Learning Techniques for Stock and Commodity Options 3 pptx
Learning Techniques for Stock and Commodity Options_1 docx
... 0.0677 0. 538 4 0. 936 0
30 0. 039 9 0. 533 4 0.9582
20 0.0146 0.5274 0.98 13
10 0.0009 0.5195 0.9978
c 03 JWBK147-Smith April 25, 2008 8 :33 Char Count=
The Basics of Option Price Movements 35
income of ... 9:48 Char Count=
Advanced Option Price Movements 53
TABLE 4.9
Implied Volatilities
Implied
Strike volatility
35 35
40 33
45 30
50 27
55 31
60 33
65 37
Most implied vola...
Learning Techniques for Stock and Commodity Options_2 pdf
... therefore change the range of
implied and historical volatility.
c05 JWBK147-Smith April 25, 2008 8:42 Char Count=
Volatility 61
60
50
40
30
20
10
0
135 7911 131 5171921 232 5272 931 333 537 3941 434 5474951 535 55759
Days
Price
FIGURE ... volatil-
ity. Usually, the value for volatility is plugged in and the formula is solved
for the value of the option. Here, the situation is reve...
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 −.0294 . 032 5 −.2509
Oct 105 C 11.40 31 .67 .98 .0060 −.0210 .0081
Net Position $8,010 .52 −.0 234 ... expected rally and the risk if there is
no rally.
Thus, for an excellent guide to the relative risk and reward of holding
various options, take the implied or estimated volatility f...
Learning Techniques for Stock and Commodity Options_4 ppt
... decline and the risk if there is no decline.
Thus, for an excellent guide to the relative risk and reward of holding
various options, take the implied or estimated volatility for each stock, esti-
mate ... by the 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 p...
Learning Techniques for Stock and Commodity Options_5 pot
... $7,6 43
Return-if-exercised = 7,6 43 ÷192,952 = 3. 96%
(47. 53% annualized)
Example 10 .3 Return-if-unchanged–Common
Proceeds from stock sale $196,950
− Stock commissions −1 ,30 0
+ Dividends (0.2%) 39 5
− ... bond
selling for 1 23
3
/
4
, the stock is at 151
1
/
2
, and the IBW May 155 calls are sell-
ing for 4
3
/
8
. Each bond is convertible into 6.5 shares. This means...
Learning Techniques for Stock and Commodity Options_6 pdf
... roll up and forward—keep
some of your original write and roll up and forward some into the next
expiration month. Note that rolling up and forward restricts the maxi-
mum profit potential for a ... price and return.
c12 JWBK147-Smith April 25, 2008 9 :39 Char Count=
152 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...
Learning Techniques for Stock and Commodity Options_7 doc
... volatility of 23, the 90 puts are at 26, and the 80 puts are at 30 . In this
case, you would want to “buy” the 100 put volatility of 23 and “sell” the 80
put volatility of 30 , looking for the spread ... maximum risk and the point where
it occurs, 647
7
/
8
. Table 15 .3 shows the same situation for a bull call spread
with the 645 call purchased for 10
3
/
4
and the 650 ca...
Learning Techniques for Stock and Commodity Options_8 pptx
... risk and the point where
it occurs, 650. Table 16 .3 shows the same situation for a bear call spread
with the 645 call sold for 10
3
/
4
and the 650 call purchased for 7
7
/
8
.
TABLE 16 .3 Bear ... 10:17 Char Count=
Butterfly Spreads 2 13
Assume a long butterfly of December Telex options with strikes of $50,
$55, and $60. The three entry prices are 7, 3
1
/
2
, and 1
5
/...
Learning Techniques for Stock and Commodity Options_9 ppt
... −
1
/
4
−2
5
/
8
525 +4
3
/
4
+2
3
/
8
530 −
1
/
4
+2
3
/
8
535 −
1
/
4
+2
3
/
8
540 −
1
/
4
+2
3
/
8
c17 JWBK147-Smith May 8, 2008 10:17 Char Count=
218 OPTION STRATEGIES
TABLE 17.5 Long Butterfly Results and Short ... Therefore, you must
continually adjust the ratio of the long to short options.
For example, you are long 100 options on the S&P 500 futures contract
with...
Learning Techniques for Stock and Commodity Options_10 doc
... credit
For example, suppose you initiated a long straddle using options on
Textron for December expiration. Textron is trading at 59
3
/
4
, so you buy
the 60 call and the 60 put for 3 each. ... long options should be in-the-money.
c21 JWBK147-Smith April 25, 2008 11 :3 Char Count=
Straddles and Strangles 251
0
Price of Underlying Instrument
Profit
−1
−2
3
−4
−5
1
2
3
4...
Từ khóa: