Buying and selling volatility:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | Undetermined |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
1997
|
| Schriftenreihe: | Wiley frontiers in finance
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 218 S. graph. Darst. 1 Diskette (9 cm) |
| ISBN: | 0471968846 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents Glossary of Terms ix
1 An Introduction to the Concept of Volatility Trading 1
1.1 Traditional Investment and View Taking 1
1.2 Three Examples of Buying Volatility 4
1.3 The Instruments 7
2 A Review of Some Basic Concepts 9
2.1 Rates of Change and Gradients of Straight Lines 9
2.2 Long and Short 13
2.3 Profit, Loss and Price Changes 15
2.4 The Importance of Using Exposure and not Cost to
Measure Risk 18
2.5 A Nonlinear Profit Profile of an Imaginary Investment 20
2.6 A Real Life Example of a Nonlinear Price Profile 23
2.7 Measuring Volatility 24
3 The Price Profile of Derivatives before Expiry 31
3.1 The Call Option 31
3.2 Options Terminology 33
3.3 Probability, Averages, Expected Payoffs and Fair Values 35
3.4 The Fair Value of a Call Option 37
3.5 The Nonlinearity of Call Option Prices and the
Averaging Process 43
3.6 The Fair Value of a Longer Dated Call Option 46
3.7 Introducing More Realistic Distributional Assumptions 47
3.8 Introducing Interest Rate and Dividend Considerations 49
3.9 Stock Exposure of Call Options and the Delta 50
3.10 The Delta as a Slope 53
3.11 The Delta Profile 54
3.12 Summary 55
vi Buying and Selling Volatility
4 The Simple Long Volatility Trade 56
4.1 Outperforming Stock Portfolios with Call Options 56
4.2 The Long Volatility Delta Neutral Trade 59
4.3 The Effects of Time Decay—Theta 68
4.4 An Alternative View on Option Fair Value 72
4.5 Volatility and Vega 75
4.6 Implied Volatility 78
4.7 The Importance of Curvature and Gamma 79
4.8 Time Decay Effects on Delta and Gamma 83
4.9 Delta Contours 86
4.10 Three Simulations 88
4.11 Vega Effects on Delta and Gamma 91
4.12 Worst Case Scenarios 93
4.13 Best Case Scenarios 95
5 The Short Volatility Trade 97
5.1 The Short Call Option 97
5.2 Sensitivities of the Short Call Option Position 100
5.3 The Simple Short Volatility Trade 103
5.4 Time Decay and Vega Effects 108
5.5 Best Case Scenario 108
5.6 The Worst Case Scenario 111
5.7 Long Volatility versus Short Volatility and More
Simulations 112
6 Using Put Options in Volatility Trades 117
6.1 The Put Option 117
6.2 Put Price Sensitivities prior to Expiry 120
6.3 Time and Vega Effects on Put Options 123
6.4 The Long Volatility Trade with Put Options 123
6.5 The Equivalence of Put and Call Options 127
6.6 The Short Volatility Trade Using Put Options 136
6.7 Net Option Positions 137
6.8 Summary of Profiles 144
7 Managing Combinations of Options 145
7.1 Combination^: the Vertical Call Spread 146
7.2 Combination #2: the Time Spread 152
7.3 Combination #3: Near dated Two by One Ratio Put
Spread with Far dated Call 154
7.4 The Additivity of Sensitivities 156
7.5 Monitoring the Risk of a Complex Options Portfolio 158
7.6 Adjusting the Risk Profile of an Option Portfolio 162
Contents vii
7.7 Approximate Direction Risk Assessment 169
7.8 Approximate Volatility Risk Assessment 171
7.9 Volatility Trades and Market Manipulation 172
7.10 Synthetic Options from Dynamic Trading of Stock 177
8 More Complex Aspects of Volatility Trading 182
8.1 Trading Mispriced Options 183
8.2 Trading Permanently Mispriced Options—Empirical
Deltas 184
8.3 Different Volatilities for Different Strike Prices 186
8.4 Different Volatilities across Time 189
8.5 Floating Volatilities 190
8.6 The Effects of Transaction Costs 192
8.7 Arbitrages between Different Options Markets 193
8.8 Concluding Remarks 196
Appendix: The Software 197
Index 215
|
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV012075415 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:21:14Z |
| institution | BVB |
| isbn | 0471968846 |
| language | Undetermined |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008174785 |
| oclc_num | 634309592 |
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| owner_facet | DE-Aug4 |
| physical | XII, 218 S. graph. Darst. 1 Diskette (9 cm) |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley frontiers in finance |
| spelling | Connolly, Kevin B. Verfasser aut Buying and selling volatility Kevin B. Connolly Chichester [u.a.] Wiley 1997 XII, 218 S. graph. Darst. 1 Diskette (9 cm) txt rdacontent n rdamedia nc rdacarrier Wiley frontiers in finance HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008174785&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Connolly, Kevin B. Buying and selling volatility |
| title | Buying and selling volatility |
| title_auth | Buying and selling volatility |
| title_exact_search | Buying and selling volatility |
| title_full | Buying and selling volatility Kevin B. Connolly |
| title_fullStr | Buying and selling volatility Kevin B. Connolly |
| title_full_unstemmed | Buying and selling volatility Kevin B. Connolly |
| title_short | Buying and selling volatility |
| title_sort | buying and selling volatility |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008174785&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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