... 31FLEX options, 11Foreign exchange options: interest rates and, 28Phi and, 48–49Forward price, 61Futures contracts, 11, 42, 129, 1 65 Gamma:defined, 24– 25 option strategy description and, 49 53 price ... 154 – 157 rationale for, 151 – 152 risk/reward and, 153 – 154 Near-term/short-term option, 12Net investment required:bear spreads, 198–199bull spreads, 184–1 85 buying a call, 93buying a put, 1 05 calendar ... 273Delta:defined, 24– 25 expected return and, 36 option strategy description and, 49 53 price sensitivity and, 46–47Delta-neutral strategy, 52 , 53 57 naked put writing, 156 ratio calendar spreads,...