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Options Institute — Options: Essential Concepts and Trading Strategies
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Íàçâàíèå: Options: Essential Concepts and Trading StrategiesÀâòîð: Options Institute Àííîòàöèÿ: Options, when used strategically can help investors control investment risk, capitalize on market opportunities, or enhance investment income. In order to maximize these opportunities, market participants must first grasp the fundamentals of options, including their attendant risk, features, and benefits. Options: Essential Concepts and Trading Strategies is an authoritative guide to options products and the tactics for incorporating them into an investment strategy. This easy-to-understand guide explains what options are, how they are priced, and how they are traded. Most importantly, it shows how options can enhance a portfolio's performance and help readers meet their investment objective. Covering Everything from the history of the options industry to the latest index options and products (including LEAPS, CAPS, and FLEX) this revised edition shows how to: Use options to protect profits, positions and portfolios; Make more informed, strategic decisions when buying or selling equity and index options- and avoid the most common pitfalls; Understand options pricing and forecasting theories without getting bogged down in the math.
ßçûê: Ðóáðèêà: Ýêîíîìèêà è ôèíàíñû /Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö ed2k: ed2k stats Èçäàíèå: 2ndÃîä èçäàíèÿ: 1995Êîëè÷åñòâî ñòðàíèö: 430Äîáàâëåíà â êàòàëîã: 14.11.2006Îïåðàöèè: Ïîëîæèòü íà ïîëêó |
Ñêîïèðîâàòü ññûëêó äëÿ ôîðóìà | Ñêîïèðîâàòü ID
Ïðåäìåòíûé óêàçàòåëü
"Cost of carry" 253 "Free money" 106 133 "Hockey-stick" diagrams 31 "Trading at parity" 23 90/10 strategy 220—221 344—345 351—352 358—359 90/10 strategy, LEAPS call with 352 358—359 90/10 strategy, option alternatives for 352 358—359 90/10 strategy, versus protective put 344 adjusting 231 270 American Stock Exchange (AMEX) 10 American-style option 20 276 353 355 American-style option, versus European-style 241 332 353 355 Arbitrage 52—53 246—247 249—262 Arbitrage spreads 249—262; see also Conversion and Reversal Arbitrage spreads, box spread 257—261 Arbitrage spreads, butterfly spread 278—279 284—288 Arbitrage spreads, jelly roll 261—262 Arbitrage spreads, option pricing and 249—262 Arbitrage spreads, time spread 278—284 Arbitrage, hidden risks 255—257 Arbitrage, market makers and 246—247 Arbitrage, mathematical 246—247 Arbitrage, spreads and option pricing 249—262 Arbitrage, synthetic 246 ASSIGNMENT see Exercise and assignment At-the-money options 20—21 At-the-money options, call price versus put price 254 At-the-money options, covered call writing and 104—105 At-the-money options, delta 38 At-the-money options, delta change over time and 46 At-the-money options, gamma and 42—46 At-the-money options, index calls and 90/10 strategy 221 At-the-money options, index calls as portfolio equivalents 221—222 229—230 At-the-money options, index puts as portfolio insurance 202—208 212—217 At-the-money options, stock price and 20—21 At-the-money options, time decay and 29—30 32—33 47—48 At-the-money options, uncovered call writing 97—98 At-the-money options, volatility and 34—36 Automatic exercise 19 156—159 Automatic exercise, portfolio management and 200 Backspreading 271 282 Barren's 299 Barren's, Confidence Index 304 Barren's, option premium index 303 Basis risk 275 Bear call spread 117 Bear put spread 113—117 309—310 Bear put spread, box spread and 258 Bear put spread, break-even point 113—114 116 Bear put spread, cost of 113 Bear put spread, motivation of spreader 114—115 Bear put spread, time decay and 115 Bear put spread, trade-offs of 115 Bear put spread, types of 115—117 Bear put spread, versus CAPS puts 156—158 Better switch see Repair strategies Binomial process 62; see also Volatility Black — Scholes model 17 294 333 359; Black — Scholes model, option pricing and 17 Box spread 257—261 Box spread, advantages of 260—261 Box spread, bull/bear spread and 258 Box spread, cash-equivalent alternative as 367—368 Box spread, double 285—286 Box spread, extra premium and 260 Box spread, pricing 258—261 Box spread, time box 262 Break-even point, bear put spread 113—114 116 Break-even point, bull call spread 107—108 110—111 Break-even point, call buying 83—84 Break-even point, covered call writing 103—104 Break-even point, long butterfly 136 Break-even point, long straddle 118—120 Break-even point, long strangle 122—123 Break-even point, put buying 89—90 Break-even point, put writing 99—100 Break-even point, short butterfly 127—128 Break-even point, short straddle 131 Break-even point, short strangle 134 Break-even