Options: essential concepts and trading strategies
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Burr Ridge, Ill. u.a.
Irwin
1995
|
| Edition: | 2. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVIII, 421 S. graph. Darst. |
| ISBN: | 0786302720 |
Staff View
MARC
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| 245 | 1 | 0 | |a Options |b essential concepts and trading strategies |c ed. by the Options Institute, the Educational Division of the Chicago Board Options Exchange |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Burr Ridge, Ill. u.a. |b Irwin |c 1995 | |
| 300 | |a XVIII, 421 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Options (Finance) | |
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Record in the Search Index
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CONTENTS
CHAPTER 1 HISTORY OF OPTIONS—ff/va Aidus H6mond 1
» Options Trading began Centuries Ago, 1
Options Trading in Industrial Europe, 1
Options Trading in the United States, 2
Abuse in the 1900s, 4
Creation of the Securities and Exchange Commission, 5
The Options Market before the CBOE, 6
Grain Traders Expand into Option Trading, 8
Standardization of Option Contracts, 8
The Chicago Board Options Exchange Arises from
Humble Beginnings, 9
Index Options, 11
LEAPS* or Longer Dated Options, 11
Conclusion, 12
PART1
ESSENTIAL CONCEPTS
CHAPTER 2 FUNDAMENTALS OF OPTIONS—James B. Bittman 17
Some Definitions, 18
Option, 18
Strike Price and Expiration Date, 18
Expiration Rules, 19
Price and Strike Price, 20
Intrinsic Value and Time Value, 21
Parity, 23
Option Price Tables Introduced, 23
Elements of an Option s Value, 26
Option Price Relative to Stock Price, 27
Option Price Relative to Time, 29
Interest Rates, 33
Option Prices and Volatility, 34
xii Contents
The Second Level of Understanding, 37
The Effect of Stock Price Change—Delta, 38
The Rate of Change in Delta—Gamma, 42
How Deltas Change with Time, 460
Time Decay—Theta, 47
Changes in Volatility—Vega, 49
The Put Call Parity Relationship, 49
Influence of Real World Factors, S3
Summary, 56
CHAPTER 3 VOLATILITY EXPLAINED—James B. Bittman 57
Introduction, 57
Historical Volatility, 58
Volatility and Option Value—A Conceptual Approach, 59
Changing the Volatility, 60
An Analogy to Volatility, 61
A More Advanced Example, 61
The Four Period Case, 63
Moving Out One Period, 63
Changing the Movement in the Binomial Example, 65
Expected Volatility, 67
Implied Volatility, 68
Implied Volatility versus Expected Volatility, 69
Changes in Implied Volatility, 69
Real World Experience, 71
The Meaning of 20 Percent Volatility, 71
Volatility and Average Price Movements, 72
Volatility and Implied Price Ranges, 73
Using This Concept of Price Ranges, 74
Overvalued and Undervalued, 75
The Basis for Theoretical Value, 76
Focus on Implied Volatility, 78
Summary, 78
CHAPTER 4 OPTION STRATEGIES: ANALYSIS AND
SELECTION—Elliot Katz 80
Description of Diagrams, 81
Call Buying, 82
I Contents xiii
¦if
i. Expected Behavior, 82
The Break Even Point, 83
The Speculative Call Buyer, 84
The Insurance Value of Calls, 87
Put Buying, 89
General Behavior, 89
Time Decay, 91
Out of the Money versus In the Money Puts, 92
A Strategic Application, 92
Term Insurance, 93
Call Selling, 94
Motivation of the Call Seller, 96
In the Money, At the Money, and Out of the Money, 97
How Much Premium Is Enough? 99
Capital Commitment and Risk, 99
Put Selling, 99
Put Selling and Insurance, 100
Motivation to Sell Puts, 101
The Lost Opportunity, 102
Speculative or Conservative? 102
Covered Call Selling, 103
Covered Writing, 103
Overwriting, 105
