Learning Techniques for Stock and Commodity Options 10 doc
Learning Techniques for Stock and Commodity Options_1 docx
... 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 ... drawbacks. As a result, the model is no longer the standard for options on bonds, foreign exchange, and futures, though the standardmodels for these three items are modifications of the original.Assumptions ... 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
... 79117.5115.0112.5 110. 0 107 .5 105 .0 102 .5 100 .097.595.092.527Sep2013623Aug16925Jul181129Jun2114723May16926Apr1940M30M20M10MFIGURE 6.1 IBM Price Chartcare. I’ve included “don’t care” for ... classic forecasting techniques, such as regres-sion analysis, time series analysis, and even classic chart patterns such ashead and shoulders and trendlines. However, professional options traderswill ... 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
... expected rally and the risk if there isno rally.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 ... pay $11,555 for the 100 shares and receive $2,500 for ourshort call for a net investment of $9,055. However, the position is not ac-ceptable. We wanted to own the equivalent of 100 shares but ... divided by the initialinvestment. The formula is:Return = (Profit or loss) ÷ initial investment For example, if you buy an IBM option for 5 and sell it for 71/2,foraprofit of 21/2, your return...
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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
... down and forward—keep some of your original write, and roll down and for- ward some into the next expiration month. Note that rolling down and forward restricts the maximum profit potential for ... For example, if you’re longone UI and short two calls, you have, for margin purposes, one covered callwrite and one naked short call.Break-Even PointThe formulas for the two break-evens for ... correct number of options and con-vertibles to use. For example, a convertible bond may be converted into 20shares of stock. You will need to own 5 bonds for every 1 call representing 100 shares that...
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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 ... you will select. The reasons for this are that the delta will be higher for a higher strike price than for alower strike and that the premium is higher, thus affording greater profitpotential. ... UI. For example, covered put writing using options on goldwill have one short put option for every short contract. (Ratio put writ-ing is the strategy of using differing quantities of the UI and...
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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 ... 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 10 3/4 and the 650 call purchased for 77/8.The ... 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...
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Learning Techniques for Stock and Commodity Options_8 pptx
... prices:Dun & Bradstreet stock = 105 1/2November 100 call = 63/4November 105 call = 3November 110 call = 11/4This short butterfly would be initiated for a net credit of +63/4–6+11/4, ... 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 10 3/4 and the 650 call purchased for 77/8.TABLE ... strike price, $ 110, minusthe net credit, $2, or $108 . The down-side break-even is the lowest strikeprice, $100 , plus the net credit, $2, or $102 .Maximum RiskThe maximum risk for a long butterfly...
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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 ... 100 calls = 81/2January 105 calls = 63/8You are quite bearish and sell three January 105 calls and buy onlyone January 100 call. The net credit on the trade is 10 5/8. The maxi-mum ... ifinitiated for a credit, minus if initiated for a debit). This rather complicatedformula can be easily grasped with the help of an example. Assume thefollowing situation:Squibb = 103 January 100 ...
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Learning Techniques for Stock and Commodity Options_10 doc
... volatility. For example, Widgetron might be trading at $50 with the options at animplied volatility at 10 percent. This suggests that the range in the futurewill be between $45 and $55, or 10 percent ... 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 ... net credit For example, suppose you initiated a long straddle using options onTextron for December expiration. Textron is trading at 593/4, so you buythe 60 call and the 60 put for 3 each....
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