PROFIT WITH OPTIONS CHAPTER 6 ppsx

... Implied 700 12.2 60 0 23.9 725 13.9 61 0 21.7 750 15.1 62 0 19.4 775 16. 5 62 5 17.1 800 17.7 63 0 14.9 825 19.7 63 5 13 .6 850 20.9 64 0 11.7 900 24.1 64 5 11.3 Forward skew Reverse skew Note: Calls and puts at ... lower Figure 6. 3 Neutral trading: Put backspread. Delta neutral: 0.73/0.35 = 2.09 So buy two 65 0 puts and sell one 700 put Credit = 45 – (2 × 11) = 23 credit 20 10 6...

Ngày tải lên: 03/07/2014, 19:20

... 14.5 15.3 16. 0 16. 7 17.7 10-day = 4.3 5.2 6. 2 6. 6 7.0 7.7 8 .6& gt; 9.4 10.1 10.8 16. 5 20-day = 5.4 5.8 6. 2 6. 6 6. 8 7.9> 8 .6 9.1 9.8 11.1 12.9 50-day = 6. 3 6. 6 7.2> 7.5 7.7 8.0 8 .6 9.1 9.9 ... normal level, he or she will profit by the amount of the shaded area. Figure 7 .6 Strangle sale and call ratio spread: Options are expensive. Combination Sale $ Profit/...

Ngày tải lên: 03/07/2014, 19:20

... (50 times 60 0). However, the initial margin required to buy or sell one contract Assume May beans: 63 0, down 30 (limit down) Options are still trading: May 62 5 call: 8 May 62 5 put: 16 Implied ... 62 5 put @ 16 Sell the 62 5 call @ 8 Total Debit: 8 points Eventually, you sell the futures at 61 7: Exercise put or assigned on call @ 62 5 Less the 8-point debit Net sale price: 62...

Ngày tải lên: 03/07/2014, 19:20

... Brothers. 90.000 80.000 76. 125 76. 250 970924 86. 000 82.000 78.000 74.000 70.000 66 .000 62 .000 58.000 54.000 50.000 46. 000 42.000 38.000 34.000 30.000 26. 000 J 1997 M F AMJ J AS SB 39 .68 Implied Volatility ... December Strike price 12 1 ⁄ 2 calls 56 85 71 15 calls 2,453 3,922 69 3 34 17 1 ⁄ 2 calls 4 36 3,5 96 370 32 20 calls 24 741 164 OPTION PRICES AS AN INDICATOR 69 st...

Ngày tải lên: 03/07/2014, 19:20

... related to options it doesn’t really matter what the underlying is. Figure 3.5 August live cattle futures. 68 .000 66 .000 66 .500 65 .920 66 .100 960 612 10001 64 .000 62 .000 60 .000 58.000 56. 000 54.000 52.000 50.000 48.000 46. 000 44.000 42.000 40.000 38.000 36. 000 F 19 96 AMMJ @LCO 15.37 ... bullish Figure 3.3 IBM. 105.000 69 .125 67 .375 69 .125 941005 101.000 97.000...

Ngày tải lên: 03/07/2014, 19:20

... not 135 3/20/ 96 553 3/27 −3 ,60 0 4/2 60 0 4/3 −250 4/18 550 4/24 2,500 4/25 −1 ,69 7 4/30 200 5/1 −850 5/2 5,328 5/24 −1,097 6/ 6 4,453 6/ 10 1,250 6/ 11 −97 6/ 12 853 6/ 18 −2,150 6/ 19 60 0 6/ 20 −925 6/ 21 3,300 6/ 24 ... 2,523 5/30 −2,522 6/ 4 −525 6/ 5 1,728 6/ 6 8,228 6/ 24 7,528 7/2 −2,522 7/3 −5,022 7/15 −2,522 8/4 −1,700 8/5 978 8 /6 −2,522 8/7 5,128 8/19 4,978 8/20...

Ngày tải lên: 03/07/2014, 19:20

... Index options normally trade with implied volatilities that are much less than those of individual stock options. Yet, it was stated that equity options may be cheaper insurance than using index options. ... However, today portfolio protection is usually accomplished with options rather than futures. We discuss protection strategies in this chapter. OPTIONS VERSUS FUTURES AS PO...

Ngày tải lên: 03/07/2014, 19:20

... the URI::URL object with a call to $self->{'url'}query( ). A new HTTP::Request( ) object is made with the URI::URL object as a parameter. The request is issued with the call to $self->{'robot'}->request( ... processing with getopts( ): getopts('hilp:'); my $all = !($opt_i || $opt_l); # $all=1 when -i -l not set if ($opt_h || $#ARGV==-1)...

Ngày tải lên: 28/10/2013, 15:15

... print "notweb: $url\n"; } } # print reference list (what URL points to what) Chapter 6: Example LWP Programs-P2 Then the scan( ) method does all the real work. The scan( ) method ... $root_url); The URL is then checked with a HEAD method. If we can determine that the URL is not an HTML document, we can skip it. Otherwise, we follow that with a GET method to get th...

Ngày tải lên: 28/10/2013, 15:15

... Chapter 6: The Lexer, Compiler, Resolver, and Interpreter Objects Now that you're familiar with Mason's basic syntax and some of its ... actually processing the component source code and finding the Mason directives within it. It interacts quite closely with the Compiler, which takes the Lexer's output and generates a Mason ... compiling phases. Figure 6- 1 illust...

Ngày tải lên: 14/12/2013, 12:15