Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development) 10 pdf
Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_3 pdf
... The at -the- money options, the 380s, have the most increase in theta because they contain the most time premium. Those nearest the money, the 360s and the 400s, also have increased theta. The ... the 95 put and buy the 90 put, creating a short put spread.Another bullish strategy is to buy the 105 call while selling the 110 call, creating a long call spread. If instead we sell the 105 ... expiration, the gammas of both the at- the- money options, and the options near -the- money, increase. The effect of time decay, however, causes the gammas of the far out-of -the- money and far in -the- money...
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Annuities and Other Retirement Products: Designing the Payout Phase (Directions in Development)_10 pdf
... at 100 , you would go long the 100 105 box by going long the 100 synthetic and by going short the 105 synthetic. You would buy one 100 call, sell one 100 put, sell one 105 call, and buy one 105 ... 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...
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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 ... yours (see Figure 1.5). In tabular form this position would be as shown in Table 1.3.Table 2.3 Selling a callXYZ95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 Income from call4 4 ... disadvantage of this position is that the call buyer may lose the amount paid, 4.Table 1.1 Buying a callXYZ95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 Cost of call–4 –4 –4 –4 –4...
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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 ... 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 International Financial Futures and Options ... 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)_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 117 call and the 113 ... the underlying. If XYZ is at 100 , instead of placing your call ladder at 105 , 110 and 115, you may place it at 105 , 110 and 120. The second spread costs more and therefore has less profit potential, ... cost of the spread, or 0.50. The break-even level is the level at which a decline in the stock pays for the cost of the spread. This is calculated as the higher strike minus the cost of the spread,...
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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 ... called the cylinder. If XYZ is at 100 , you may buy the 110 call and sell the 85 put in the same transaction. In order to trade this spread, you must be reasonably certain that the underlying ... could buy the 100 call and the 100 put in the same transac-tion. The maximum risk of the spread is its cost, The long straddle is a simultaneous purchase of the at -the- money call and put...
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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)_8 pptx
... 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 ... 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 ... But as the underlying increases in price, the long put gradually loses its correlation with the stock or underlying, and the upside profit is maintained.It is no coincidence that at -the- money...
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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 ... decrease because they have less probability of becoming in -the- money, while the deltas of in -the- money puts increase because they have more probability of staying in -the- money. 10 Deltas per strike+2.55–1.50–2.70–1.40–––––––3.05 ... Questions and answers 277(c) Perhaps you think the upside risk of the above two spreads is still too great, and you think the index might reach 1225 before set-tling into a range. You are willing...
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CAN AESTHETIC THEORIES OF ART BE RESCUED FROM THE PROBLEM OF AVANT-GARDE AND OTHER NON-PERCEPTUAL ARTWORKS? – AN EXPLORATION OF NON-PERCEPTUAL AESTHETIC PROPERTIES pdf
... explains the idea of non-perceptual aesthetic properties and explores whether it can incorporate avant-garde artworks into the domain of the aesthetic. James Shelley, in his 2003 paper The ... problem for the third solution because it can explain Fountain’s special status in terms of the non-perceptual aesthetic properties that Fountain possesses but other urinals do not. The point above ... reacts against (S) and proposes the third solution’ as a way to incorporate avant-garde artworks into the aesthetic theory of art. The third solution invokes the idea of non-perceptual aesthetic...
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