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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 |
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Ïðåäìåòíûé óêàçàòåëü
Fence strategy see Collar/fence strategy Filer, Herbert 5—6 Firm-specific risk 319 357 FLEX options 141 160—161 385 FLexible Exchange options see FLEX options Forward conversion 367; see also Conversion FT-SE 100 Index 352 356 361 FT-SE 100 Index, options and futures on 329 361 Future volatility 57 Gamma 42—46 272 Gamma, curve and 269—270 Globex 294 Harvard Business Review 379 Hedge ratio 268; see also Delta Hedgewrap strategy see Collar/fence strategy Hedging 245 275 Hedging, dynamic 218—220 230—232; Hedging, index options 275 Hedging, market makers and 245 Hedging, short stock 167 Historical volatility 57—59 305; Hold and hope see Repair strategies Horizontal spread see Calendar spread and Hull, John 59 Implied volatility 36—37 57 68—71 270—271 305—311; Implied volatility, changes in 69—71 Implied volatility, focus on 78 270—271 Implied volatility, index of 161—162 305—306 Implied volatility, indicator as 305 Implied volatility, market declines and 306—307 Implied volatility, versus expected volatility 69 In-the-money options 20—21 In-the-money options, call buying as insurance 88—89 In-the-money options, delta 38 In-the-money options, delta change over time 46 In-the-money options, gamma and 42—46 In-the-money options, intrinsic value of 21—22 In-the-money options, put buying as insurance 93 In-the-money options, puts and early assignment 256 259—260 In-the-money options, speculative call buying 84—87 In-the-money options, speculative put buying 92 In-the-money options, stock price and 20—21 In-the-money options, time decay 30—31 In-the-money options, uncovered call writing 97—98 In-the-money options, volatility and 35—36 Independents 247; see also Market makers Index call options, 90/10 strategy and 220—221 Index call options, covered writing against portfolio 232—235 Index call options, dynamic hedging and 230—232 Index call options, gaining leverage with 226—228 Index call options, implied volatility of price 226—228 Index call options, increasing market exposure 220—232 Index call options, portfolio equivalents as 220—223 228—230 Index call options, portfolio insurance as 228—230 Index call options, portfolio repair and 239—241 Index futures see Stock index futures Index LEAPS 155—156 Index LEAPS, portfolio insurance and 155—156 Index options, advantages as portfolio insurance 200—201 Index options, American versus European-style premiums 332 Index options, cash settlement of 276 328 Index options, collar/fence strategy and 235—239 328 368—369 Index options, early exercise/assignment of 241 276 Index options, expiration cycles 170—171 Index options, hedging with surrogates 275—276 Index options, introduction of by CBOE 11 Index options, manageability 200 Index options, market makers and 274—278 Index options, narrow based 11 Index options, removing risks from 274—276 Index options, summary of contracts 328—329 Index options, trading portfolio delta neutral 276—278 Index options, versus equity options evaluation 275—276 356—358 Index put options, decreasing market exposure 202—220 Index put options, dynamic hedging and 218—220 Index put options, implied volatility of price 201 209 213—214 216—217 Index put options, portfolio equivalents as 202—206 212— Index put options, strategies for portfolio insurance 202—208 212—217 Index put options, versus equity puts for portfolio insurance 196—200 Index put options, writing versus equity put options 175 Institutional Index (XII), CAPS and 156 Institutional Index (XII), end-of-quarter options and 161 Institutional investor versus speculator 242—244 Insurance strategy see Portfolio insurance Insurance value, call buying 87—89 Insurance value, covered call writing 173 324 346—347 Insurance value, LEAPS puts 349 Insurance value, put buying 93—94 165—167 341—344 Interest rate options 12 Interest rate plays 253 258 Interest rates 33—34 55 Interest rates, call versus put price and 254 Interest rates, carrying costs and 55 253 Interest rates, LEAPS and 143—144 Interest rates, pricing box spreads and 