Learning Techniques for Stock and Commodity Options 9 ppt
Learning Techniques for Stock and Commodity Options_1 docx
... 0.1 191 0.5466 0. 899 750 0. 094 4 0.5427 0 .91 6540 0.0677 0.5384 0 .93 6030 0.0 399 0.5334 0 .95 8220 0.0146 0.5274 0 .98 1310 0.00 09 0.5 195 0 .99 78c03 JWBK147-Smith April 25, 2008 8:33 Char Count=The Basics ... in foreign interest rates. Thisis only used in foreign exchange options. It has no impact on any other options. Foreign exchange options are affected by phi because options arepriced on the forward ... expirationrDividends (for options on stocks and stock indexes)Given this information, the model can be used to find the fair price ofthe option. But suppose the current price of the option was known, and what...
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Learning Techniques for Stock and Commodity Options_2 pdf
... dimension. 59 c06 JWBK147-Smith May 8, 2008 9: 52 Char Count=Selecting a Strategy 79 117.5115.0112.5110.0107.5105.0102.5100.0 97 .5 95 .0 92 .527Sep2013623Aug1 692 5Jul1811 29 Jun2114723May1 692 6Apr 19 40M30M20M10MFIGURE ... therefore change the range ofimplied and historical volatility.c05 JWBK147-Smith April 25, 2008 8:42 Char Count=Volatility 616050403020100135 791 1131517 192 1232527 293 1333537 394 1434547 495 1535557 59 DaysPriceFIGURE ... 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 reversed—the formula issolved for volatility because the...
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Learning Techniques for Stock and Commodity Options_3 pptx
... 115 C −2.50 22. 39 −.57 −.0748 .07 89 −. 091 9IBM 18,141 1.57Net Position 15,641 1.00 −.0748 .07 89 −. 091 9Now we have exactly what we were looking for, a position that is longthe stock in the correct ... Position $9, 055 .43 −.0748 .07 89 −. 091 9c06 JWBK147-Smith May 8, 2008 9: 52 Char Count=Selecting a Strategy 81FIGURE 6.3 October CallsWe would pay $11,555 for the 100 shares and receive $2,500 for ... Delta Gamma Theta VegaOct 115 C −3.50 27.33 −.61 −.0 597 . 092 2 −. 090 7IBM 18,141 1.57Net Position and Profit/Loss +18.10 .96 −.0 597 . 092 2 −. 090 7Basically, nothing has happened. We’ve made $18...
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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 holdingvarious options, take the implied or estimated volatility for each stock, esti-mate ... by the initialinvestment. The formula is:Return = (Profit or loss) ÷ initial investment For example, if you buy an IBM put option for 5 and sell it for 71/2 ,for a profit of 21/2, your ... 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 could of the at-the-money options. This...
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Learning Techniques for Stock and Commodity Options_5 pot
... Dividends (0.2%) 395 − Net investment required − 192 ,95 2Net 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 2Net profit $7,643Return-if-exercised = 7,643 ÷ 192 ,95 2 = 3 .96 %(47.53% annualized)Example 10.3 Return-if-unchanged–CommonProceeds from stock sale $ 196 ,95 0− Stock commissions ... costs and that you will hold the write for one month.Example 10.1 Net investment required–CommonCost of stock $ 196 ,95 0+ Stock commissions +1,300− Options premium received −5,688+ Options...
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Learning Techniques for Stock and Commodity Options_6 pdf
... roll up and forward—keepsome of your original write and roll up and forward some into the nextexpiration month. Note that rolling up and forward restricts the maxi-mum profit potential for a ... put positionc13 JWBK147-Smith May 8, 2008 10:6 Char Count=Covered Put Writing 16387 88 89 90 91 92 93 94 Price of Underlying Instrument3210−1−2−3−4ProfitOptionInstrumentCombinedBreak-evenFIGURE ... onecontract of Widget bond futures at 90 .00 with the strike price of the optionat 91 .00 and the option premium at 2.00. Your maximum profit potential is 90 .00 − 91 .00 + 2.00, or 1.00.Because puts...
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Learning Techniques for Stock and Commodity Options_7 doc
... puts. For example, if you short oneUI and two puts, you have, for margin purposes, one covered put write and one naked short put.Break-Even PointThe formulas for the two break-evens for a ... out-of-the-money options is greater than the at-the-money options. You can sellthe out-of-the-money options and buy the at-the-money options, expectingthe volatility skew to go away or to be reduced. For ... maximum risk and the point whereit occurs, 6477/8. Table 15.3 shows the same situation for a bull call spreadwith the 645 call purchased for 103/4 and the 650 call purchased for 77/8.The...
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Learning Techniques for Stock and Commodity Options_8 pptx
... the maximum risk and the point whereit occurs, 650. Table 16.3 shows the same situation for a bear call spreadwith the 645 call sold for 103/4 and the 650 call purchased for 77/8.TABLE ... two strike prices, in this case, 645. Table 16.1 shows theprofit and loss for each of the two options and the net profit or loss for thetotal position at different prices of the MMI when it expires.Another ... risk for a long butterfly is the net debit of the spread and occurs outside of the break-even points. The maximum risk for a shortbutterfly is the difference between the middle strike price and...
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Learning Techniques for Stock and Commodity Options_9 ppt
... Therefore, you mustcontinually adjust the ratio of the long to short options. For example, you are long 100 options on the S&P 500 futures contractwith a strike of 530 and a delta of 0. 69, and ... the options on Treasury-bond futures using the September and December 96 0/32strikes when theprice of the underlying futures contract is 96 5/32. These options, being theat-the-money options, ... by multiplying a delta of 0. 79 by 100, the number of long options: 0. 79 × 100 = 79. To find the new quantity of options, divide thenet delta by the new delta, 0.58: 79 ÷ 0.58 = 136.2, which will...
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Learning Techniques for Stock and Commodity Options_10 doc
... net credit For example, suppose you initiated a long straddle using options onTextron for December expiration. Textron is trading at 59 3/4, so you buythe 60 call and the 60 put for 3 each. ... blending of ratio spreads and calendarspreads. 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 and buy 2 ofthe October ... if you look for prices to continue higher before expiration. A bearishoutlook suggests that you hold the original position. (Chapter 18 and Chap-ter 19 will be helpful in understanding the potential...
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