... strike, or 11 1. This is calculated as the difference between the strike prices minus the income from the spread: (11 3 – 11 1) – 0.50 = 1. 50. 1. 5 2 1 0.5 0 –0.5 1 109 11 0 11 1 11 2 11 3 11 4 11 5 Figure ... 8.4 Long SPY June 11 3 11 1 put spread Microsoft 10 9 11 0 11 1 11 2 11 2.50 11 3 11 4 11 5 Spread debit –0.50 Value of spread at expiration 2 2 2 1 0.50...
Ngày tải lên: 22/06/2014, 18:20
... increased exposure 330 5 10 15 20 0 –5 10 15 310 320 340 350 360 370 380 390 Figure 11 .3 Expiration profit/loss relating to Table 11 .4 11 Volatility spreads 11 1 and the potential return is ... butterfly (discussed in Chapter 12 ). 330 5 10 15 20 25 0 –5 10 15 –20 –25 310 320 340 350 360 370 380 390 Figure 11 .1 Expiration profit/loss relating to Table...
Ngày tải lên: 22/06/2014, 18:20
Guide to Successful Strategies Financial Times Guides by Jordan Lenny_3 pdf
... a total debit of 15 .25. Here, your upside profit potential is unlimited. 330 5 10 0 –5 10 15 310 320 340 350 360 370 380 390 Figure 12 .1 Expiration profit/loss relating to Table 12 .1 12 ... spread at expiry 10 10 10 10 1 0 0 Value of short 350–340 put spread at expiry 10 10 –9 0 0 0 0 Profit/loss 1 1 0 9 0 1 1 The graph of the expiration profit/loss (see F...
Ngày tải lên: 22/06/2014, 18:20
Guide to Successful Strategies Financial Times Guides by Jordan Lenny_4 pptx
... range of a butterfly by extending the distance of the strikes. If XYZ is at 10 0, and you expect it to rally into a range of between 10 5 and 11 5, then you can buy the 10 0 11 0 12 0 call but- terfly. ... profit/loss is shown in Figure 14 .1. 2 4 6 8 10 0 –2 –4 –6 –8 10 12 42.5 45 47.5 50 52.5 55 57.5 60 62.5 65 Figure 14 .1 Expiration profit/loss for Coca-Cola 15 The...
Ngày tải lên: 22/06/2014, 18:20
Guide to Successful Strategies Financial Times Guides by Jordan Lenny_5 pptx
... 2.46 1. 55 2750 12 1.00 0.68 0.56 1. 14 0.94 2.86 2.36 2800 87.60 0.58 0.66 1. 20 1. 37 3 .12 3.56 2850 59.80 0.47 0.79 1. 17 1. 96 3 .18 5.32 2900 37.70 0.35 0.93 1. 04 2.76 2.97 7.88 2950 22.00 0.24 1. 09 ... 2.76 2.97 7.88 2950 22.00 0.24 1. 09 0.85 3.86 2.49 11 .32 3000 11 .50 0 .15 1. 30 0. 61 5.30 1. 86 16 .17 3050 5.60 0.08 1. 43 0.39 6.96 1. 23 21. 96 17 2 Part 3...
Ngày tải lên: 22/06/2014, 18:20
Guide to Successful Strategies Financial Times Guides by Jordan Lenny_6 potx
... 0.06 11 . 21 118 0 .11 10 .84 12 0 0 .19 10 .38 12 2 0.33 10 . 01 124 0.57 9.76 12 6 3. 31 9.57 1. 30 9.55 *12 8 2.22 9.44 2.20 9.43 10 0 10 6 11 2 11 8 12 4 13 0 13 6 14 2 14 8 10 0 Strike v . volatility Figure 20 .1 ... 0.23 12 7 1. 44 8.44 0.65 0.42 8.42 0.35 *12 8 1. 05 8 .14 0. 51 1.04 8.26 0.49 12 9 0.43 8.30 0.36 1. 41 8.32 0.63 13 0 0.25 8.40 0.24 2...
Ngày tải lên: 22/06/2014, 18:20
Guide to Successful Strategies Financial Times Guides by Jordan Lenny_7 doc
... 21. 3. XYZ P/L 95 10 0 10 5 Long 10 0 put Short 10 0 call Figure 21. 2 Short XYZ synthetic XYZ P/L 11 40.70 Long December 11 40 put Short December 11 40 put Long December 11 40 call Short December 11 40 call Figure 21. 3 ... (Table 21. 1) and the 11 40 synthetic call (Table 21. 2). Table 21. 1 Profit/loss of SPZ December 11 40 call at expiration SPZ 10 80.00 11 40.00 11 74.40...
Ngày tải lên: 22/06/2014, 18:20
Guide to Successful Strategies Financial Times Guides by Jordan Lenny_8 pptx
... unlimited (e) $18 (f) (g) (h) –0 .18 2 1. 5 1 0.5 0 –0.5 18 18 .5 –0 .18 –0 .18 0.32 0.82 1. 32 1. 82 19 19 .5 20 20.5 21 Answer 2g GE 18 .00 18 .50 19 .00 19 .18 19 .50 20.00 20.50 21. 00 Cost of call –0 .18 Value ... 0.00 0.00 0.00 P/L 13 .49 –8.49 –3.49 0 1. 51 1. 51 1. 51 –0 .18 2 1. 5 1 0.5 0 –0.5 18 18 .5 –0 .18 –0 .18 0.32 0.82 1. 32 1. 82 19 19 ....
Ngày tải lên: 22/06/2014, 18:20
Guide to Successful Strategies Financial Times Guides by Jordan Lenny_9 docx
... 0.00 0.00 Profit/loss 1. 55 1. 55 1. 55 0.55 0 –0.45 –0.45 –0.45 1. 5 2 1 0.5 0 –0.5 1 107 10 8 10 9 11 0 11 1 11 2 11 3 Answer 1g 280 Questions and answers Chapter 10 questions 1 Can you see a freight ... 1/ 3 (f) 11 5.22 – 11 0.55 = 4.67; 4.67 /11 5.22 = 4% (g) SPDR 10 7.00 10 8.00 10 9.00 11 0.00 11 0.55 11 1.00 11 2.00 11 3.00 Spread debit –0.45 Value of...
Ngày tải lên: 22/06/2014, 18:20
Guide to Successful Strategies Financial Times Guides by Jordan Lenny_10 doc
... loss? Chapter 12 answers (a) i) 17 .5 + 17 .5 – 8 – 8 = 19 credit ii) 600 + 19 = 619 iii) 500 – 19 = 4 81 iv) [650 – 600] – 19 = 31 v) [500 – 460] – 19 = 21 vi) 19 vii) 619 – 4 81 = 13 8 (b) i) 34 ... points vi) 10 .5 = 10 5 (b) i) 15 9.5 + 57 – 11 7 – 81 = 18 .5 ii) [5725 – 5625] – 18 .5 = 81. 5 iii) 5625 + 18 .5 = 5643.5 iv) 5925 – 18 .5 = 5906.5 v) 5906.5 – 5643.5...
Ngày tải lên: 22/06/2014, 18:20