Guide to Successful Strategies Financial Times Guides by Jordan Lenny 11 docx

... strike, or 111 . This is calculated as the difference between the strike prices minus the income from the spread: (113 – 111 ) – 0.50 = 1.50. 1.5 2 1 0.5 0 –0.5 –1 109 110 111 112 113 114 115 Figure ... expiration profit/loss is as in Table 8.4. Table 8.4 Long SPY June 113 111 put spread Microsoft 109 110 111 112 112 .50 113 114 115 Spread debit –0.50 Value of spread at...

Ngày tải lên: 22/06/2014, 18:20

... 330 5 10 15 20 0 –5 –10 –15 310 320 340 350 360 370 380 390 Figure 11. 3 Expiration profit/loss relating to Table 11. 4 11  Volatility spreads 111 and the potential return is the full amount that the ... (unlimited) Figure 11. 4 is a graph of the profit/loss at expiry. 330 5 10 0 –5 –10 –15 310 320 340 350 360 370 380 390 Figure 11. 4 Expiration profit/loss relating to Ta...

Ngày tải lên: 22/06/2014, 18:20

... 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 all these ... expect Marks and Spencer to increase from its current price of 350.60 into the 360 range, you could pay 1 for the April 350–360– 370 call butterfly. You do this by paying 11. 25 for one 350 c...

Ngày tải lên: 22/06/2014, 18:20

... 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 call butterfly, ... was sold to investors as a means of ‘downside pro- tection’, in other words, calls were written against a stock portfolio in order to compensate for a price decline, and in the meantime,...

Ngày tải lên: 22/06/2014, 18:20

... return, and 11. 50 is the smaller loss 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 ... 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...

Ngày tải lên: 22/06/2014, 18:20

... implied volatility 112 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 2.20 9.43 100 106 112 118 124 130 136 ... 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 se...

Ngày tải lên: 22/06/2014, 18:20

... (34.40 – 33.70 = 114 0.70 – 114 0), therefore Call = futures – strike price + put (34.40 = 114 0.75 – 114 0 + 33.70), or Put = call – futures + strike price (33.70 = 34.40 – 114 0.70 + 114 0) This equation ... or pay 114 0.60 for the future. Rarely is more than one com- ponent out of line at one time. SPZ P/L 114 0.70 Short futures Short 114 0 put Long 114 0 call Short futures Fig...

Ngày tải lên: 22/06/2014, 18:20

... The stock is at 74.16, and it has been ranging from 72.50 to 77.00 during the past two weeks, and you expect it to continue to do so for the foreseeable future. You would like to continue to ... terms of trading. The Financial Times Guide to Options, and its pre- cursor, Options Plain and Simple, are intended to be a practical guide to the most common strategies...

Ngày tải lên: 22/06/2014, 18:20

... $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) 115 .22 – 110 .55 = 4.67; 4.67 /115 .22 = 4% (g) ... or 1/3 (f) 115 .22 – 110 .55 = 4.67; 4.67 /115 .22 = 4% (g) SPDR 107.00 108.00 109.00 110 .00 110 .55 111 .00 112 .00 113 .00 Spread debit –0.45 Value of spread at expiration...

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 ... chairman of the US Federal Reserve bank, who is liked by the financial markets, announces that he is to retire when his term expires. What may happen to the implied volatility of your put...

Ngày tải lên: 22/06/2014, 18:20