Option market making: trading and risk analysis for the financial and commodity option markets
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Wiley
1993
|
| Schriftenreihe: | Wiley finance editions
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 191 - 194 |
| Beschreibung: | XIII, 201 S. graph. Darst. |
| ISBN: | 0471578320 |
Internformat
MARC
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| 650 | 7 | |a Bolsa de mercadorias |2 larpcal | |
| 650 | 4 | |a Commodity exchanges - United states | |
| 650 | 7 | |a Optiehandel |2 gtt | |
| 650 | 4 | |a Commodity exchanges |z United States | |
| 650 | 4 | |a Options (Finance) |z United States | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-006565629 | ||
Datensatz im Suchindex
| _version_ | 1804124275514277888 |
|---|---|
| adam_text | Contents
1 Economics of Option Market Making 1
2 Options 9
What is an Option? 9
Option Fair Value 13
Option Pricing Models 17
Volatility 24
Financial and Futures Options 31
3 Option Risks 37
Introduction to Option Risks 37
Delta Risk 38
Gamma and Lambda Risk 41
Theta Risk 42
Kappa/Vega Risk 43
Rho Risk 46
Skew Risk 48
Time Spread Risk 49
Extramarket Risks 50
4 Position Risk Profiles 53
Basic Option Positions 53
Position Risk Profiles 57
xi
xii CONTENTS
Limited and Unlimited Risk Analysis 60
Risk Determination 65
Appendix 69
5 Synthetic Option Market Making 85
Introduction 85
Conversions and Reversals 87
The Effect of Interest Rates on Synthetic Trading 94
Box Arbitrage 97
Pin Risk 99
Inefficient Market Risk 102
6 Calendar Spread Risk 105
Introduction 105
Time Delta Risk 107
Time Kappa/Vega Risk 109
Limited and Unlimited Time Risk 112
Time Butterflies 114
7 On Strategy 11 7
Introduction 117
Delta Neutrality 119
Core Strategy 123
Time Spreading 127
Broker Order Flow and Open Interest Analysis 131
Trading Fences 137
Trading High Volatility 141
Expiration 146
8 Market Making Tactics 151
Introduction 151
CONTENTS xiii
Making a Spread Market 153
Making a Time Spread Market 157
Position Delta Adjustments 160
Gamma Trading 163
Adjustment of Theta/Kappa/Vega 167
Watching the Implieds 170
Skew Risk Revisited 171
Tracking Trading Results 177
Common Mistakes 180
9 Observations from the Floor 185
Appendix: Option Software for Market Making 189
References and Suggested Reading 191
Index 195
|
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| geographic | USA |
| geographic_facet | USA |
| id | DE-604.BV009911557 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:43:05Z |
| institution | BVB |
| isbn | 0471578320 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006565629 |
| oclc_num | 25631275 |
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| physical | XIII, 201 S. graph. Darst. |
| publishDate | 1993 |
| publishDateSearch | 1993 |
| publishDateSort | 1993 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance editions |
| spelling | Baird, Allen Jan Verfasser aut Option market making trading and risk analysis for the financial and commodity option markets Allen Jan Baird New York [u.a.] Wiley 1993 XIII, 201 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance editions Literaturverz. S. 191 - 194 Bolsa de mercadorias larpcal Commodity exchanges - United states Optiehandel gtt Commodity exchanges United States Options (Finance) United States Optionshandel (DE-588)4126185-9 gnd rswk-swf USA Optionshandel (DE-588)4126185-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006565629&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Baird, Allen Jan Option market making trading and risk analysis for the financial and commodity option markets Bolsa de mercadorias larpcal Commodity exchanges - United states Optiehandel gtt Commodity exchanges United States Options (Finance) United States Optionshandel (DE-588)4126185-9 gnd |
| subject_GND | (DE-588)4126185-9 |
| title | Option market making trading and risk analysis for the financial and commodity option markets |
| title_auth | Option market making trading and risk analysis for the financial and commodity option markets |
| title_exact_search | Option market making trading and risk analysis for the financial and commodity option markets |
| title_full | Option market making trading and risk analysis for the financial and commodity option markets Allen Jan Baird |
| title_fullStr | Option market making trading and risk analysis for the financial and commodity option markets Allen Jan Baird |
| title_full_unstemmed | Option market making trading and risk analysis for the financial and commodity option markets Allen Jan Baird |
| title_short | Option market making |
| title_sort | option market making trading and risk analysis for the financial and commodity option markets |
| title_sub | trading and risk analysis for the financial and commodity option markets |
| topic | Bolsa de mercadorias larpcal Commodity exchanges - United states Optiehandel gtt Commodity exchanges United States Options (Finance) United States Optionshandel (DE-588)4126185-9 gnd |
| topic_facet | Bolsa de mercadorias Commodity exchanges - United states Optiehandel Commodity exchanges United States Options (Finance) United States Optionshandel USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006565629&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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