Learning Techniques for Stock and Commodity Options 7 doc
Learning Techniques for Stock and Commodity Options_1 docx
... in foreign interest rates. Thisis only used in foreign exchange options. It has no impact on any other options. Foreign exchange options are affected by phi because options arepriced on the forward ... drawbacks. As a result, the model is no longer the standard for options on bonds, foreign exchange, and futures, though the standardmodels for these three items are modifications of the original.Assumptions ... expirationrDividends (for options on stocks and stock indexes)Given this information, the model can be used to find the fair price ofthe option. But suppose the current price of the option was known, and what...
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Learning Techniques for Stock and Commodity Options_2 pdf
... therefore change the range ofimplied and historical volatility.c05 JWBK1 47- Smith April 25, 2008 8:42 Char Count=Volatility 61605040302010013 579 111315 171 9212325 272 9313335 373 9414345 474 9515355 575 9DaysPriceFIGURE ... dimension.59c06 JWBK1 47- Smith May 8, 2008 9:52 Char Count=Selecting a Strategy 79 1 17. 5115.0112.5110.01 07. 5105.0102.5100.0 97. 595.092.5 27 Sep2013623Aug16925Jul181129Jun211 472 3May16926Apr1940M30M20M10MFIGURE ... 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...
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Learning Techniques for Stock and Commodity Options_3 pptx
... money at expiration. For example, assume you boughtOEX 580 options at 12 and the OEX was at 575 . If the option expires and c 07 JWBK1 47- Smith May 8, 2008 9:56 Char Count=CHAPTER 7 Buy a CallPrice ... 15,641 1.00 −. 074 8 . 078 9 −.0919Now we have exactly what we were looking for, a position that is longthe stock in the correct amount but also short implied volatility and willc 07 JWBK1 47- Smith May ... 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 7 1/2,foraprofit of 21/2, your return...
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Learning Techniques for Stock and Commodity Options_4 ppt
... premium. For example, you must pay $1,500 to buy a put on Treasury-bond futures ifthe price is 11/2. You will pay $75 0 for 10 stock options with a premium of0 .75 each.c08 JWBK1 47- Smith ... The formula is:Return = (Profit or loss) ÷ initial investment For example, if you buy an IBM put option for 5 and sell it for 7 1/2 ,for a profit of 21/2, your return on investment is 50 percent ... 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
... 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 ... For example, if you’re longone UI and short two calls, you have, for margin purposes, one covered callwrite and one naked short call.Break-Even PointThe formulas for the two break-evens for ... out-of-the-money options is greater than the at-the-money options. Youcan sell the out-of-the-money options and buy the at-the-money options, expecting the volatility skew to go away or to be reduced.For...
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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 ... the two legs on and want to change the character of the trade.c12 JWBK1 47- Smith April 25, 2008 9:39 Char Count=Naked Put Writing 1 57 time premium or to sell the far options and hang on to the ... ordercould be filled at $65 and $1 or at $59 and $7. Your analysis has been pred-icated on getting $62 and $4. In most cases, you will get a quote on thecovered write, and your order will be filled...
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Learning Techniques for Stock and Commodity Options_7 doc
... −10 7 /8−2 7 /8 7 7/8635 +3 −5 7 /8−2 7 /8 7 7/8640 −2 − 7 /8−2 7 /8 7 7/8645 7 +41/8−2 7 /8 7 7/86 47 7/8 7 +70 7 7/8650 7 +91/8+21/8 7 7/8655 7 ... profit/loss640 −103/4 +7 7/8−2 7 /8645 −103/4 +7 7/8−2 7 /86 47 7/8 7 7/8 +7 7/80650 −53/4 +7 7/8+21/8655 −3/4+2 7 /8+21/8c14 JWBK1 47- Smith May 8, 2008 10:8 ... profit/loss630 +8 −10 7 /8−2 7 /8635 +3 −5 7 /8−2 7 /8640 −2 − 7 /8−2 7 /8645 7 +41/8−2 7 /86 47 7/8 7 +70 650 7 +91/8+21/8655 7 +91/8+21/8c14 JWBK1 47- Smith May 8,...
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Learning Techniques for Stock and Commodity Options_8 pptx
... +10 7 /8+2 7 /8+10 7 /8635 −3 +5 7 /8+2 7 /8+5 7 /8640 +2 + 7 /8+2 7 /8+ 7 /8645 +7 −41/8+2 7 /8−41/86 47 7/8 +7 70 7 650 +7 −91/8−21/8−91/8655 +7 −91/8−21/8−91/8the ... +10 7 /8+2 7 /8635 −3 +5 7 /8+2 7 /8640 +2 + 7 /8+2 7 /8645 +7 −41/8+2 7 /86 47 7/8 +7 70 650 +7 −91/8−21/8655 +7 −91/8−21/8c 17 JWBK1 47- Smith May 8, 2008 10: 17 ... profit/loss640 +103/4 7 7/8+2 7 /8645 −103/4 7 7/8+2 7 /86 47 7/8 +7 7/8 7 7/80650 +53/4 7 7/8−21/8655 +3/4−2 7 /8−21/8c16 JWBK1 47- Smith May 8, 2008 10:14...
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Learning Techniques for Stock and Commodity Options_9 ppt
... −1/4+23/8c 17 JWBK1 47- Smith May 8, 2008 10: 17 Char Count=218 OPTION STRATEGIESTABLE 17. 5 Long Butterfly Results and Short Call ResultsPrice Long butterfly Short call515 −1/4 +7 1/2520 −1/4 +7 1/2525 ... moves sharply in one direction or another and c 17 JWBK1 47- Smith May 8, 2008 10: 17 Char Count=Butterfly Spreads 221TABLE 17. 9 Long Butterfly Results and Roll Up ResultsPrice Original butterfly ... alternative and entails liquidating three of the four options in thebutterfly. Continuing with the example in Table 17. 7, Table 17. 8 shows theresults of keeping the original butterfly spread and moving...
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Learning Techniques for Stock and Commodity Options_10 doc
... blending of ratio spreads and calendarspreads. It consists of selling nearby options and buying fewer of a far-ther option. For example, you could sell 4 of the July 40 calls and buy 2 ofthe October ... net credit For example, suppose you initiated a long straddle using options onTextron for December expiration. Textron is trading at 593/4, so you buythe 60 call and the 60 put for 3 each. ... movement.Typically, straddles are bought on options that have a long time to ex-piration. Long-dated options have the highest sensitivity to volatility, orvega, and, therefore, will have the greatest price...
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