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...
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
... 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...
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
... –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...
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
... 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...
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
... 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...
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
... 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...
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
... 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...
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
... 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 =...
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
... 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...
Ngày tải lên: 20/06/2014, 20:20
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....
Ngày tải lên: 21/06/2014, 12:20