|
|
 |
| Авторизация |
|
|
|
| Поиск по указателям |
|
|
|
|
|
|
|
 |
|
|
|
| Galacher W.R. — The Options Edge: Winning the Volatility Game with Options on Futures |
|
|
|
| Предметный указатель |
Account diversification 165
Advisory services 14 60
Arbitrage 52
Armchair bookmaking 168
Asked price 155
At the market order 156
At-the-money option 12
At-the-money option, correction factor for 90—92
Backgammon analogy 116
Bauer, Jurgens 156
Beardstown Ladies 5
Bell curve 22
Bettor’s payoff 31
Bid price 155
Billion dollar blowout 170
Black — Scholes formula 42 55 66 82 171
Black, Fischer 43 44
Boutique science 131
Call option, 1-day at-the-money 32—36
Call option, definition of 9
Call option, price parity of 14 41
Capote, Truman 169
Cattle futures and options, 1996 daily statistics 246—249
Cattle futures and options, 1996 volatility profile (chart) 245
Cattle futures and options, case study of 141—142
Cattle futures and options, five-year volatility profile 244
Chicago Mercantile Exchange, The 119
Choppy markets 125
Cocoa futures and options, 1996 daily statistics 252—255
Cocoa futures and options, 1996 volatility profile (chart) 251
Cocoa futures and options, five-year volatility profile 250
Coffee futures and options, 1996 daily statistics 258—261
Coffee futures and options, 1996 volatility profile (chart) 257
Coffee futures and options, five-year volatility profile 256
Coffee, price change analysis of 23—28
Commission costs 154 160—162
Common sense, principle of 5
Confirmation-bias syndrome 6
Corn futures and options, 1996 daily statistics 240—243
Corn futures and options, 1996 volatility profile (chart) 239
Corn futures and options, case study of 140—141
Corn futures and options, five-year volatility profile 238
Correlation studies 5
Cotton futures and options, 1996 daily statistics 222—225
Cotton futures and options, 1996 volatility profile (chart) 221
Cotton futures and options, five-year volatility profile 220
Crash Monday 146
Crude oil futures and options, 1996 daily statistics 216—219
Crude oil futures and options, 1996 volatility profile (chart) 215
Crude oil futures and options, case study of 142—145
Crude oil futures and options, five-year volatility profile 214
Derivative variable 18
Diversification 165
Dow Jones Industrial Average 167
Dynamic writing strategies 115—126
Education of a Speculator 5
Equality of expectations 111
Equity swings 116
Execution costs 154
Exit and entry costs 158
Expectation, call option buyer’s 33—34
Expectation, equality of 111
Expectation, mathematical definition of 31—32
Expectation, negative 4
Expectation, positive 4
Exponential smoothing 131 149 170
Fair value of 1-day call option 32—37
Fair value of an at-the-money option 40—41
Fair value, concept of 2 32
Fair value, expressed as mean absolute deviation 37 82
False optimization 133
Federal Open Market Committee 137—138
Federal Reserve Board 137 169
Federal Reserve Board, interest rate policy of 137—138
Feynman, Richard 64
Financial Analyst’s Journal, The 44
Fixed price order 148
Frequency distribution 22 30
Frequency distribution of coffee prices 26—27
Frequency distribution of silver prices 26—27
Fudging the numbers 6
Full disclosure, principle of 6
Fundamental overrides 134—151
Futures price, random nature of 18 23
Futures price, temporary equilibrium 18
Gifford, Frank 6
Globex 119
Gold futures and options, 1996 daily statistics 204—207
Gold futures and options, 1996 volatility profile (chart) 203
Gold futures and options, five-year volatility profile 202
Gold options, pricing of 12—13
Greenspan, Alan 151
Gross trading edge, definition of 151
Hedge funds 169
Hidden costs 158
High-tech psychology 151
Hogs and Pigs Report 71
Hypotheses testing for overvaluation 133—134
Hypotheses testing of straddle writing 102—108 119
Hypotheses using accurate data in testing of 155
Hypotheses, general testing of 4 11
Illiquid options 154
Implied strike price, definition of 102
Implied volatility, definition of 55
In-the-money option 12
Independent variable 18
Index funds 150 166
Insider trading 167
Interest on option premium 115
Japanese yen futures and options, 1996 daily statistics 198—201
Japanese yen futures and options, 1996 volatility profile (chart) 197
Japanese yen futures and options, five-year volatility profile 196
Larry King Live 6
Limit order 157
Logarithmic returns 78—79
Lognormal distribution 77
Long Term Capital Growth 169
Lottery analogy 7
Mad cow disease 141—142
Margin requirements 10 166
Market order 156
Mathematical expectation 31—32
McMillan, Lawrence 62—64 82
Mean absolute deviation in relation to call option price 35—37
Mean absolute deviation, as primary estimator of volatility 82—83
Mean absolute deviation, biased estimate of 129—131
Mean absolute deviation, definition of 26
Mean absolute deviation, relation to standard deviation 38 81—83
Mean absolute deviation, use in valuation tests 126—132
Merton, Robert C. 43 169
Million dollar formula 4 25 43—46 63
Million dollar formula, downfall of 169—171
Million dollar formula, errors in 47—51