point, strategic break-even point 190—191 Break-even point, uncovered call writing 95 Bucket shops 4 Bull call spread 107—113 310 Bull call spread, box spread and 258 Bull call spread, break-even points 107—108 110—111 Bull call spread, cost of 107 Bull call spread, dividend risk 112 Bull call spread, early assignment and 112—113 Bull call spread, motivation of spreader 108 Bull call spread, repair strategy as 190—191 Bull call spread, time decay and 109—110 Bull call spread, trade-offs of spreading 108—109 Bull call spread, types of 110—111 Bull call spread, versus CAPS calls 156—158 Bull put spread 111—112 Bullish long call spread see Bull call spread Bullish short put spread see Bull put spread Butterfly spread 278—279 284—288 Butterfly spread, boxes and 285—286 Butterfly spread, bull/bear spreads and 284 Butterfly spread, CAPS and 158—159 Butterfly spread, directional strategy as 137—138 Butterfly spread, double box and 285—286 Butterfly spread, double butterfly 285—286 Butterfly spread, flat-top butterfly 286; see also Condor spread Butterfly spread, iron butterfly 285 Butterfly spread, long 135—138; see also Long butterfly spread Butterfly spread, market makers and 278—279 284—288 Butterfly spread, pan-head butterfly 286; see also Condor spread Butterfly spread, profit/loss profiles 284—287 Butterfly spread, short 126—129; see also Short butterfly Butterfly spread, stock price swings and 285 Butterfly spread, straddles/strangles and 285 Butterfly spread, time decay and 285 Butterfly spread, top hat butterfly see Condor spread Butterfly spread, trading inventory as 285 Butterfly spread, trading of 287—288 Butterfly spread, volatility and 285 Buy-write 103—105 310; Buy-write, bullish strategy as 310 Calendar spread see also Time spread Calendar spread, far out-of the-money 181—182 Call options 18 Call options at-the-money versus put price 254 Call options, buying 82—89 310 Call options, buying with stock versus long call 94 Call options, covered writing 103—107 172—175 309—310 316—317 323—324 341 346—347; Call options, delta 38—42 Call options, insurance value of buying 87—89 Call options, introduction of by CBOE 8 Call options, parity speculative buying 84—87 168—172 310 Call options, price relationship to puts see Put-call Call options, theoretical value 26—28 Call options, time decay 29—31 Call options, uncovered writing 94—99 Call options, writer motivation 96—97 Call options, writing covered versus naked 106 Call options, writing versus shorting stock 99 Capped options see CAPS options CAPS options 141 156—159 160 CAPS options, calls versus bull call spreads 156—158 CAPS options, puts versus bear put spreads 156—158 CAPS options, value of 157 CAPS options, versus butterfly and condor spreads 158—159 Carrying costs 55 Cash equivalent alternatives 367—368 Cash equivalent alternatives, box spread 367—368 Cash equivalent alternatives, forward conversion 367 Cash overlay strategy 367 Cash settlement 276 Cash settlement, index hedging surrogates and 275—276 Cash settlement, index options 11 Cash-plus-call portfolio 221 CBOE see Chicago Board Options Exchange CBOE 100 index see Standard & Poor's 100 Stock Index CBOT see Chicago Board of Trade CFTC see Commodity Futures Trading Commission Chicago Board of Trade 19 Chicago Board of Trade, creation of CBOE 8—9 Chicago Board of Trade, registration by SEC 8 Chicago Board Options Exchange, (CBOE) 6 8—13 290 Chicago Board Options Exchange, (CBOE), annual volume 10 Chicago Board Options Exchange, (CBOE), creation of 8—9 Chicago Board Options Exchange, (CBOE), Equity Put-Call Ratio 299 Chicago Board Options Exchange, (CBOE), introduction of index options 11 Chicago Board Options Exchange, (CBOE), introduction of put options 10 Chicago Board Options Exchange, (CBOE), Market Volatility Index (VIX) 161—162 305—306 Chicago Board Options Exchange, (CBOE), new product expansion 11—13 Chicago Board Options Exchange, (CBOE), opening day 9 Chicago Board Options Exchange, (CBOE), Put and Call Option Premium Indexes 301—304 Chicago Board Options Exchange, (CBOE), S&P 100 Put-Call Ratio 299 Chicago Board Options Exchange, (CBOE), SEC expansion moratorium 10—11 Chicago Board Options Exchange, (CBOE), SEC pilot program 8 Chicago Mercantile Exchange (CME) 20 275 359 Clearing firms 291—292 CME see Chicago Mercantile Exchange Collar/fence strategy 235—239 328 349—350 368—369 375 Collar/fence strategy, institutional portfolio and 235—239 Collar/fence strategy, LEAPS options and 154—155 Combination 186—188 Commodity Futures Trading Commission (CFTC) 290 Computer technology, computer-based trading 294 Computer technology, proprietary 247 Condor spread, long 139—140 286—287 Condor spread, short 129—130 Condor spread, top hat, flat-top, pan-head butterfly