A Logical Approach to Actuarial Mathematics 7 potx

... equidistance 4 may vary, however, from adjacent to any number of non-adjacent strikes. For example, if XYZ is at 100, a call ladder may have strike prices at 105, 110 and 115, or it may have strike ... have a contingency plan as part of your risk scenario. At the same time as you place your spread order, you should also place a buy-stop, market order for a covering option that...

Ngày tải lên: 21/06/2014, 08:20

... –0 .77 –0 .77 –0 .77 –0 .77 –0 .77 –0 .77 –0 .77 –0 .77 Value of 65 call at expiration 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Stock profit/ loss at expiration (–full amt) 7. 67 –5. 17 –2. 67 0.00 ... Coca-Cola at 52. 67, the August 55 calls are priced at 1.45. Let’s assume that Coca-Cola immediately rallies $5, to 57. 67. At this point, your short 60 calls will be worth appr...

Ngày tải lên: 21/06/2014, 08:20

... volatility trading 57 8 Greeks 175 –6 delta see separate entry delta vs gamma, theta and vega 169 70 gamma see separate entry implied volatility changes 173 –4 implied volatility vs 170 –3 ... 122 options calculator 175 other 174 rho 174 , 308 spreads 74 , 78 , 85, 89 theta see separate entry time and 165–9 vega see separate entry hedge ratio 51 hybrid spreads 106–8, 3 07...

Ngày tải lên: 21/06/2014, 08:20

... value at an accelerating rate as it approaches expiration. Another way of stating this is that the proportion of an option’s daily time decay to its value increases toward expiration. Using ... cap- ture an upside move, you now may purchase a put to capture a downside move. (Your advantage, as an alternative to taking a short position in the underlying, is that you are not exp...

Ngày tải lên: 21/06/2014, 08:20

... Call spreads and put spreads, or one by one directional spreads 75 With this spread, you have a potential buy at 1 17 and a potential sell at 119, for which you pay a premium. Your analysis may ... corresponds to low return. The advantage of options spreads is that each investor can take the amount of risk that he is able to justify and manage. This part outlines the major str...

Ngày tải lên: 21/06/2014, 08:20

... have net negative vega, negative gamma and positive theta. These spreads are best opened when the market has been active, and when absolute move- ment has started to decrease. The same spread ... advisable to place the put at a greater distance from the underlying than the call, unless you are convinced that the stock has bottomed out. Use the technicals to find a support area....

Ngày tải lên: 21/06/2014, 08:20

... the market retraces and stabilises, and time decay begins to eat away at the puts, but by then the put sellers are only too glad to close their positions at a break-even level. Another reason ... historical data that large price changes in many underlyings occur with greater frequency than are accounted for by normal distribution. At least once in a generation an asteroid hits th...

Ngày tải lên: 21/06/2014, 08:20

... time to time, it’s an almost risk-free way to make money. So if you learn about the arb, then you’re prepared to take advantage of it when you see it. Read Part 4 at least once. Think about ... disorientation. What a futures contract is A futures contract is simply an agreement to trade a commodity, stock, bond or currency at a specified price at a specified future date....

Ngày tải lên: 21/06/2014, 08:20

... expiry for a sale of this call with the FTSE in a range of 5000 to 6000 at intervals of 100. 4 March soybeans are currently trading at 573 .75 and the March 575 calls are trading at 22 .75 . (a) If ... elusive variable, and in the end this is what options are really about. Volatility data is also available from data vendors and exchanges. O Trade options with a durational outloo...

Ngày tải lên: 21/06/2014, 08:20

... wearing a 400 A LAYERED APPROACH TO NLP-BASED INFORMATION RETRIEVAL Sharon Flank SRA International 4300 Fair Lakes Court Fairfax, VA 22033, USA flanks~sra.com Abstract A layered approach ... corresponds to a location, a location expansion pro- cess is invoked that, accessing a gazetteer, displays the location and related locations, such as Arlington, Virginia...

Ngày tải lên: 08/03/2014, 05:21