A Logical Approach to Actuarial Mathematics 11 docx

... 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 ... 236 Part 4  Basic non-essentials Conversion and reversals on individual stocks and on other stock indexes The conversion and reversal markets on stocks operate in basically the same manner...

Ngày tải lên: 21/06/2014, 08:20

... what options are really about. Volatility data is also available from data vendors and exchanges. O Trade options with a durational outlook; when the duration has ended, take your profits or ... 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....

Ngày tải lên: 21/06/2014, 08:20

... decline. Just as you may have purchased a call to 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 ... more than a short-term hedge. Time decay, however, is not linear. Figure 3.1 illustrates that an option loses its value at an accelerating rate as it approaches expiration. Anoth...

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 117 and a potential sell at 119 , for which you pay a premium. Your analysis may ... that each investor can take the amount of risk that he is able to justify and manage. This part outlines the major strategies that spread risk. These strategies can be traded on all th...

Ngày tải lên: 21/06/2014, 08:20

... 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 is activated ... known as the long put spread because it is similar to a long put. 5 You may simply think of this spread as a potential sale of the index (the ETF) at 113 , and a potential buy of t...

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 ... 10.2 Expiration profit/loss relating to Table 10.3 Many investors create spreads that combine components of the standard spreads to suit a particular outlook and strategy 114 Part 2...

Ngày tải lên: 21/06/2014, 08:20

... purchase of a put. The long calendar spread or long time spread Calendar spreads in particular can be complicated, and their return poten- tials can in many cases be duplicated by other stationary ... traded are call calendars, but there is no reason not to trade put calendars. The profit/loss characteristics are practically identical, except in the OEX and other American styled contrac...

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 ... Negative call skews in stock indexes indicate that as their markets move steadily higher and the value of their indexes increases, an equiva- lent price change calculates to a lower his...

Ngày tải lên: 21/06/2014, 08:20

... value changes through a 1 per cent change in the implied volatility. Vertical spread A call or put spread. Volatility A one-day, one standard deviation move, annualised. Volatility, historical ... of an option. The amount of an option’s value that corresponds to volatility coverage. Time spread See Calendar spread. Underlying An asset upon which an option’s value is based. This can...

Ngày tải lên: 21/06/2014, 08:20

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Ngày tải lên: 09/03/2014, 01:20