Learning Techniques for Stock and Commodity Options 9 ppt

... 0.1 191 0.5466 0. 899 7 50 0. 094 4 0.5427 0 .91 65 40 0.0677 0.5384 0 .93 60 30 0.0 399 0.5334 0 .95 82 20 0.0146 0.5274 0 .98 13 10 0.00 09 0.5 195 0 .99 78 c03 JWBK147-Smith April 25, 2008 8:33 Char Count= The Basics ... 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...

Ngày tải lên: 22/06/2014, 17:20

... dimension. 59 c06 JWBK147-Smith May 8, 2008 9: 52 Char Count= Selecting a Strategy 79 117.5 115.0 112.5 110.0 107.5 105.0 102.5 100.0 97 .5 95 .0 92 .5 27 Sep 2013623 Aug 1 692 5 Jul 1811 29 Jun 2114723 May 1 692 6 Apr 19 40M 30M 20M 10M FIGURE ... therefore change the range of implied and historical volatility. c05 JWBK147-Smith April 25, 2008 8:42 Char Count= Volatility 61 60 50...

Ngày tải lên: 22/06/2014, 17:20

... 115 C −2.50 22. 39 −.57 −.0748 .07 89 −. 091 9 IBM 18,141 1.57 Net Position 15,641 1.00 −.0748 .07 89 −. 091 9 Now we have exactly what we were looking for, a position that is long the stock in the correct ... Position $9, 055 .43 −.0748 .07 89 −. 091 9 c06 JWBK147-Smith May 8, 2008 9: 52 Char Count= Selecting a Strategy 81 FIGURE 6.3 October Calls We would pay $11,555 for the 100 s...

Ngày tải lên: 22/06/2014, 17:20

... 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...

Ngày tải lên: 22/06/2014, 17:20

... Dividends (0.2%) 395 − Net investment required − 192 ,95 2 Net profit $3, 093 Return-if-exercised = 3, 093 ÷ 192 ,95 2 = 1.60% ( 19. 24% annualized) c11 JWBK147-Smith April 25, 2008 9: 37 Char Count= Ratio ... required − 192 ,95 2 Net profit $7,643 Return-if-exercised = 7,643 ÷ 192 ,95 2 = 3 .96 % (47.53% annualized) Example 10.3 Return-if-unchanged–Common Proceeds from stock sale $ 196 ,9...

Ngày tải lên: 22/06/2014, 17:20

... 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 ... put position c13 JWBK147-Smith May 8, 2008 10:6 Char Count= Covered Put Writing 163 87 88 89 90 91 92 93 94 Price of Underlying Instrument 3 2 1 0 −1 −2 −3 −4 Profit Option Instrumen...

Ngày tải lên: 22/06/2014, 17:20

... puts. For example, if you short one UI and two puts, you have, for margin purposes, one covered put write and one naked short put. Break-Even Point The formulas for the two break-evens for a ... out- of-the-money options is greater than the at-the-money options. You can sell the out-of-the-money options and buy the at-the-money options, expecting the volatility skew to go...

Ngày tải lên: 22/06/2014, 17:20

... the maximum 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 ... two strike prices, in this case, 645. Table 16.1 shows the profit and loss for each of the two options and the net profit or loss for the total position at different prices of th...

Ngày tải lên: 22/06/2014, 17:20

... 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 a strike of 530 and a delta of 0. 69, and ... the options on Treasury- bond futures using the September and December 96 0 / 32 strikes when the price of the underlying futures contract is 96 5 / 32 . These options, bein...

Ngày tải lên: 22/06/2014, 17:20

... net 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. ... blending of ratio spreads and calendar spreads. It consists of selling nearby options and buying fewer of a far- ther option. For example, you could sell 4 of the July 40 calls...

Ngày tải lên: 22/06/2014, 17:20