Pearson The Financial Times Guide to Options 8 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 ... would lose one -to- one with the stock. Below 18. 00 you would collect 0. 58. Between 18. 00 and 18. 58 you would have a profit equal to the strike price minus th...

Ngày tải lên: 20/06/2014, 20:20

... 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 put moves to ... at the ends of the bell curve. There are two types of volatility used in the options markets: the histori- cal volatility of the underlying, and the implied volatility...

Ngày tải lên: 20/06/2014, 20:20

... 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

... as the long iron condor. As with long call and put spreads, the long options here can be placed closer to the underlying because they are financed by short options that are further out-of -the- money. ... with the butterfly There are other risks with the butterfly. The first is pin risk, which is unlikely, but possible. The two short strikes may expire at -the- money. I...

Ngày tải lên: 20/06/2014, 20:20

... 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 *1 28 1.05 8. 14 0.51 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 ... 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 tight...

Ngày tải lên: 20/06/2014, 20:20

... 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 holder of the short futures ... 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 futu...

Ngày tải lên: 20/06/2014, 20:20

... 2 48 Questions and answers Chapter 1 answers 1 (a) 19. 18 (b) unlimited (c) 0. 18 (d) 19. 18, 0. 18, unlimited (e) $ 18 (f) (g) (h) –0. 18 2 1.5 1 0.5 0 –0.5 18 18. 5 –0. 18 –0. 18 0.32 0 .82 1.32 1 .82 19 19.5 ... 1 28 64 / 64 , or strike price in options ticks 1 28 64 / 64 – 58 / 64 = 1 28 6 / 64 = 1 28 3 / 32 = 1 28. 03, or break-even level (c) 1 28. 03 (d) 0....

Ngày tải lên: 20/06/2014, 20:20

... answers iii) 285 0 – 3 .8 = 284 6.2 iv) 2750 + 3 .8 = 2753 .8 v) 284 6.2 – 2753 .8 = 92.4 points vi) 3 .8 (b) i) 107 + 54.5 – 85 .8 – 68. 4 = 7.3 ii) ( 285 0 – 280 0) = 42.7 iii) 285 0 – 7.3 = 284 2.7 iv) 2650 ... range of the condor is therefore 84 p greater. 2 (a) i) 107 + 68. 40 – (2 × 85 .80 ) = 3 .8 ii) ( 285 0 – 280 0) – 3 .8 = 46.2 288 Questions and answers Chaper...

Ngày tải lên: 20/06/2014, 20:20

... 122 options calculator 175 other 174 rho 174, 3 08 spreads 74, 78, 85 , 89 theta see separate entry time and 165–9 vega see separate entry hedge ratio 51 hybrid spreads 106 8, 307 in -the- money ... for a specified time period. The put buyer has the right, but not the obligation, to sell the underlying. The put seller has the obligation to buy the underlying at...

Ngày tải lên: 20/06/2014, 20:20

... 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 .8 280 0 116 .80 0.56 0. 48 0 .85 0.73 4.5 3.9 285 0 88 .10 0. 48 0.54 0 .83 0.94 ... Eurostoxx future at 283 1 with 57 DTE Strike Call value Call delta D/P (%) Call theta T/P (%) 2700 185 .40 0.70 0. 38 0 .81 0.44 2750 149.40 0.64 0.43 0 .84 0.56 280 0 116 .80 0....

Ngày tải lên: 21/06/2014, 12:20