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Learning Techniques for Stock and Commodity Options 3 pptx

Learning Techniques for Stock and Commodity Options_1 docx

Learning Techniques for Stock and Commodity Options_1 docx

... 0.0677 0. 538 4 0. 936 0 30 0. 039 9 0. 533 4 0.958220 0.0146 0.5274 0.98 13 10 0.0009 0.5195 0.9978c 03 JWBK147-Smith April 25, 2008 8 :33 Char Count=The Basics of Option Price Movements 35 income of ... 9:48 Char Count=Advanced Option Price Movements 53 TABLE 4.9Implied VolatilitiesImpliedStrike volatility 35 35 40 33 45 30 50 2755 31 60 33 65 37 Most implied volatility curves are basically ... 5.50 87.40 0.041 −6.05 3. 38 4.1950 2.08 53. 62 0.080 −9. 93 6.56 2.7155 0.51 19.28 0.060 −6.55 4. 53 1.0060 0.08 4.07 0.020 −2.05 1.44 0.2165 0.01 0.54 0.0 03 −0 .36 0.26 0. 03 c04 JWBK147-Smith May...
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Learning Techniques for Stock and Commodity Options_2 pdf

Learning Techniques for Stock and Commodity Options_2 pdf

... therefore change the range ofimplied and historical volatility.c05 JWBK147-Smith April 25, 2008 8:42 Char Count=Volatility 61605040 30 20100 135 7911 131 5171921 232 5272 931 333 537 3941 434 5474951 535 55759DaysPriceFIGURE ... volatil-ity. Usually, the value for volatility is plugged in and the formula is solved for the value of the option. Here, the situation is reversed—the formula issolved for volatility because the ... classic forecasting techniques, such as regres-sion analysis, time series analysis, and even classic chart patterns such ashead and shoulders and trendlines. However, professional options traderswill...
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Learning Techniques for Stock and Commodity Options_3 pptx

Learning Techniques for Stock and Commodity Options_3 pptx

... C and sell a Jan 120 C?Option Premium Imp Vol Delta Gamma Theta VegaJan 120 C −4 .30 21. 73 .46 −.0294 . 032 5 −.2509Oct 105 C 11.40 31 .67 .98 .0060 −.0210 .0081Net Position $8,010 .52 −.0 234 ... expected rally and the risk if there isno rally.Thus, for an excellent guide to the relative risk and reward of holdingvarious options, take the implied or estimated volatility for each stock, esti-mate ... divided by the initialinvestment. The formula is:Return = (Profit or loss) ÷ initial investment For example, if you buy an IBM option for 5 and sell it for 71/2,foraprofit of 21/2, your return...
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Learning Techniques for Stock and Commodity Options_4 ppt

Learning Techniques for Stock and Commodity Options_4 ppt

... decline and the risk if there is no decline.Thus, for an excellent guide to the relative risk and reward of holdingvarious options, take the implied or estimated volatility for each stock, esti-mate ... by the initialinvestment. The formula is:Return = (Profit or loss) ÷ initial investment For example, if you buy an IBM put option for 5 and sell it for 71/2 ,for a profit of 21/2, your ... are trading for $4 and the out-of-the-money options are trading for $2. This means that you could have twice as many of the out-of-the-money options as you could of the at-the-money options. This...
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Learning Techniques for Stock and Commodity Options_5 pot

Learning Techniques for Stock and Commodity Options_5 pot

... $7,6 43 Return-if-exercised = 7,6 43 ÷192,952 = 3. 96%(47. 53% annualized)Example 10 .3 Return-if-unchanged–CommonProceeds from stock sale $196,950− Stock commissions −1 ,30 0+ Dividends (0.2%) 39 5− ... bondselling for 1 23 3/4, the stock is at 1511/2, and the IBW May 155 calls are sell-ing for 4 3 /8. Each bond is convertible into 6.5 shares. This means that 200bonds will give 1 ,30 0 shares ... down and forward—keep some of your original write, and roll down and for- ward some into the next expiration month. Note that rolling down and forward restricts the maximum profit potential for...
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Learning Techniques for Stock and Commodity Options_6 pdf