Covered or Naked? 106
Covered Writing and Put Selling, 106
Bull Spreads, 107
Motivation of the Bull Spreader, 108
The Trade Ojfs of Spreading, 108
Types of Bull Call Spreads, 110
The Bullish Put Spread, HI
Two Special Risks of Early Assignment, 112
Bear Spreads, 113
Motivation of the Bear Spreader, 114
Trade Offs of Bear Spreading, 115
Types of Bear Put Spreads, 115
The Bearish Call Spread, 117
Summary of Spreading, 117
xiv Contents
Long Straddle, 117
Motivation, 118
At Expiration, 118
Risks of the Long Straddle, 119
Before Expiration, 120
Which Stocks? 121
Long Strangle, 121
At Expiration, 121
In the Money or Out of the Money? 122
Strangle or Straddle? 124
Short Butterfly, 126
At Expiration, 127
1 Butterfly = 2 Spreads, 128
When to Use, 128
Short Condor, 129
Short Straddle, 130
Motivation, 131
Time Decay, 132
Risks and Capital Management, 133
Capital Required, 133
Short Strangle, 133
Long Butterfly, 135
Motivation, 137
The Directional Butterfly, 137
Long Condor, 139
CHAPTER 5 NEW PRODUCT STRATEGIES—J. Marc Allaire 141
LEAPS®, 141
Buying Calls as an Alternative to Using Margin, 146
Covered Writing, 150
Purchasing Long Term Insurance, 152
Purchasing a Collar, 154
Index LEAPS*, 155
CAPS®, 156
Strategy Equivalencies, 157
Other New Products, 160
Flex™ Options, 160
End of Quarter Options, 161
The Volatility Index, 161
Contents xv
PART 2
TRADING STRATEGIES
CHAPTER 6 OPTIONS FOR THE SMALL INVESTOR—Harrison Roth 165
Getting In, 165
The Protective Put, 165
The Married Put, 166
Put Purchase versus Short Sale, 167
Buying Calls, 168
Expiration Cycles, 170
Covered Call Writing, 172
Uncovered Put Writing, 175
Covered Straddle Writing, 177
Systematic Writing, 178
Spreads, 179
Far Out Calendar Spread, 181
Getting Out, 182
Scaling Out, 182
Replacement Therapy, 183
Enhancement, 183
Reduced Risk Trading, 186
Repair, 188
Option Repair, 188
Stock Repair, 191
Summary and Conclusion, 192
Risk Transfer, 192
Afterword, 194
CHAPTER 7 INSTITUTIONAL USES OF OPTIONS—James B.
Bittman 196
Introduction to Portfolio Insurance, 196
A Look at Index and Equity Options, 1%
Advantages of Index Options, 200
Strategic Considerations of Portfolio Insurance, 201
The Alternatives, 202
Index Put Buying Strategies, 202
Decreasing Market Exposure, 202
How the Strategies Perform, 202
Choosing a Portfolio Insurance Strategy, 208
Column 1: Selling the Portfolio, 209
xvl Contents
Column 2: Selling Stock Index Futures, 211
Column 3: Buying a Portfolio Equivalent of
At the Money Index Puts, 212
Column 4: Buying a Portfolio Equivalent of
Out of the Money Puts, 213
Column 5: Buying a Portfolio Multiple of
Out of the Money Puts, 215
Where the Insurance Analogy Breaks Down, 217
Market Timing, 218
Dynamic Hedging Can Reduce Market Exposure
Using Puts, 218
Index Call Buying Strategies, 220
Increasing Market Exposure with Limited Risk, 220
The 90110 Strategy, 220
Buying a Portfolio Equivalent of At the Money
Calls, 222
Low Cost Participation with Out of the Money
Calls, 222
Leverage with Out of the Money Calls, 223
Choosing the Appropriate Call Buying Strategy, 225
Analysis for Choosing Index Call Buying
Strategy 3, 226
Analysis for Choosing Index Call Buying
Strategy 2, 228
Analysis for Choosing Index Call Buying
Strategy 1, 229
Dynamic Hedging Increases Market Exposure
Using Calls, 230
Other Portfolio Strategies, 232
Reducing Volatility by Writing Covered Calls, 232
The Fence Strategy, 235
The Portfolio Repair Strategy, 239
Selling Equity Puts: A Portfolio Management View, 241
Covered Writing versus Put Selling: Finding a Difference
Where There Is None, 244
CHAPTER 8 THE BUSINESS OF MARKET MAKING—Anthony J.
