Pearson The Financial Times Guide to Options 2 pot

... 0.00 +0. 42 +0. 92 1. 42 1. 92 2. 42 In graphic form, the expiration profit/loss is summarised in Figure 1.4. 3 2. 5 2 1.5 1 0.5 0 –0.5 –1 17 17.5 –0.58 –0.58 –0.58 –0.08 0. 42 0. 92 1. 42 1. 92 2. 42 18 18.5 ... 1 0.5 0 –0.5 –1 –1.5 2 2. 5 –3 17 17.5 0.58 0.58 0.58 0.08 –0. 42 –0. 92 –1. 42 –1. 92 2. 42 18 18.5 19 19.5 20 20 .5 21 Figure 1.6 GE 18.00 call site A c...

Ngày tải lên: 20/06/2014, 20:20

... 1 / 2 point, to 22 1 / 2 ; the 380 put then moves down by 1 / 2 point, to 21 1 / 2 . If the December futures contract moves down by 1 point, then the 380 call moves to 21 1 / 2 and the 380 ... LFTY FTSE-100 F M A M J J A S O N 11.00 12. 00 13.00 14.00 15.00 16.00 17.00 18.00 19.00 20 .00 21 .00 22 .00 23 .00 24 .00 25 .00 26 .00 27 .00 28 .00 29 .0...

Ngày tải lên: 20/06/2014, 20:20

... If the underlying suddenly moves to the short strike that was formerly furthest out-of -the- money, the first solution is to buy back that strike. The second solution is to buy the out-of -the- money ... 0.00 2. 18 –5.00 (– unlimited) Profit/loss –0. 32 –0. 32 0.00 2. 18 2. 18 0.00 2. 82 (– unlimited) Figure 9.3 is a graph of this spread at expiration. 0 1 2 3 –1 2 –...

Ngày tải lên: 20/06/2014, 20:20

... debit: 320 + 2. 25 = 322 .25 Profit range: 347.75 – 322 .25 = 25 .50 Maximum loss: cost of spread: 2. 25 The risk/return ratio is again favourable at 2. 25/7.75 = 0 .29 for 1, or 1/3.44. The profit/loss ... 1 to make 1 .22 . 330 0 2 4 6 2 –4 –6 310 320 340 350 360 370 380 390 Figure 12. 3 Expiration profit/loss relating to Table 12. 3 1 32 Part 2  Options sprea...

Ngày tải lên: 20/06/2014, 20:20

... implied Put delta 121 0.01 10. 02 0.01 122 0.03 10. 42 0.03 123 0.05 9. 92 0.06 124 0.07 9.00 0.08 125 0.14 8.91 0.14 126 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 * 128 1.05 8.14 ... to risk. In order to cover their risk, the market-makers need to widen their bid–ask spreads. Under these circumstances, to ask the market-makers to tigh...

Ngày tải lên: 20/06/2014, 20:20

... 21  Futures, synthetics and put–call parity 22 3 On the other hand, the holder of the long futures position forgoes the dividends payable for the next six weeks, and therefore the value ... contract simply expires to the current cash value of the index. There, the holder of the long futures contract pays the cash value of all the stocks in the index. The...

Ngày tải lên: 20/06/2014, 20:20

... expiration 0 0 25 50 75 100 125 Profit/loss 22 .75 22 .75 +2. 25 +27 .25 + 52. 25 +77 .25 +1 02. 25 25 0 150 –50 0 50 –150 25 0 –350 –450 +25 3 –47 –147 24 7 –347 –447 +53 +153 BE = 5553 5100 520 0 5300 5400 5500 ... from put: 23 3.5 + 9.75 = 24 3 .25 (c) 23 3.5 – 21 0 .25 = 23 .25 potential savings: 28 0 – 23 3.5 = 46.5 poten- tial opportunity cost (d) Cost of shares minus in...

Ngày tải lên: 20/06/2014, 20:20

... 537.5? 29 0 Questions and answers iii) 28 50 – 3.8 = 28 46 .2 iv) 27 50 + 3.8 = 27 53.8 v) 28 46 .2 – 27 53.8 = 92. 4 points vi) 3.8 (b) i) 107 + 54.5 – 85.8 – 68.4 = 7.3 ii) (28 50 – 28 00) = 42. 7 iii) 28 50 ... 57.5 vii) 607.5 – 4 92. 5 = 115 2 (a) i) 2. 05 + 1.45 – 0. 82 – 0.34 = 2. 34 debit ii) 55 + 2. 34 = 57.34 iii) 50 – 2. 34 = 47.66 iv) [60 – 55] – 2. 34 = 2....

Ngày tải lên: 20/06/2014, 20:20

... towards 20 8–9 interest rate contracts, long-term 20 7 market sentiment 21 4–15 put skew 197, 20 1, 20 7, 21 0, 21 4 reasons for 20 6–7 stock indexes 20 2–3, 20 7, 21 0, 21 4 stocks 20 4 trading 20 6, 21 1 ... 154 synthetic 308 futures contract 22 4–5 long call position 22 6–7 long put position 22 9–30 put–call parity 23 1 2 puts 154, 196, 22 1, 22 9–31 shor...

Ngày tải lên: 20/06/2014, 20:20

... 1.14 0.94 2. 86 2. 36 28 00 87.60 0.58 0.66 1 .20 1.37 3. 12 3.56 28 50 59.80 0.47 0.79 1.17 1.96 3.18 5. 32 2900 37.70 0.35 0.93 1.04 2. 76 2. 97 7.88 29 50 22 .00 0 .24 1.09 0.85 3.86 2. 49 11. 32 3000 11.50 ... 0.54 29 00 63.80 0.40 0.63 29 50 44 .20 0. 32 0. 72 3000 29 .20 0 .24 0. 82 3050 18.40 0.17 0. 92 By comparing the delta/price ratios we find that the out-of...

Ngày tải lên: 21/06/2014, 12:20