259—260 Interest rates, short stock 252—254 Interest rates, theoretical value and 33—34 Intrinsic value 21—22 Intrinsic value, speculative call buying and 85—86 Investment Securities Act of 1934 6 Jarrow, Robert 59 Jeffrey, Robert 379 Jelly roll 261—262 Jelly roll, time spread and 261 280 Kappa see Vega KISS strategy 193—195 LEAPS calls, buying versus buying stock on margin 146—149 LEAPS calls, covered writing 150—151 LEAPS options 141—156 160 LEAPS options, collar/fence strategy and 154—155 LEAPS options, delta 145 LEAPS options, dividends and 143—144 LEAPS options, early assignment 155 LEAPS options, FT-SE 100 Index LEAPS 361 LEAPS options, index LEAPS 155—156 LEAPS options, interest rates and 143—144 LEAPS options, introduction of by CBOE 11—12 LEAPS options, standardization of contract terms 12 LEAPS options, time decay 141—143 LEAPS options, volatility of 143—144 LEAPS puts, buying as insurance 152—154 349 Legging 249 Leverage, buying stock on margin and 146—148 Leverage, index call buying 226—228 Leverage, out-of-the-money index calls 223—225 Leverage, speculative call buying 84—85 171— Leverage, speculative put buying 92 Leverage, transfer of risk and 192 LIFFE see London International Financial Futures Exchange Listed options, expiration cycles 170—171 Listed options, introduction of by CBOE 9—11 Locals 290; see also Independents Log-normal distribution 266 311 London International Financial Futures Exchange 361 Long butterfly spread 135—138; see also Butterfly spread Long butterfly spread, break-even points 136 Long butterfly spread, cost of 135—136 Long butterfly spread, directional strategy as 137—138 Long butterfly spread, motivation of buyer 137 Long condor see Condor spread Long straddle 117—121 Long straddle, break-even points 118—120 Long straddle, cost of 118 Long straddle, motivation of buyer 118 Long straddle, risks of 119—120 Long straddle, stock volatility and 121 Long straddle, time decay and 120—121 Long straddle, versus long strangle 124—126 135 Long strangle 121—126 Long strangle in-the-money versus out-of-the-money 122—123 Long strangle, break-even points 122—123 Long strangle, versus long straddle 124—126 135 Long volatility 271 Long-term Equity Anticipation Securities see LEAPS options Major Market Index (XMI) 11 Major Market Index (XMI), CAPS options and 156 Major Market Index (XMI), end-of-quarter options and 161 Margin account, spreads in 117 191 Margin call 149 Margin interest 147 177 Margin requirement 176 Market declines see also Portfolio insurance and Portfolio risk management Market declines, dynamic hedging and 218—220 Market declines, implied volatility and 306—307 Market declines, index puts as insurance 196—200 202—208 212—217 Market exposure, index calls to increase 220—232 Market exposure, index puts to decrease 202—220 Market maker strategies, backspreads 271 282 Market maker strategies, box spread 257—261 Market maker strategies, butterfly spread 278—279 284—288 Market maker strategies, conversion 252—257 Market maker strategies, delta neutral spreading 267—272 276—278 Market maker strategies, interest rate plays 253 258 Market maker strategies, jelly roll 261—262 Market maker strategies, position risk summary 262—263 Market maker strategies, reversal 252—257 Market maker strategies, summary of spread exposure 273—274 Market maker strategies, time box 262 Market maker strategies, time spread 261 271—272 278—284 Market maker strategies, vertical 282 Market maker strategies, volatility plays 270—272 Market makers 9 Market makers, acceptance of risk 262—264 Market makers, arbitrage and 246—247 Market makers, arbitrage spreads and 249—262 Market makers, curve and 269—270 Market makers, hedging and 245 Market makers, option pricing model and 264—265 Market makers, prerequisites for becoming 288 Market makers, price efficiency and 245 Market makers, pricing options 249—262 Market makers, risk management and 248—251 Market makers, risk transfer and 245 Market makers, role of 245—248 Market makers, short stock interest and 252—254 Market makers, trading styles 248 Market makers, two-sided markets and 245 Market makers, volatility exposure and 264—267 271 Market making business, choosing