Learning Techniques for Stock and Commodity Options 1 docx
Learning Techniques for Stock and Commodity Options_1 docx
... 20% 30% 40% 35 15 .12 15 .12 15 .13 40 10 .15 10 .17 10 .26 45 5.25 5.50 5.90 50 1. 43 2.08 2.74 55 0 .13 0. 51 1. 01 60 0.00 0.08 0.30 65 0.00 0. 01 0.07 Table 4.8 shows the value of these options with implied ... Option Prices and Greeks Theoretical Strike price Delta Gamma Theta Vega Rho 35 15 .12 99.77 0.000 1. 09 0. 01 3. 81 40 10 .17 98.82 0.005 1. 95 0.43 4. 31 45 5...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_2 pdf
... JWBK147-Smith May 8, 2008 9:52 Char Count= Selecting a Strategy 79 11 7.5 11 5.0 11 2.5 11 0.0 10 7.5 10 5.0 10 2.5 10 0.0 97.5 95.0 92.5 27 Sep 2 013 623 Aug 16 925 Jul 18 112 9 Jun 211 4723 May 16 926 Apr 19 40M 30M 20M 10 M FIGURE ... therefore change the range of implied and historical volatility. c05 JWBK147-Smith April 25, 2008 8:42 Char Count= Volatility 61 60 50 40 3...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_3 pptx
... Oct 11 5 C and sell a Jan 12 0 C? Option Premium Imp Vol Delta Gamma Theta Vega Jan 12 0 C −4.30 21. 73 .46 −.0294 .0325 −.2509 Oct 10 5 C 11 .40 31. 67 .98 .0060 −.0 210 .00 81 Net Position $8, 010 .52 ... Vega Oct 11 5 C −2.50 22.39 −.57 −.0748 .0789 −.0 919 IBM 18 ,14 1 1. 57 Net Position 15 ,6 41 1.00 −.0748 .0789 −.0 919 Now we have exactly what we were looking for, a pos...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_4 ppt
... expiration for you to make any money at expiration. For example, assume you bought OEX 18 0 options at 12 and the OEX was at 18 5. If the option expires and the OEX is at 17 8, you will lose 10 points. ... premium. For example, you must pay $1, 500 to buy a put on Treasury-bond futures if the price is 1 1 / 2 . You will pay $750 for 10 stock options with a premium of...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_5 pot
... STRATEGIES −35 −30 −25 −20 14 0 14 5 15 0 15 5 16 0 16 5 17 0 17 5 18 0 18 5 19 0 10 Profit DECISION STRUCTURE Price of Underlying Instrument 15 −5 0 10 Original Rolled down 5 FIGURE 10 .2 Rolling Down firmly in place before ... Count= Covered Call Writing 13 9 −40 −30 −20 16 0 16 5 17 0 17 5 18 0 18 5 19 0 19 5 200 205 210 215 220 225 230 10 0 10 20 30 Original...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_6 pdf
... section but adjust for the delta.) c13 JWBK147-Smith May 8, 2008 10 :6 Char Count= 16 2 OPTION STRATEGIES 30 35 40 45 50 55 60 65 Price of Underlying Instrument 15 10 5 0 −5 10 15 −20 Profit Option Instrument Combined FIGURE ... a c12 JWBK147-Smith April 25, 2008 9:39 Char Count= c13 JWBK147-Smith May 8, 2008 10 :6 Char Count= 16 0 OPTION STRATEGIES 3 Price of Underlying Instrume...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_7 doc
... spread 645 −2 7 / 8 − 7 / 8 650 +2 1 / 8 − 7 / 8 655 +2 1 / 8 +4 1 / 8 660 +2 1 / 8 +4 1 / 8 665 +2 1 / 8 +4 1 / 8 c14 JWBK147-Smith May 8, 2008 10 :8 Char Count= 18 0 OPTION STRATEGIES a delta-neutral ... call is now selling for 20, and the 650 is selling at 17 . Your choice is c15 JWBK147-Smith May 8, 2008 10 :13 Char Count= Bull Spreads 19 1 Bearish Strategies If the...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_8 pptx
... down. TABLE 17 .3 Long Butterfly Results and Roll Down Results Price Original butterfly New butterfly 515 − 1 / 4 +1 520 − 1 / 4 +6 525 +4 3 / 4 +1 530 − 1 / 4 +1 c15 JWBK147-Smith May 8, 2008 10 :13 Char ... Spread Results and Long Call Results Price Bear call spread Long call 650 −2 1 / 8 19 1 / 8 655 −2 1 / 8 14 1 / 8 660 −2 1 / 8 −9 1 / 8 665 −2 1 / 8 −4 1...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_9 ppt
... Long call 515 − 1 / 4 − 21 1 / 8 520 − 1 / 4 − 21 1 / 8 525 +4 3 / 4 16 1 / 8 530 − 1 / 4 11 1 / 8 535 − 1 / 4 −6 1 / 8 540 − 1 / 4 1 1 / 8 545 − 1 / 4 +3 7 / 8 Notice that you will make more ... further. TABLE 17 .6 Long Butterfly Results and Roll Down Results Price Original butterfly New butterfly 515 − 1 / 4 +1 520 − 1 / 4 +6 525 +4 3 / 4 +1 530 − 1 / 4...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_10 doc
... break-even of $54. For another example, suppose Intel is trading at 12 0 1 / 4 and you buy the November 12 0 call and the November 12 0 put for 10 1 / 4 each. The net credit is 20 1 / 2 . The up-side ... whereas the long options should be in-the-money. c 21 JWBK147-Smith April 25, 2008 11 :3 Char Count= Straddles and Strangles 2 51 0 Price of Underlying Instrument Pro...
Ngày tải lên: 22/06/2014, 17:20