as 286—287 Condor spread, versus CAPS 158—159 Confidence Index, Barron 's 304 Contrary sentiment indicators 298—301 Conversion 3—4 252—257 299 Conversion, advantages 260—261 Conversion, dividends and 254—255 Conversion, forward 367 Conversion, hidden risks 255—257 Conversion, interest and 252 Conversion, option premiums and 303—304 Conversion, put-call ratios and 299 Conversion, synthetic equivalents and 252 Cost-of-money 54—55 Counterparty risk 160 Covered call writing 103—107 172—175 309—310 323—324 Covered call writing, against portfolio 316—317 341 346—347 Covered call writing, buy-write 103—105 310 Covered call writing, expected returns 341 Covered call writing, insurance value 173 324 346—347 Covered call writing, motivation of writer 172—173 Covered call writing, opportunity cost 106 175 Covered call writing, overwriting 105—106 309 Covered call writing, percentage return of 173—175 Covered call writing, protection aspect 104—105 173 Covered call writing, systematic writing 178—179 Covered call writing, versus naked put writing 106—107 175—176 241—244 Covered call writing, volatility and 105 Covered straddle writing 177—178; see also Short straddle Cox, John 59 Crash, stock market of 1929 5 Crash, stock market of 1987 211 213 241 317 Curve 269—270 Daily Graphs Option Guide 307 Day traders 248 Day traders, direction risk and 264 Delta 23 38—42 267—269 Delta, curve and 269—270 Delta, dynamic hedging and 218—220 230—232 270—271 Delta, gamma and 42—46 269—270 272 Delta, hedge ratio and 268 Delta, LEAPS 145 Delta, net delta 268—269 277 Delta, neutral 45 Delta, neutral spreading 267—271 276—278 Delta, short straddle 133 Delta, speculative call buying and 86—87 Delta, time passage and 46—47 Delta, uncovered call writing 98 Designated Primary Market Maker (DPM) 294 Distribution of stock price 59—71 Distribution of stock price, expected 68 71 Distribution of stock price, volatility as 68 Diversification, portfolio 319 357 Diversification, speculative call buying and 171—172 Dividends 54 Dividends, ex-dividend date 112 254 Dividends, LEAPS and 143—144 Dividends, portfolio yield versus writing index calls 232—235 Dividends, pricing relationships and 254—255 Dividends, risk in spreading 112 DJIA see Dow Jones Industrial Average Dow Jones Industrial Average (DJIA) 226 Dow Jones Industrial Average (DJIA), all time high 336 Dow Jones Industrial Average (DJIA), ninety day declines of 15 percent 215 DPM see Designated Primary Market Maker Dual trading 290 Dynamic hedging, adjusting 231 Dynamic hedging, increasing portfolio market exposure 230—232 Dynamic hedging, market makers and 270—271 Dynamic hedging, reducing portfolio market exposure 218—220 Dynamic portfolio insurance 317—318 341 352—354 Dynamic portfolio insurance, advantages 353 Dynamic portfolio insurance, difficulties 317 354 Dynamic portfolio insurance, stock index futures and 317—318 353 Dynamic portfolio insurance, versus static insurance 352—354 Efficient market theory 297 311 End-of-quarter options 141 161 Enhancement strategy 183—186 Equity options, CBOE Equity Put-Call Ratio 299 Equity options, expiration cycles of 170—171 Equity options, naked put writing versus writing index puts 175 Equity options, versus index options evaluation 275—276 356—358 Equity options, versus index options for portfolio insurance 196—200 Equivalent positions 250—251 Equivalent positions, butterfly/condor versus CAPS 158—159 Equivalent positions, covered call versus short put 106—107 Equivalent positions, long put and stock versus long call 94 Equivalent positions, stock versus synthetic stock 250—251 Escrowed puts 350 European-style option 20 241 353 355 European-style option, portfolio insurance and 353 355 European-style option, versus American-style 241 332 353 355 Ex-dividend date 112 254 Exercise and assignment 19—20 Exercise and assignment, automatic exercise 19 156—159 200 Exercise and assignment, CAPS and 156—159 Exercise and assignment, early assignment 112—113 155—159 241 256 259—260 Exercise and assignment, early exercise 20 156—159 241 276 Exercise style see American-style option; CAPS option; European-style option Expected return distributions 319—323 327—328 341 Expected return distributions, covered calls and 341 Expected return distributions, protective puts and 341—344 Expected return distributions, skewness of 321—323 327—328 340 343 Expected value 59—67 Expected value, changing volatility and 60—67 Expected value, theoretical value as 67 Expected volatility 57 67—69 Expected volatility, versus implied volatility 69 expiration 18—20 Expiration cycles 8 170—171 Expiration, date 8 18 Expiration, rules of 19—20 Fair price 49; see also Put-call parity Fair valued options 76 297
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