Mutual funds 150
| Natenberg, Sheldon 66 139
Negative expectation 4 7
Negotiated commissions 161
Neutralizing a problem option 118 159
New York Cotton Exchange, The 66 156
New York Stock Exchange, The 6
New York Times, The, reporting on OPEC intervention 143—145
Niederhoffer, Victor 5
Nobel Prize in economics 43
Non-representative data 127
Non-traded options 154
Normal distribution, definition of 20
Normal distribution, examples of 22—23
Normal distribution, underpricing of options using 48
Ockham, William of 37
Ockham’s equation 41—42 47 52—55 68 83 95
Ockham’s equation for at-the-money straddles 95—96 170
OPEC 143
Optimization, false 133
Option in film industry 8—9
Option Volatility and Pricing Strategies 66 139
Option, advisory services 14 60
Option, expiry date, definition of 9
Option, overvaluation, definition of 14
Option, phantom, definition of 88
Option, premium, definition of 8
Option, price parity, definition of 13
Option, straddle, definition of 89
Option, strike price, definition of 12
Option, time decay of 67
Option, trading pit 12
Option, undervaluation, definition of 14
Option, writer, definition of 7
Options as a Strategic Investment 62
Out-of-the-money option 12
Payoff, bettor’s 31
Payout ratio 108 116—117 126—128 131
Persian Gulf War 144
Phantom options, calculation for 92—96
Phantom options, definition of 88
Phantom options, outcome from writing 102—108
Phantom strike price 122
Positive expectation 4
Price parity of at-the-money options 14 41
Probability, distributions 29
Probability, envelopes 21
Put option, definition of 9
Put option, price parity 14 41
Racetrack analogy 31
Random variables 22
Random walk 39
Regression to the mean 73 75
Resistance level 150
Resting order 160
S&P 500 Index future and options, 1996 daily statistics 180—183
S&P 500 Index future and options, 1996 volatility profile (chart) 179
S&P 500 Index future and options, five year volatility profile 178
S&P 500 Index future and options, volatility during market plunges 145—151
Sample size, importance of 128
Sampling error 23—28
Scholes, Myron 43 169
Scientific method 4
Secular trends 133 146
Selectivity in writing strategies 126—128 132—134
Settlement committee 155
Settlement prices 155
Silver futures and options, 1996 daily statistics 210—213
Silver futures and options, 1996 volatility profile (chart) 209
Silver futures and options, five year volatility profile 208
Silver, price change analysis of 26—27
Slippage 153 158 165
Soros, George 5
Soybean futures and options, 1996 daily statistics 228—231
Soybean futures and options, 1996 volatility profile (chart) 227
Soybean futures and options, five year volatility profile 226
span 166
Square-root time relationship 39 68 97 124 150
Standard deviation of a normal distribution 22 34
Standard deviation of cocoa price changes 77—81
Standard deviation of coffee price changes 26
Standard deviation of logarithmic returns 79
Standard deviation of silver price changes 26
Standard deviation, annualized 82
Standard deviation, definition of 26
Standard deviation, error in trending market 79—81
Stocks in All Positions report 139
Stop-loss order 10 119
Stop-loss protection 10
Straddle, definition of 88
Strangle 145
Strangle, definition of 163
Strike price, definition of 9
Subliminal bias 101
Sugar futures and options, 1996 daily statistics 264—267
Sugar futures and options, 1996 volatility profile (chart) 263
Sugar futures and options, five year volatility profile 262
Support level 150
Surely you’re joking, Mr. Feynman? 64
Swiss franc futures and options, 1996 daily statistics 192—195
Swiss franc futures and options, 1996 volatility profile (chart) 191
Swiss franc futures and options, five year volatility profile 190
System trading 101 119 134
Technical analysis 17
Trading edge 153 166
Trading edge, definition of 151
Trading market, definition of 19
Trading “volatility” 138
Treasury bond futures and options, 1996 daily statistics 186—189
Treasury bond futures and options, 1996 volatility profile (chart) 185
Treasury bond futures and options, five year volatility profile 184
Trending market, definition of 19
Trigger levels 121—125
U-factor, The 136—146
United States Department of Agriculture 139
Unlimited liability, compensation for 115
Unreflected uncertainty 112 136
Volatility, calculation of implied 55—58 96
Volatility, definition of historic 74
Volatility, definition of implied 55
Volatility, definition of market 4 60
Volatility, implied versus market 60—62 67 74—75 128—134
Volatility, Japanese yen example 75—76
Volatility, skew 64
Volatility, smile 64
Wall Street 150—151
Wall Street Journal, The, reporting on corn stocks 140
Wall Street Journal, The, reporting on hedge fund fiasco 169—170
Wheat futures and options, 1996 daily statistics 234—237
Wheat futures and options, 1996 volatility profile (chart) 233
Wheat futures and options, five year volatility profile 232
Whipsaw 161
Winner Take All 1 164 166
World Trade Center 108
Writer’s edge, definition of 4
Zero-sum game 7
|
|
|
| Реклама |
|
|
|
|
|
О проекте