clearing firm 291—292 Market making business, choosing exchange 290—291 Market making business, costs and commitments of 288—290 Market making business, partnership and backing 292 Market making business, reflections on future 293—294 Market making business, size of operations 247—248 Market making business, success in 292—293 Market risk 319 357 Market timing 218 378—379; Market Volatility Index, CBOE (VIX) 161—162 305—306 Married put 166—167; see also Put options MID see Mid-Cap Index Mid-Cap Index (MID), end-of-quarter options and 161 MidAmerica Commodity Exchange 20 Naked call writing see Uncovered call writing Naked put writing see Uncovered put writing Naked stock buying 191—192 NASDAQ 100 Index 336 356 NASDAQ 100 Index, options on 329 Natenberg, Sheldon 59 New York Mercantile Exchange 19 New York Stock Exchange 2 10 290 NYSE see New York Stock Exchange NYSE Composite Index 11 Odd-lot volume indicator 298 OEX see Standard & Poor's 100 Stock Index Open outcry system 9 Option Pools 4—5 Option premiums 297 301 357 Option premiums, index versus equity options 357 Option premiums, indexes of 301—304 Option premiums, reflecting future factors 297 Option premiums, volatility and 357 Option pricing model 17 305 Option pricing model, Black — Scholes model 17 294 333 359 Option pricing model, market makers and 264—265 Option repair strategy 188—191; see also Repair strategies Option strategies see also individual strategy listings Option strategies, bear spreads 113—117 Option strategies, bearish/defensive 309—310 Option strategies, bull spreads 107—113 Option strategies, bullish 310 Option strategies, calendar spread 181—182; see also Time spread Option strategies, call buying 82—89 168—172 Option strategies, combinations 186—188 Option strategies, covered call writing 103—107 172—175 Option strategies, covered straddle writing 177—178 Option strategies, LEAPS as collar/fence strategy 154—155 Option strategies, LEAPS call buying 146—149 Option strategies, LEAPS covered call writing 150—151 Option strategies, LEAPS put buying as insurance 152—154 Option strategies, long butterfly 135—138 Option strategies, long condor 139—140 Option strategies, long straddle 117—121 Option strategies, long strangle 121—126 Option strategies, married put 166—167 Option strategies, neutral 310 Option strategies, profit/loss diagrams explained 81—82 Option strategies, protective put 165—166 Option strategies, put buying 89—94 165—168 Option strategies, put writing 99—102 175—177 Option strategies, short butterfly 126—129 Option strategies, short condor 129—130 Option strategies, short straddle 130—133 Option strategies, short strangle 133—135 Option strategies, time spread 278—284; see also Calendar spread Option strategies, uncovered call writing 94—99 Option Strategy Spectrum, The 310 options 18 Options Clearing Corporation, The (OCC) 8—9 160 384 Options Clearing Corporation, The (OCC), counterparty risk and 160 Options Institute, The 241 289 Options on futures 19—20 290—291 Options, American see American-style option Options, ancient use of 1 Options, contract size 19 Options, delta and 23 38—42; Options, derivative instruments as 17 Options, developed as insurance 6 Options, early popularity of 9—11 Options, elements of theoretical value 26—37 Options, equity versus index evaluation 356—358 Options, European see European-style option Options, evaluation of listed contracts 354—358 Options, fair valued 76 297 Options, flexibility of 80—81 Options, history of 1—13 Options, international trading movement 10 Options, listed versus over-the-counter 375 383—385 Options, market in U.S. before CBOE 6—7 Options, over-the-counter see Over-the-counter options Options, overvalued 75—78 249 Options, parity 23 Options, prices and dividends 54; see also Dividends Options, prices and interest rates 54—55; see also Interest rates Options, rights versus obligations 18 Options, standardization of contract terms 6—9 Options, theta and 47—49; see also Time decay Options, underlying assets and 80 Options, undervalued 75—78 249 Options, value and volatility 59—71; see also Volatility Options, versatility of 17
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