Guide to Successful Strategies Financial Times Guides by Jordan Lenny 2 ppt

... call ladder Coca- Cola 52. 50 55.00 55. 32 57.50 60.00 62. 18 65.00 (above) Spread debit –0. 32 Value of one by one spread at expiration 0.00 0.00 0. 32 2.50 2. 50 2. 50 2. 50 2. 50 Value of extra ... 0.00 2. 18 –5.00 (– unlimited) Profit/loss –0. 32 –0. 32 0.00 2. 18 2. 18 0.00 2. 82 (– unlimited) Figure 9.3 is a graph of this spread at expiration. 0 1 2 3 –1 2 –3 –4...

Ngày tải lên: 22/06/2014, 18:20

... shown in Figure 10.1. 42. 5 4 6 8 2 0 2 –4 –6 –8 37.5 40 45 47.5 50 52. 5 55 57.5 60 62. 5 65 +0.03 Figure 10.1 Expiration profit/loss relating to Table 10 .2 1 02 Part 2  Options spreads Table ... put. On most open-outcry 45 4 6 8 2 0 2 –4 –6 –8 40 42. 5 47.5 50 52. 5 55 57.5 60 62. 5 65 Figure 10 .2 Expiration profit/loss relating to Table 10.3 Many investors creat...

Ngày tải lên: 22/06/2014, 18:20

... plus spread debit: 320 + 2. 25 = 322 .25 Profit range: 347.75 – 322 .25 = 25 .50 Maximum loss: cost of spread: 2. 25 The risk/return ratio is again favourable at 2. 25/7.75 = 0 .29 for 1, or 1/3.44. The ... 0.00 –0.00 –7 .25 –10.00 –10.00 Profit/loss 2. 75 2. 75 0.00 7 .25 7 .25 –0.00 2. 75 2. 75 A profit/loss graph of this condor at expiration appears in Figure 13.4. 360 2 4 6 8 0...

Ngày tải lên: 22/06/2014, 18:20

... 625 0 4 106 days until expiry ATM implied at 26 per cent Strike 622 5.0 6 325 .0 6 425 .0 6 525 .0 6 625 .0 6 725 .0 6 825 .0 6 925 .0 Calls 359.5 303.0 25 3.5 20 5.0 165.0 131.0 1 02. 5 80.0 If you discern that the path ... 10 .00 10.00 2. 25 0.00 0.00 Value of short 330– 320 put spread at expiration –10.00 –10.00 –7.75 0.00 0.00 0.00 0.00 0.00 Profit/loss 2. 25 2. 25 0.00 7.75 7.75...

Ngày tải lên: 22/06/2014, 18:20

... 1.14 0.94 2. 86 2. 36 28 00 87.60 0.58 0.66 1 .20 1.37 3. 12 3.56 28 50 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 29 50 22 .00 0 .24 1.09 0.85 3.86 2. 49 11. 32 3000 11.50 ... D/P (%) 27 00 185.40 0.70 0.38 27 50 149.40 0.64 0.43 28 00 116.80 0.56 0.48 28 50 88.10 0.48 0.54 29 00 63.80 0.40 0.63 29 50 44 .20 0. 32 0. 72 3000 29 .20 0...

Ngày tải lên: 22/06/2014, 18:20

... implied Put delta 121 0.01 10. 02 0.01 122 0.03 10. 42 0.03 123 0.05 9. 92 0.06 124 0.07 9.00 0.08 125 0.14 8.91 0.14 126 2. 26 8.59 0.77 0 .25 8.68 0 .23 127 1.44 8.44 0.65 0. 42 8. 42 0.35 * 128 1.05 8.14 ... volatility 1 12 0.01 11 .21 114 0.03 11.47 116 0.06 11 .21 118 0.11 10.84 120 0.19 10.38 122 0.33 10.01 124 0.57 9.76 126 3.31 9.57 1.30 9.55 * 128 2. 22 9.44...

Ngày tải lên: 22/06/2014, 18:20

... positive. 100 105 XYZ 36 38 34 22 32 30 28 26 24 20 Figure 20 .9 Horizontal skew shift, negative call skew, positive put skew 21  Futures, synthetics and put–call parity 22 9 Synthetic long put position When ... increased by the cost of carrying on the stocks. 22  Conversions reversals, boxes and options arbitrage 23 5 By keeping the conversions in line, the arb...

Ngày tải lên: 22/06/2014, 18:20

... 600 625 650 675 700 Cost of call 22 .75 Value of call at expiration 0 0 25 50 75 100 125 Profit/loss 22 .75 22 .75 +2. 25 +27 .25 + 52. 25 +77 .25 +1 02. 25 25 0 150 –50 0 50 –150 25 0 –350 –450 +25 3 –47 –147 24 7 –347 –447 +53 +153 BE ... put, or 22 0 – 9.75 = 21 0 .25 . Average cost of shares is (23 3.5 + 21 0 .25 ) ÷ 2 = 22 1.875. 2. 5 0 2. 5 –5 –7.5 10 –0 12. 5 –15 60...

Ngày tải lên: 22/06/2014, 18:20

... [2 × 7.5] = 2, or $20 0 ii) 1175 + 2 = 1177 iii) 120 0 iv) [ 120 0 – 1175] – 2 = 23 v) 120 0 + 23 = 122 3 vi) potentially unlimited vii) 23 – 12 = 11 profit viii) Buy either one 120 0 call, or one 122 5 ... i) 22 .5 – 10 – 4.5 = 8, or £80 ii) 460 – 8 = 4 52 iii) 420 to 390 iv) [460 – 420 ] – 8 = 32 v) 390 – 32 = 358 vi) 358, if the shares go to zero vii) 32 – [390 – 370] =...

Ngày tải lên: 22/06/2014, 18:20

... answers 1 (a) i) 2. 52 + 2. 90 = 5. 42 ii) 52. 50 + 5. 42 = 57. 92 iii) 52. 50 – 5. 42 = 47.08 iv) upside unlimited; downside, value of the stock v) 5. 42 vi) [57.50 – 55] – 5. 42 = 2. 92 loss (b) i) 2. 05 + 1.45 ... 27 53.8 v) 28 46 .2 – 27 53.8 = 92. 4 points vi) 3.8 (b) i) 107 + 54.5 – 85.8 – 68.4 = 7.3 ii) (28 50 – 28 00) = 42. 7 iii) 28 50 – 7.3 = 28 42. 7 iv) 26 5...

Ngày tải lên: 22/06/2014, 18:20