Learning Techniques for Stock and Commodity Options_6 pdf

... roll up and forward—keepsome of your original write and roll up and forward some into the nextexpiration month. Note that rolling up and forward restricts the maxi-mum profit potential for a ... price and return.c12 JWBK147-Smith April 25, 2008 9 :39 Char Count=152 OPTION STRATEGIES 3 Price of Underlying InstrumentProfit20−11−2 3 −5−6−7−4404142 43 4445464748495051 53 5455565758596052FIGURE ... delta by theUI price change. For example, you will lose $3 if the delta is 0 .30 and theUI price drops $10.One risk is that an American-style option will be assigned beforeyou wish to exit the...
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Learning Techniques for Stock and Commodity Options_7 doc

Learning Techniques for Stock and Commodity Options_7 doc

... volatility of 23, the 90 puts are at 26, and the 80 puts are at 30 . In thiscase, you would want to “buy” the 100 put volatility of 23 and “sell” the 80put volatility of 30 , looking for the spread ... maximum risk and the point whereit occurs, 6477/8. Table 15 .3 shows the same situation for a bull call spreadwith the 645 call purchased for 10 3 /4 and the 650 call purchased for 77/8.The ... puts. For example, if you short oneUI and two puts, you have, for margin purposes, one covered put write and one naked short put.Break-Even PointThe formulas for the two break-evens for a...
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Learning Techniques for Stock and Commodity Options_8 pptx

Learning Techniques for Stock and Commodity Options_8 pptx

... risk and the point whereit occurs, 650. Table 16 .3 shows the same situation for a bear call spreadwith the 645 call sold for 10 3 /4 and the 650 call purchased for 77/8.TABLE 16 .3 Bear ... 10:17 Char Count=Butterfly Spreads 2 13 Assume a long butterfly of December Telex options with strikes of $50,$55, and $60. The three entry prices are 7, 3 1/2, and 15/8, respectively. Thenet ... down.TABLE 17 .3 Long Butterfly Results and Roll Down ResultsPrice Original butterfly New butterfly515 −1/4+1520 −1/4+6525 +4 3 /4+1 530 −1/4+1c15 JWBK147-Smith May 8, 2008 10: 13 Char...
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Learning Techniques for Stock and Commodity Options_9 ppt

Learning Techniques for Stock and Commodity Options_9 ppt

... −1/4−25/8525 +4 3 /4+2 3 /8 530 −1/4+2 3 /8 535 −1/4+2 3 /8540 −1/4+2 3 /8c17 JWBK147-Smith May 8, 2008 10:17 Char Count=218 OPTION STRATEGIESTABLE 17.5 Long Butterfly Results and Short ... Therefore, you mustcontinually adjust the ratio of the long to short options. For example, you are long 100 options on the S&P 500 futures contractwith a strike of 530 and a delta of 0.69, and ... the options on Treasury-bond futures using the September and December 960/ 32 strikes when theprice of the underlying futures contract is 965/ 32 . These options, being theat-the-money options, ...
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Learning Techniques for Stock and Commodity Options_10 doc

Learning Techniques for Stock and Commodity Options_10 doc

... credit For example, suppose you initiated a long straddle using options onTextron for December expiration. Textron is trading at 59 3 /4, so you buythe 60 call and the 60 put for 3 each. ... long options should be in-the-money.c21 JWBK147-Smith April 25, 2008 11 :3 Char Count=Straddles and Strangles 2510Price of Underlying InstrumentProfit−1−2 3 −4−512 3 404142 43 444546474849505152 53 54555657585960FIGURE ... InstrumentProfit−2 3 −11−4 3 4560404142 43 444546474849505152 53 54555657585960FIGURE 21.1 Long Straddle0Price of Underlying InstrumentProfit−2 3 −1−4−5−612 3 4404142 43 444546474849505152 53 54555657585960FIGURE...
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