Guide to Successful Strategies Financial Times Guides by Jordan Lenny 3 pdf

... none 55–60 call spread 1.11 debit 3. 89 1.11 56.11 none 55–60, one by two 0.77 debit 4. 23 unlim. 55.77 64. 23 55–57.50– 60 ladder 0 .32 debit 2.18 unlim. 55 .32 62.18 A story about 1×2s and ladders Several ... so an expenditure of 3. 10 or $31 0, may seem too great. Instead, you could sell the June 111 put at 2.60, and in the same transac- tion pay 3. 10 for the June 1 13 put, for...

Ngày tải lên: 22/06/2014, 18:20

... back. 33 0 5 10 15 20 25 0 –5 –10 –15 –20 –25 31 0 32 0 34 0 35 0 36 0 37 0 38 0 39 0 Figure 11.2 Expiration profit/loss relating to Table 11 .3 10  Combos and hybrid spreads for market direction 1 03 Maximum ... strikes are to the underlying, the more this spread behaves like a long straddle, with increased exposure 33 0 5 10 15 20 0 –5 –10 –15 31 0 32 0 34 0 35 0...

Ngày tải lên: 22/06/2014, 18:20

... profit/loss is summarised in Table 13. 2. Table 13. 2 Marks and Spencer 34 0 35 0 36 0 long put butterfly M&S 33 0 34 0 34 1 35 0 35 9 36 0 37 0 Spread debit –1 Value of long 36 0 35 0 put spread at expiry 10 ... expiration profit/loss. Table 12.4 Marks and Spencer long April 33 0 34 0 36 0 37 0 iron condor M&S 32 0.0 33 0.0 33 4.5 34 0.0 36 0.0 36 5.5 37 0.0...

Ngày tải lên: 22/06/2014, 18:20

... spreads 145 T able 13. 5 Marks and Spencer long April 32 0 33 0 34 0 35 0 put condor M&S 31 0.00 32 0.00 32 2.25 33 0.00 34 0.00 34 7.75 35 0.00 36 0.00 Spread debit –2.25 Value of long 35 0 34 0 put spread ... spread debit: 33 0 + 3. 5 = 33 3.5 Profit range: 35 6.5 – 33 3.5 = 23 Maximum loss: cost of spread: 3. 5 The risk/return ratio is again favourable at 3. 5/6.5...

Ngày tải lên: 22/06/2014, 18:20

... point) 32 0 67 1 / 2 0. 83 7 3 / 4 0.17 0.0 03 5.0 28.0 34 0 52 1 / 2 0.75 12 3 / 4 0.25 0.004 7.0 30 .5 36 0 41.00 0.65 21.00 0 .35 0.005 7.8 35 .5 38 0 29 3 / 8 0.54 29 3 / 8 0.46 0.006 9.0 37 .5 400 ... 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 0.85...

Ngày tải lên: 22/06/2014, 18:20

... 1.04 8.26 0.49 129 0. 43 8 .30 0 .36 1.41 8 .32 0. 63 130 0.25 8.40 0.24 2. 23 8.46 0.75 131 0. 13 8 .38 0.14 132 0.07 8.62 0.09 133 0.04 9.01 0.05 134 0.02 9.19 0. 03 135 0.01 9.41 0.01 Source: pmpublishing.com. Skews’ ... brothers who tried to corner silver in the 1970s. 29 30 31 32 33 Vols CL 35 36 37 38 28 6700 6800 6900 7000 7100 7200 730 0 7400 7500 7600 7700 78...

Ngày tải lên: 22/06/2014, 18:20

... expiration SPZ 1080.00 1106 .30 1140.00 1200.00 Cost of December 1140 put 33 .70 Value of put at expiration 60.00 33 .70 0.00 0.00 Put profit/loss 26 .30 0.00 33 .70 33 .70 XYZ P/L 100 Short XYZ Short ... strike price (34 .40 – 33 .70 = 1140.70 – 1140), therefore Call = futures – strike price + put (34 .40 = 1140.75 – 1140 + 33 .70), or Put = call – futures + strike price (33 .70 =...

Ngày tải lên: 22/06/2014, 18:20

... –10 33 0 34 0 35 0 36 0 37 0 –5 0 5 10 15 20 25 30 Figure 22 .3 Marks and Spencer 34 0 36 0 box Boxes are seldom traded except as closing positions between market-makers 23  Conclusions 2 43 O When ... they prefer to borrow and lend in the cash markets. 250 Questions and answers 3 (a) 55 53 (b) unlimited (c) 2 53 (d) 55 53, 2 53, unlimited (e) £2, 530 (f) 5 133...

Ngày tải lên: 22/06/2014, 18:20

... Sainsburys below 32 0 33 0 33 3 34 0 35 0 above Cost of spread 3 3 3 3 3 3 3 Value of spread at expiration 0 0 0 3 10 10 10 P/L 3 3 3 0 7 7 7 6 8 4 2 0 –2 –4 32 0 32 5 33 0 33 5 34 0 34 5 35 0 Answer 2f Sainsburys below ... = 3p; 0. 03 × £1,000 = 30 (b) 33 0 + 3 = 33 3 (c) [34 0 – 33 0] – 3 = 7 (d) 3 (e) 3 / 7 = 43p at risk for each £1 of potential...

Ngày tải lên: 22/06/2014, 18:20

... 1 83. 5 (d) 97.5 – 5470 + 5725 = 35 2.5 2 (a) 15.75 – 14.75 + 35 0 = 35 1 (b) 28.50 – 35 1 + 33 0 = 7.50 (c) 35 1 – 34 0 + 10.00 = 21.00 (d) 11.00 – 35 1 + 36 0 = 20.00 (e) 35 1 – 37 0 + 26 = 7.00 ... i) [550 – 537 .5] + 34 = 46.5 ii) Your shares will be called away, or sold, but you will still have your maximum profit. iii) 537 .5 – 34 = 5 03. 5 iv) 34 / 537 .5 = 6 .33 %...

Ngày tải lên: 22/06/2014, 18:20