Saliba 245
The Role of Options Market Makers, 245
The Business of Market Making, 246
1
Contents xvii
Large and Small Operations, 247
Styles of Options Trading, 248
How Market Makers Price Options, 249
Relative and Arbitrage Spreads, 249
Conversions and Reversals, 252
Dividends, 254
Hidden Risks, 255
I Box Spreads, 257
Box Pricing, 258
Jelly Rolls and More, 261
: Theoretical Values and Volatility, 262
A Tool for Accepting Volatility Exposure, 264
Volatility Premium, 266
An Edge and a Hedge, 267
Delta, 267
Curve, 269
Volatility Plays, 270
Removing the Risks of Index Options, 274
Trading a Portfolio Delta Neutral, 276
Time Spreads, Butterflies, and Other Trading Tools, 278
Time Spreads, 280
Trading Time Spreads: A Conflict in Intuition, 281
Butterflies, 284
What It Takes to Become a Market Maker, 288
Costs and Commitments of Market Making, 288
Success, 292
Reflections on What the Future Holds, 293
PART 3
REAL TIME APPLICATIONS
CHAPTER 9 USING OPTION MARKET INFORMATION TO MAKE
STOCK MARKET DECISIONS—James W. Yates, Jr. 297
The Put Call Ratio, 298
Option Premiums, 301
Option Premium Indices, 301
Implied Volatility, 305
CBOE Market Volatility Index, 305
Summary, 312
xviii Contents
CHAPTER 10 INSTITUTIONAL CASE STUDIES—Gary L Trennepohl
and C. R. (Sonny) Tucker 313
Case One Lincoln Pension Trust, 315
Suggested Analysis for Lincoln Pension Trust Case, 339
Case Two Hampton Fund, 363
Suggested Analysis for Hampton Pension
Fund Case, 377
Glossary, 389
Index 409
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| spelling | Options essential concepts and trading strategies ed. by the Options Institute, the Educational Division of the Chicago Board Options Exchange 2. ed. Burr Ridge, Ill. u.a. Irwin 1995 XVIII, 421 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Options (Finance) Option (DE-588)4115452-6 gnd rswk-swf Optionshandel (DE-588)4126185-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Optionshandel (DE-588)4126185-9 s DE-604 Option (DE-588)4115452-6 s Options Institute (Chicago, Ill.) Sonstige (DE-588)5061430-7 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006734991&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Options essential concepts and trading strategies Options (Finance) Option (DE-588)4115452-6 gnd Optionshandel (DE-588)4126185-9 gnd |
| subject_GND | (DE-588)4115452-6 (DE-588)4126185-9 (DE-588)4143413-4 |
| title | Options essential concepts and trading strategies |
| title_auth | Options essential concepts and trading strategies |
| title_exact_search | Options essential concepts and trading strategies |
| title_full | Options essential concepts and trading strategies ed. by the Options Institute, the Educational Division of the Chicago Board Options Exchange |
| title_fullStr | Options essential concepts and trading strategies ed. by the Options Institute, the Educational Division of the Chicago Board Options Exchange |
| title_full_unstemmed | Options essential concepts and trading strategies ed. by the Options Institute, the Educational Division of the Chicago Board Options Exchange |
| title_short | Options |
| title_sort | options essential concepts and trading strategies |
| title_sub | essential concepts and trading strategies |
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| topic_facet | Options (Finance) Option Optionshandel Aufsatzsammlung |
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