Pearson The Financial Times Guide to Options 4 ppt
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_2 pptx
... 103 1 04 105
Cost of put
4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4
Value of
put at
expiration
10 9 8 7 6 5 4 3 2 1 0 0 0 0 0 0
Profit/loss
6 5 4 3 2 1 0 –1 –2 –3 4 4 4 4 4 4
The break-even ... 102 103 1 04 105 106 107 108 109 110
Income
from call
4 4 4 4 4 4 4 4 4 4 4 4 4 4 4 4
Value of
call at
expiration
0 0 0 0 0 0 –1 –2 –3 4 –5 –6 –7 –8 –9 –10
Pro...
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_3 pot
... 60
1
/
8
0.99
1
/
8
0.01
340 41
1
/
8
0.92 1
1
/
4
0.08
360 24
5
/
8
0.76 4
3
/
4
0. 24
380 12
1
/
2
0.51 12
1
/
2
0 .48
40 0 5
3
/
8
0.28 25
1
/
4
0.72
42 0 1
7
/
8
0.12 41
7
/
8
0.83
44 0
5
/
8
0. 04 60
1
/
2
0.96
1
The ...
6800
6700
6600
6500
640 0
6300
6200
6100
6000
5900
5800
5700
5600
5500
540 0
5300
5200
5100
5000
49 00
48 00
47 00
46 00
45 00
44 00
43 0...
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_5 doc
... –5.00 4. 11 0.00 0.00 0.00 0.00 0.00
Profit/loss
–5.89 –0.89 0.00 4. 11 4. 11 0.00 –0.89 –0.89
Figure 9 .4 is a graph of the expiration profit/loss.
4
6
2
0
–2
4
–6
–8
30
32.5
35
37.5 40 42 .5 45 47 .5
50 ... 49 .59 The lower break-even level is calculated
as the lower strike minus the maximum profit, or 45 .00 – 4. 59 = 40 .41 .
Below the lower break-even level th...
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_7 doc
... is the strike price of the higher put minus the total income from the
spread, or 340 – 5.5 = 3 34. 5. The maximum downside loss is the difference
between put strikes minus the income from the ... = 4. 5. The maximum risk is
again the cost of the spread, or 5.5. The expiration profit/loss is summa-
rised as follows:
140 Part 2
Options spreads
The question...
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_9 potx
...
volatility
42 0 0.13 53.67
43 0 0.19 52.77
44 0 0.25 51.16
45 0 0.25 47 .66
46 0 0.19 42 .59
48 0 0.31 38.71
49 0 0 .44 37.19
500 0.50 34. 46
515 0.81 31.92
545 2.00 25.98
550 2.38 25.06
555 2.75 23.90
570 4. 50 ... 9 .44 3.29 9 .45
132 0.59 9. 54
1 34 0. 34 9.58
136 0.20 9. 84
138 0.11 9.98
140 0.07 10 .45
142 0. 04 10.70
144 0.02 10.76
146 0.01 10.86
Source: Data cour...
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_10 ppt
... 34. 40 and pay 33.70 for the put,
then you have sold the synthetic future at 1 140 .70. Here, you have the
obligation to sell the future above 1 140 , and the right to sell the future
below 1 140 .
The ... December 1 140 call at expiration
SPZ
1080.00 1 140 .00 11 74. 40 1200.00
Cost of December 1 140
call
– 34. 40
Value of call at
expiration
0.00 0.00 34. 40 60.00
Cal...
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_11 pot
... trade them
close to expiration in order to clear options off
our books and to avoid pin risk. But then again,
the arbs try to pay 19.75 for the above box, and
they try to sell it at 20.25. They ... will then
trade with confidence.
There is obviously much more to be said about options in terms of theory
and in terms of trading. The Financial Times Guide to O...
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_13 docx
... for the put.
(c) If the return on a sale of the stock is 0.50 per cent, then no more
than £0 .40 must be paid for the synthetic over the bid price of the
stock. Bearing in mind that the options ... 57.5 = 42 .5
v) [550 – 46 0] – 57.5 = 32.5
vi) 57.5
vii) 607.5 – 49 2.5 = 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 =...
The Financial Times Guide to Options: The Plain and Simple Guide to Successful Strategies (2nd Edition) (Financial Times Guides)_14 doc
... 149
iron see separate entry
long at -the- money call 143
long at -the- money put 145 –6
long out-of -the- money call 141 –2
long out-of -the- money put 144 –5
non-adjacent strikes 147 –8
short at -the- money ... 190, 243
early exercise premium 34 5, 240
emerging market crisis (1997) 35–6
ESX options 34
Eurodollars 32, 33, 1 94
volatility calculation 40
European-style options...
Pearson The Financial Times Guide to Options_2 pot
... Call
theta
T/P (%) Call
vega
V/P (%)
2700 185 .40 0.70 0.38 0.81 0 .44 3.9 2.1
2750 149 .40 0. 64 0 .43 0. 84 0.56 4. 2 2.8
2800 116.80 0.56 0 .48 0.85 0.73 4. 5 3.9
2850 88.10 0 .48 0. 54 0.83 0. 94 4.5 ... 35.5
380 29
3
/
8
0. 54 29
3
/
8
0 .46 0.006 9.0 37.5
40 0 22
5
/
8
0 .44 42
3
/
8
0.55 0.005 8.3 37.5
42 0 15
7
/
8
0. 34 55
5
/
8
0.65 0.005 8.0 32.5
44 0 10
3
/
4
0....
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