Guide to Successful Strategies Financial Times Guides by Jordan Lenny 4 pptx

... until expiration): Strike 40 42 .50 45 47 .50 50 52.50 55 57.50 60 August calls 4. 04 2.52 1 .45 0.79 0. 34 August puts 0. 34 0 .47 0.82 1.30 2.05 2.90 Here, you could pay 1 .45 for one August 55 call ... on offer 2 (60 days until expiration): Strike 40 42 .50 45 47 .50 50 52.50 55 57.50 60 August calls 4. 04 2.52 1 .45 0.79 0. 34 August puts 0. 34 0 .47 0.82 1.30 2.05 2....

Ngày tải lên: 22/06/2014, 18:20

... relating to Table 10.2 102 Part 2  Options spreads Table 10.1 Coca-Cola August options Strike 40 .00 42 .50 45 .00 47 .50 50.00 52.50 55.00 57.50 60.00 June calls 4. 04 2.52 1 .45 0.79 0. 34 June ... exam- ple, if the stock closes at 45 and you are assigned on the put, the purchase price of Coca-Cola would be 45 – 0.03 = 44 .97. If the stock continues to decline, you are...

Ngày tải lên: 22/06/2014, 18:20

... butterfly M&S 320 330 336 340 350 360 3 64 370 380 Spread credit 14 Value of spread at expiration –20 –20 – 14 –10 0 –10 – 14 –20 –20 Profit/loss –6 –6 0 4 14 4 0 –6 –6 The profit/loss at expiry ... iron butterfly M&S 310 320 326 340 350 360 3 64 370 380 Spread debit – 14 Value of spread at expiry 20 20 14 1 0 0 10 14 20 20 Profit/loss 6 6 0 -4 – 14 4 0 6 6 In gra...

Ngày tải lên: 22/06/2014, 18:20

... options with 60 days until expiration: Strike 40 .00 42 .50 45 .00 47 .50 50.00 52.50 55.00 57.50 60.00 August calls 4. 04 2.52 1 .45 0.79 0. 34 August puts 0. 34 0 .47 0.82 1.30 2.05 2.90 For example, Coca-Cola ... 0.00 0.00 Stock profit/ loss at expiration (–full amt) –7.67 –5.17 –2.67 0.00 0.77 7.33 9.83 12.33 Total profit/loss (–full amt) –8 .44 –5. 94 –3 .44 –0.77 0.00 6.56 9...

Ngày tải lên: 22/06/2014, 18:20

... 0.81 0 .44 3.9 2.1 2750 149 .40 0. 64 0 .43 0. 84 0.56 4. 2 2.8 2800 116.80 0.56 0 .48 0.85 0.73 4. 5 3.9 2850 88.10 0 .48 0. 54 0.83 0. 94 4.5 5.1 2900 63.80 0 .40 0.63 0.76 1.19 4. 4 6.9 2950 44 .20 0.32 ... (%) 2700 185 .40 0.70 0.38 2750 149 .40 0. 64 0 .43 2800 116.80 0.56 0 .48 2850 88.10 0 .48 0. 54 2900 63.80 0 .40 0.63 2950 44 .20 0.32 0.72 3000 29.20 0. 24 0.82 3050...

Ngày tải lên: 22/06/2014, 18:20

... volatility 42 0 0.13 53.67 43 0 0.19 52.77 44 0 0.25 51.16 45 0 0.25 47 .66 46 0 0.19 42 .59 48 0 0.31 38.71 49 0 0 .44 37.19 500 0.50 34. 46 515 0.81 31.92 545 2.00 25.98 550 2.38 25.06 555 2.75 23.90 570 4. 50 ... 0.03 10 .42 0.03 123 0.05 9.92 0.06 1 24 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...

Ngày tải lên: 22/06/2014, 18:20

... December 1 140 call at expiration SPZ 1080.00 1 140 .00 11 74. 40 1200.00 Cost of December 1 140 call – 34. 40 Value of call at expiration 0.00 0.00 34. 40 60.00 Call profit/loss – 34. 40 – 34. 40 0.00 25.60 ... price ( 34. 40 – 33.70 = 1 140 .70 – 1 140 ), therefore Call = futures – strike price + put ( 34. 40 = 1 140 .75 – 1 140 + 33.70), or Put = call – futures + strike price (33.70 =...

Ngày tải lên: 22/06/2014, 18:20

... 4 (a) 68 .49 (b) 68 .49 (c) 1.51 (d) 68 .49 , 1.51, 68 .49 (e) Obligation to buy stock at the strike price minus income from put: 70.00 – 1.51 = 68 .49 (f) $151 (g) Strike price minus price of stock ... profitable trading. 244 Part 4  Basic non-essentials If you have any comments or questions, I would like to know. Feel free to contact me at lenny@ lennyjordan.com. I’ll...

Ngày tải lên: 22/06/2014, 18:20

... 1 / 8 , 2 = 1 / 4 , 3 = 3 / 8 , etc. December Corn at 380 December options, with 176 days until expiration. Strike 300 320 340 360 380 40 0 42 0 44 0 46 0 48 0 500 Calls 41 ’6 32’2 25 19 4 15’3 12’1 9’6 ... 0 .45 ticks; 0 .45 × $100 = $45 (b) 111 – 109 – 0 .45 = 1.55 (c) 0 .45 (d) 111 – 0 .45 = 110.55 (e) 0 .45 /1.55 = $29 at risk for each potential return of $1.00, or 1/3 (f)...

Ngày tải lên: 22/06/2014, 18:20

... 57.5 = 42 .5 v) [550 – 46 0] – 57.5 = 32.5 vi) 57.5 vii) 607.5 – 49 2.5 = 115 2 (a) i) 2.05 + 1 .45 – 0.82 – 0. 34 = 2. 34 debit ii) 55 + 2. 34 = 57. 34 iii) 50 – 2. 34 = 47 .66 iv) [60 – 55] – 2. 34 = 2.66 v) ... 0. 34 = 4. 26 debit ii) 52.50 + 4. 26 = 56.76 iii) 52.50 – 4. 26 = 48 . 24 iv) [60 – 52.50] – 4. 26 = 3. 24 v) [52.50 – 45 ] – 4. 26 = 3. 24 vi) 4. 26 Ques...

Ngày tải lên: 22/06/2014, 18:20