Pearson The Financial Times Guide to Options 3 potx
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_2 pptx
... to compare them. ■ The call buyer has the right to buy the underlying, consequently the call seller may have the obligation to sell the underlying. ■ The put buyer has the right to sell the ... obliga- tion, to buy the underlying. The call seller has the obligation to sell the underlying at the call buyer’s discretion. These are the terms of the...
Ngày tải lên: 20/06/2014, 20:20
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_3 pot
... 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 29.00 30 .00 32 .00 33 .00 34 .00 35 .00 36 .00 37 .00 38 .00 39 .00 31 .00 Figure 4 .3 Chart of historical volatility of FTSE-100 index compared to daily price ... to 22 1 / 2 ; the 38 0 put then moves down by 1 / 2 point, to 21 1 / 2 . If the December fu...
Ngày tải lên: 20/06/2014, 20:20
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_5 doc
... 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 option that is as far from the ladder as the three options in the ... (Brokers seldom want to know about theory.) Then together we devised trade recommendations which the brokers passed on to their clients. The clients did well. One of...
Ngày tải lên: 20/06/2014, 20:20
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_7 doc
... form the expiry profit/loss is summarised in Table 13. 2. Table 13. 2 Marks and Spencer 34 0 35 0 36 0 long put butterfly M&S 33 0 34 0 34 1 35 0 35 9 36 0 37 0 Spread debit –1 Value of long 36 0 35 0 ... 1. 2 Table 12.4 shows the expiration profit/loss. Table 12.4 Marks and Spencer long April 33 0 34 0 36 0 37 0 iron condor M&S 32 0.0 33 0.0 33 4.5 34 0.0 36...
Ngày tải lên: 20/06/2014, 20:20
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_9 potx
... 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 0.14 132 0.07 8.62 0.09 133 0.04 9.01 0.05 134 0.02 9.19 0. 03 135 0.01 9.41 0.01 Source: pmpublishing.com. Skews’ ... 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 t...
Ngày tải lên: 20/06/2014, 20:20
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_10 ppt
... and pay 33 .70 for the put, then you have sold the synthetic future at 1140.70. Here, you have the obligation to sell the future above 1140, and the right to sell the future below 1140. The profit/loss ... put at 33 .70 Here, you could sell the call at 34 .40, pay 33 .70 for the put, and pay 1140.70 for the future. You have then sold the synthetic at 1140.70...
Ngày tải lên: 20/06/2014, 20:20
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_11 pot
... in -the- money boxes often trade for more than the difference between the strike prices. The options that –10 33 0 34 0 35 0 36 0 37 0 –5 0 5 10 15 20 25 30 Figure 22 .3 Marks and Spencer 34 0 36 0 ... May options Strike 34 0 35 0 36 0 May calls 21.25 15.75 11.00 May puts 10.25 14.75 20.00 Here, the long 34 0 36 0 box is calculated as the 34 0 call minus the 3...
Ngày tải lên: 20/06/2014, 20:20
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_13 docx
... iii) 537 .5 – 17.5 = 520 iv) 17.5/ 537 .5 = 3. 26% 3 (a) 7.5 – 5. 13 = 2 .37 Questions and answers 297 6 If the implied is increasing from a very low level then the gammas of the far out-of -the- money ... (a) 30 6.5 – 5470 + 532 5 = 161.5 (b) 5470 – 5475 + 217 = 212 (c) 5470 – 5525 + 238 .5 = 1 83. 5 (d) 97.5 – 5470 + 5725 = 35 2.5 2 (a) 15.75 – 14.75 + 35 0 = 35 1 (b) 28...
Ngày tải lên: 20/06/2014, 20:20
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_14 doc
... outlook 190, 2 43 early exercise premium 34 –5, 240 emerging market crisis (1997) 35 –6 ESX options 34 Eurodollars 32 , 33 , 194 volatility calculation 40 European-style options 34 , 236 , 240, 30 6 fence ... options 34 , 35 , 140, 141, 160, 30 5 boxes, trading 240 put–call parity 232 analysis of a trade 1 83 5 arbitrage 234 –5, 237 , 239 asymmetric or broken ladder...
Ngày tải lên: 20/06/2014, 20:20
Pearson The Financial Times Guide to Options_2 pot
... 2 .36 2800 87.60 0.58 0.66 1.20 1 .37 3. 12 3. 56 2850 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 2950 22.00 0.24 1.09 0.85 3. 86 2.49 11 .32 30 00 11.50 0.15 1 .30 ... point Theta ($ per day) Vega ($ per ivol point) 32 0 67 1 / 2 0. 83 7 3 / 4 0.17 0.0 03 5.0 28.0 34 0 52 1 / 2 0.75 12 3 / 4 0.25 0.004 7.0 30 .5 36 0 41.00 0.65 21....
Ngày tải lên: 21/06/2014, 12:20