Guide to Successful Strategies Financial Times Guides by Jordan Lenny 10 doc

... 0.00 0 .10 1 .10 1 .10 1 .10 *Short call spread Neutral to bearish strategy Suppose you are neutral to bearish on the S&P 500. With 45 days till expiration, June time decay is beginning to accelerate. ... you may wish to place the second short strike further from the underlying. If XYZ is at 100 , instead of placing your call ladder at 105 , 110 and 115, you may place it...

Ngày tải lên: 22/06/2014, 18:20

... back. 330 5 10 15 20 25 0 –5 10 –15 –20 –25 310 320 340 350 360 370 380 390 Figure 11.2 Expiration profit/loss relating to Table 11.3 10  Combos and hybrid spreads for market direction 103 Maximum ... 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. 2 102 Part 2  Op...

Ngày tải lên: 22/06/2014, 18:20

... call spread at expiry 0.00 0.00 2.75 10. 00 10. 00 10. 00 10. 00 10. 00 Value of short 370–380 call spread at expiry 0.00 0.00 0.00 0.00 –0.00 –7.25 10. 00 10. 00 Profit/loss –2.75 –2.75 0.00 7.25 ... 340–350 call spread at expiry 0.00 0.00 1.25 10. 00 10. 00 10. 00 10. 00 Value of short 350–360 call spread at expiry 0.00 0.00 0.00 0.00 –8.75 10. 00 10. 00 Profit/loss –1...

Ngày tải lên: 22/06/2014, 18:20

... XYZ is at 100 , and you expect it to rally into a range of between 105 and 115, then you can buy the 100 – 110 120 call but- terfly. This spread costs more than the adjacent strike, 105 – 110 115 ... 320–330–340–350 put condor M&S 310. 00 320.00 322.25 330.00 340.00 347.75 350.00 360.00 Spread debit –2.25 Value of long 350–340 put spread at expiry 10. 00 10. 00 10. 00...

Ngày tải lên: 22/06/2014, 18:20

... to take if your investment fails to succeed. O The second approach is to limit the amount you wish to invest. For exam- ple, If you have e88 to invest (times the multiplier) you may pay 88 .10 ... results. This leads to traders trying to meet short-term targets, and then to over- trading, and then to racking up commissions, and then to taking undue risk, and then some...

Ngày tải lên: 22/06/2014, 18:20

... advantages to a call purchase. They must both be seen as alternatives to buying a stock or other underlying. O The first is to take advantage of market gains. O The second is to limit exposure to ... accordingly: Amount to invest: $95 × 500 = $47,500 Cost of options: $10 × 100 × 5 = $5,000 Amount deposited in CD: $85 × 500 = $42,500 Of course, investors frequently leverage t...

Ngày tải lên: 22/06/2014, 18:20

... long XYZ 100 call, by virtue of its right to buy, equals a long XYZ position when XYZ is above 100 at expiration. We also know that a short XYZ 100 put, by virtue of its obligation to buy, equals ... that 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...

Ngày tải lên: 22/06/2014, 18:20

... at 100 , you would go long the 100 105 box by going long the 100 synthetic and by going short the 105 synthetic. You would buy one 100 call, sell one 100 put, sell one 105 call, and buy one 105 ... box If XYZ is at 100 , you could sell one 100 call, buy one 100 put, buy one 105 call, and sell one 105 put to create a short box. Here, you are short the 100 synthetic and lo...

Ngày tải lên: 22/06/2014, 18:20

... is compa- rable to a trader in the stock market who buys stocks because his outlook is for increased prices. 7 108 5.93 – 17.84 = 106 8.09 was yesterday’s closing price 17.84 /106 8.09 = 0.0167, ... cent to 18 per cent; 10 × $180 = $1,800 total potential vega return. 5 × $90 = $450 increase in one option’s value if the implied increases from 20 per cent to 25 per cent; 10 × $...

Ngày tải lên: 22/06/2014, 18:20

... are down, and the stock is in a trading range. You are looking to supplement your dividend by writing one call on each 100 shares that you own. You realise that if the stock rallies above ... disadvantages of the put 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 = 5685.5 iv) 5875 – 10. 5...

Ngày tải lên: 22/06/2014, 18:20