Learning Techniques for Stock and Commodity Options 2 pdf
Learning Techniques for Stock and Commodity Options_1 docx
... 0.080 −9.93 6.56 2. 71 55 0.51 19 .28 0.060 −6.55 4.53 1.00 60 0.08 4.07 0. 020 2. 05 1.44 0 .21 65 0.01 0.54 0.003 −0.36 0 .26 0.03 c04 JWBK147-Smith May 8, 20 08 9:48 Char Count= 52 WHY AND HOW OPTION ... in foreign interest rates. This is only used in foreign exchange options. It has no impact on any other options. Foreign exchange options are affected by phi because options a...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_2 pdf
... May 8, 20 08 9: 52 Char Count= Selecting a Strategy 79 117.5 115.0 1 12. 5 110.0 107.5 105.0 1 02. 5 100.0 97.5 95.0 92. 5 27 Sep 20 13 623 Aug 16 925 Jul 181 129 Jun 21 14 723 May 16 926 Apr 19 40M 30M 20 M 10M FIGURE ... business and therefore change the range of implied and historical volatility. c05 JWBK147-Smith April 25 , 20 08 8: 42 Char Count= Volatility 61 60 50 4...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_3 pptx
... C and sell a Jan 120 C? Option Premium Imp Vol Delta Gamma Theta Vega Jan 120 C −4.30 21 .73 .46 −. 029 4 .0 325 − .25 09 Oct 105 C 11.40 31.67 .98 .0060 −. 021 0 .0081 Net Position $8,010 . 52 −. 023 4 ... initial investment. The formula is: Return = (Profit or loss) ÷ initial investment For example, if you buy an IBM option for 5 and sell it for 7 1 / 2 ,fora profit of 2 1 /...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_4 ppt
... initial investment. The formula is: Return = (Profit or loss) ÷ initial investment For example, if you buy an IBM put option for 5 and sell it for 7 1 / 2 ,for a profit of 2 1 / 2 , your return on investment ... are trading for $4 and the out-of-the-money options are trading for $2. This means that you could have twice as many of the out-of-the-money options as you coul...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_5 pot
... required $24 2 ,20 2 Example 10.5 Return-if-unchanged–Convertible Proceeds from bond sale $25 3 ,21 8 + Coupon yield ( 7 7 / 8 % coupon) +1,3 12 − Net investment required 24 2 ,20 2M Net profit $ 12, 328 Return-if-exercised ... yield ( 7 7 / 8 % coupon) +1,3 12 − Net investment required 24 2 ,20 2 Net profit $6,610 Return-if-exercised = 6,610 ÷ 24 2 ,20 2 = 2. 73% ( 32. 70% annualized) The...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_6 pdf
... the expected price and return. c 12 JWBK147-Smith April 25 , 20 08 9:39 Char Count= 1 52 OPTION STRATEGIES 3 Price of Underlying Instrument Profit 2 0 −1 1 2 −3 −5 −6 −7 −4 40 41 42 43 44 45 46 47 48 49 50 51 53 54 55 56 57 58 59 60 52 FIGURE ... roll up and forward—keep some of your original write and roll up and forward some into the next expiration month. Note that roll...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_7 doc
... Results Price Bull spread Long call 645 2 7 / 8 −17 7 / 8 650 +2 1 / 8 − 12 7 / 8 655 +2 1 / 8 −7 7 / 8 660 +2 1 / 8 2 7 / 8 665 +2 1 / 8 +2 1 / 8 670 +2 1 / 8 +7 1 / 8 between sticking with the ... S&P 500 futures contract at 22 5 and sell two 22 5 put options with deltas of −0.50 each. The delta on the short stock index futures is −1.00 so you need to sell options t...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_8 pptx
... +10 7 / 8 +2 7 / 8 635 −3 +5 7 / 8 +2 7 / 8 640 +2 + 7 / 8 +2 7 / 8 645 +7 −4 1 / 8 +2 7 / 8 647 7 / 8 +7 −70 650 +7 −9 1 / 8 2 1 / 8 655 +7 −9 1 / 8 2 1 / 8 c17 JWBK147-Smith May 8, 20 08 10:17 ... Butterfly Results and Bear Call Spread Results Price Long butterfly Bear spread 515 − 1 / 4 +2 3 / 8 520 − 1 / 4 +2 3 / 8 525 +4 3 / 4 2 5 / 8 530 − 1 / 4 2 5 / 8 c17 JWBK1...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_9 ppt
... Long butterfly Short call 515 − 1 / 4 +7 1 / 2 520 − 1 / 4 +7 1 / 2 525 +4 3 / 4 +7 1 / 2 530 − 1 / 4 +2 1 / 2 535 − 1 / 4 2 1 / 2 540 − 1 / 4 −7 1 / 2 spread is that you are also giving up the ... 535 December 520 call = 21 1 / 8 December 525 call = 18 1 / 2 December 530 call = 16 1 / 2 TABLE 17.7 Long Butterfly Results and Bull Call Spread Results Price Long butterfly B...
Ngày tải lên: 22/06/2014, 17:20
Learning Techniques for Stock and Commodity Options_10 doc
... price drops and you are bullish, you could: 1. Hold the position; 2. Liquidate the position; c20 JWBK147-Smith April 25 , 20 08 11 :2 Char Count= c20 JWBK147-Smith April 25 , 20 08 11 :2 Char Count= Ratio ... whereas the long options should be in-the-money. c21 JWBK147-Smith April 25 , 20 08 11:3 Char Count= Straddles and Strangles 25 1 0 Price of Underlying Instrument Profit...
Ngày tải lên: 22/06/2014, 17:20