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...
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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...
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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...
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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...
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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...
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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...
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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...
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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 /...
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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...
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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...
Ngày tải lên: 22/06/2014, 17:20