1 doc
... 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 value. The second component is the time ... 90 and 85 . These in -the- money’ calls, as they are known, cost progressively more as their distance from the underlying increases. Where the underlying is a stock, many investors purchase these ... the underlying to’ the opposing party. The other party, the put seller, consequently incurs the potential obligation to purchase the underlying.Buying putsSuppose you own XYZ, and it is currently...
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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 ... 601/ 8 0.991/ 8 0.01340 411/ 8 0.92 11/40. 08 360 245/ 8 0.76 43/40.24 380 121/20.51 121/20. 48 400 53/ 8 0. 28 251/40.72420 17/ 8 0.12 417/ 8 0 .83 4405/ 8 0.04 ... rather than ring the last amount of time decay from it and risk an unwanted position in the underlying. If you wait until the morning of expiration, you may find that you are joined by others...
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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 ... want to know how the crash of 1 987 and the grinding retracement of 1 988 affected OEX implieds, how in turn the implieds mul-tiplied the vegas, and how in turn the vegas affected the options prices, ... the December 380 call will then be 14.For out-of- and in -the- money options, the vega itself increases as the implied increases, and it decreases as the implied decreases. Therefore with these...
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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 ... to 85 , then the solution is to buy one 80 put. In the first case, the resulting position is a long call condor, and in the second case, the resulting position is a long put condor. Both of these ... 1.10. The break-even level is the same as the long call spread. This is the level at which a loss due to an increase in the stock price matches the income from the spread. The calculation is the...
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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 3 28. 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’ ... 371.50. The downside break-even level is the strike price minus the cost of the spread, or 350 – 21.50 = 3 28. 50.Above 371.50 the spread profits point for point with an increase in the stock...
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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 ... expiration. The lower break-even level for your position is the price at which the call income equals the decline in the stock price. This is calculated as the price of the stock minus the income ... 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...
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Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_10 pdf
... 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 ... = 1 28 32/32 = 1 28 64/64, or strike price in options ticks 1 28 64/64 – 58 /64 = 1 28 6/64 = 1 28 3/32 = 1 28. 03, or break-even level(c) 1 28. 03(d) 0. 58 (e) 1 28. 03, 0. 58, 1 28. 03(f) ... 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...
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Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_11 ppt
... 9290; 90 – 1 .80 = 88 .20; 88 20(b) 90.56 × 0.03 = 2.72; 90.56 – 2.72 = 87 .84 (c) Long December 90 87 put spread(d) 1 .8 – 1 = 0 .8 (e) 3 – 0 .8 = 2.2 = $220; $80 ; 90 – 0 .8 = 89 .20; 0 .8/ 2.2 = 0.36 ... 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 ... 610 call 8. 8 51 17 .80 0 .80 (b) If the implied increases by 3 percentage points, which of the above options gains the most in percentage terms?3 Increased implied volatility leads to increased...
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iras 401ks and other retirement plans, taking your money out 7th (2006)
... 401(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 Tax ... 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 ... otherwise remain in the retire-ment account. But also, the tax advantages of averaging decline as the distribution in- creases in amount. In addition, the top tax rates in 1 986 were quite...
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