Guide to Successful Strategies Financial Times Guides by Jordan Lenny 8 pptx

... debit 1 .84 0.66 55.66 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 ... him, and he began to recommend 1×2s and ladders without consulting me. It led to disaster. 88 Part 2  Options spreads Long one by two call spread for a credit Bearish to sli...

Ngày tải lên: 22/06/2014, 18:20

... who got caught out on a put 1×2. He began to cover their risk by selling futures. Then the other players in the market needed to sell futures in order to cover their risk. The market went down ... expiration, the stock closes below the put strike, or 45, you will be assigned on the short put, and you will be obli- gated to buy the stock at the strike price, or 45. The cost of yo...

Ngày tải lên: 22/06/2014, 18:20

... This is usually not done by investors because the risk/return ratios are unfavourable. 350 4 6 8 10 2 0 –2 330 340 360 370 Figure 13.2 Expiration profit/loss relating to Table 13.2 13 Butterflies ... long call butterfly in stocks, you may be assigned an unwanted short stock position, and with a long put butterfly in stocks, you may be assigned an unwanted long stock position. In...

Ngày tải lên: 22/06/2014, 18:20

... options with 98 days until expiry, February implied at 46 per cent (Feb–Nov = 89 days) May options with 188 days until expiry, May implied at 44 per cent (May–Feb = 90 days) Strike 180 .0 (CS) 220.0 ... have different behaviour due to early exercise. Puts on stocks are more likely to be exercised early if trading at parity, because a put is the right to sell the stock and raise c...

Ngày tải lên: 22/06/2014, 18:20

... vega V/P (%) 2700 185 .40 0.70 0. 38 0 .81 0.44 3.9 2.1 2750 149.40 0.64 0.43 0 .84 0.56 4.2 2 .8 280 0 116 .80 0.56 0. 48 0 .85 0.73 4.5 3.9 285 0 88 .10 0. 48 0.54 0 .83 0.94 4.5 5.1 2900 63 .80 0.40 0.63 0.76 ... Eurostoxx future at 283 1 with 57 DTE Strike Call value Call delta D/P (%) Call theta T/P (%) 2700 185 .40 0.70 0. 38 0 .81 0.44 2750 149.40 0.64 0.43 0 .84 0.56 280 0...

Ngày tải lên: 22/06/2014, 18:20

... 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 *1 28 1.05 8. 14 0.51 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 ... 42.59 480 0.31 38. 71 490 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 20.56 575 21.00 20.75 580 17.13 19.60 6.75...

Ngày tải lên: 22/06/2014, 18:20

... positions are used primarily by professional market-makers to simplify the view of their options inventory in order to manage risk better. They are of little practical use to traders who take options ... a short XYZ 100 call, by virtue of its obligation to sell, equals a short XYZ position when XYZ is above 100 at expiration. A long XYZ 100 put, by virtue of its right to s...

Ngày tải lên: 22/06/2014, 18:20

... 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 ... = 1 28 32 / 32 = 1 28 64 / 64 , or strike price in options ticks 1 28 64 / 64 – 58 / 64 = 1 28 6 / 64 = 1 28 3 / 32 = 1 28. 03, or break-even level (c...

Ngày tải lên: 22/06/2014, 18:20

... 9290; 90 – 1 .80 = 88 .20; 88 20 (b) 90.56 × 0.03 = 2.72; 90.56 – 2.72 = 87 .84 (c) Long December 90 87 put spread (d) 1 .8 – 1 = 0 .8 (e) 3 – 0 .8 = 2.2 = $220; $80 ; 90 – 0 .8 = 89 .20; 0 .8/ 2.2 = 0.36 ... go to zero vii) 56.5 – [390 – 370] = 36.5p profit (b) i) 22.5 – 10 – 4.5 = 8, or 80 ii) 460 – 8 = 452 iii) 420 to 390 iv) [460 – 420] – 8 = 32 v) 390 – 32 = 3 58 vi)...

Ngày tải lên: 22/06/2014, 18:20

... 2753 .8 v) 284 6.2 – 2753 .8 = 92.4 points vi) 3 .8 (b) i) 107 + 54.5 – 85 .8 – 68. 4 = 7.3 ii) ( 285 0 – 280 0) = 42.7 iii) 285 0 – 7.3 = 284 2.7 iv) 2650 + 7.3 = 2657.3 v) 284 2.7 – 2657.3 = 185 .4 points vi) ... butterfly to the put condor. Chapter 13 answers 1 (a) i) 137.5 + 68 – [2 × 97.5] = 10.5 ii) [5775 – 5675] – 105 = 89 .5 iii) 5675 + 10.5 = 5 685 .5 iv) 587 5 – 10.5 =...

Ngày tải lên: 22/06/2014, 18:20