Options as a strategic investment:
Gespeichert in:
1. Verfasser: | |
---|---|
Format: | Buch |
Sprache: | English |
Veröffentlicht: |
New York [u.a.]
New York Inst. of Finance
c2002
|
Ausgabe: | 4. ed., [repr.] |
Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis |
Beschreibung: | xxi, 1001 p. ill. : 24 cm |
ISBN: | 9780735201972 0735201978 |
Internformat
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020 | |a 0735201978 |9 0-7352-0197-8 | ||
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035 | |a (DE-599)BVBBV014512485 | ||
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100 | 1 | |a McMillan, Lawrence G. |e Verfasser |4 aut | |
245 | 1 | 0 | |a Options as a strategic investment |c Lawrence G. McMillan |
250 | |a 4. ed., [repr.] | ||
264 | 1 | |a New York [u.a.] |b New York Inst. of Finance |c c2002 | |
300 | |a xxi, 1001 p. |b ill. : 24 cm | ||
336 | |b txt |2 rdacontent | ||
337 | |b n |2 rdamedia | ||
338 | |b nc |2 rdacarrier | ||
650 | 4 | |a Options (Finance) | |
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Datensatz im Suchindex
_version_ | 1804129316317954048 |
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adam_text | Contents
Preface
..........................................................
χυ
Parti
BASIC
PROPERTIES OF
STOCK OPTIONS
Chapter I
Definitions
.................................................
З
Elementary Definitions
..............................................
З
Factors Influencing the Price of an Option
...............................9
Exercise and Assignment: The Mechanics
...............................15
The Option Markets
................................................22
Option Symbology
.................................................23
Details of Option Trading
...........................................27
Order Entry
......................................................32
Profits and Profit Graphs
...........................................34
Partii
CALL OPTION STRATEGIES
Chapter
2
Covered Call Writing
........................................39
The Importance of Covered Call Writing
...............................39
Covered Writing Philosophy
.........................................42
The Total Return Concept of Covered Writing
...........................45
Computing Return on Investment
.....................................47
Execution
of the Covered Write Order
.................................56
Selecting a Covered Writing Position
...................................58
Writing against Stock Already Owned
..................................62
Diversifying Return and Protection in a Covered Write
....................66
Follow-Up Action
..................................................70
Special Writing Situations
...........................................87
Covered Call Writing Summary
......................................93
Chapter
3
Call Buying
................................................95
Why Buy?
.......................................................95
Risk and Reward for the Call Buyer
...................................97
Which Option to Buy?
.............................................101
Advanced Selection Criteria
........................................103
Follow-Up Action
.................................................107
A Further Comment on Spreads
.....................................117
Chapter
4
Other Call Buying Strategies
................................118
The Protected Short Sale (or Synthetic Put)
............................118
Follow-Up Action
.................................................122
The Reverse Hedge (Simulated Straddle)
...............................123
Follow-Up Action
.................................................226
Altering the Ratio of Long Calls to Short Stock
..........................128
Summary
.......................................................131
Chapter
5
Naked Call Writing
........................................132
The Uncovered (Naked) Call Option
..................................7.33
Investment Required
..............................................135
The Philosophy of Selling Naked Options
..............................137
Risk and Reward
.................................................138
Summary
.......................................................144
Chapter
6
Ratio Call Writing
.........................................146
The Ratio Write
..................................................146
Investment Required
..............................................150
Selection Criteria
.................................................151
The Variable Ratio Write
...........................................155
Follow-Up Action
.................................................158
An Introduction to Call Spread Strategies
..............................168
Chapter
7
Bull Spreads
..............................................172
Degrees of Aggressiveness
..........................................175
Ranking Bull Spreads
.............................................176
Follow-Up Action
.................................................179
Other Uses of Bull Spreads
.........................................180
Summary
.......................................................185
Chapter
8
Bear Spreads Using Call Options
............................186
The Bear Spread
.................................................186
Selecting a Bear Spread
............................................189
Follow-Up Action
.................................................790
Summary
.......................................................190
Chapter
9
Calendar Spreads
..........................................191
The Neutral Calendar Spread
.......................................192
Follow-Up Action
.................................................194
The Bullish Calendar Spread
........................................196
Follow-Up Action
.................................................197
Using All Three Expiration Series
....................................198
Summary
.......................................................199
Chapter
10
The Butterfly Spread
.......................................200
Selecting the Spread
..............................................203
Follow-Up Action
.................................................206
Summary
.......................................................209
Chapter
11
Ratio Call Spreads
.........................................210
Differing Philosophies
.............................................213
Follow-Up Action
.................................................217
Summary
.......................................................221
Chapter
12
Combining Calendar and Ratio Spreads
......................222
Ratio Calendar Spread
............................................222
Choosing the Spread
..............................................225
Follow-Up Action
.................................................226
Delta-Neutral Calendar Spreads
.....................................227
Follow-Up Action
.................................................229
Chapter
13
Reverse Spreads
...........................................230
Reverse Calendar Spread
...........................................230
Reverse Ratio Spread (Backspread)
...................................232
Chapter
14
Diagonalizing a Spread
.....................................236
The Diagonal Bull Spread
..........................................236
Owning a Call for Free
...........................................239
Diagonal Backspreads
.............................................240
Call Option Summary
.............................................242
Part III
PUT OPTION STRATEGIES
Chapter
15
Put Option Basics
..........................................245
Put Strategies
....................................................245
Pricing Put Options
...............................................247
The Effect of Dividends on Put Option Premiums
........................248
Exercise and Assignment
...........................................250
Conversion
......................................................253
Chapter
16
Put Option Buying
.........................................256
Put Buying versus Short Sale
........................................256
Sehcting Which Put to Buy
.........................................258
Ranking
Prospective Put
Purchases
...................................261
Follow-Up Action
.................................................262
Loss-Limiting Actions
.............................................267
Equivalent Positions
...............................................270
Chapter
17
Put Buying in Conjunction with Common Stock Ownership
.....271
Which Put to Buy
................................................273
Tax Considerations
...............................................275
Put Buying As Protection for the Covered Call Writer
....................275
No-Cost Collars
..................................................278
Chapter
18
Buying Puts in Conjunction with Call Purchases
...............281
Straddle Buying
..................................................282
Selecting a Straddle Buy
...........................................285
Follow-Up Action
.................................................285
Buying a Strangle
................................................288
Chapter
19
The Sale of a Put
..........................................292
The Uncovered Put Sale
............................................292
Follow-Up Action
.................................................295
Evaluating a Naked Put Write
.......................................296
Buying Stock below Its Market Price
..................................299
The Covered Put Sale
.............................................300
Ratio Put Writing
.................................................300
Chapter
20
The Sale of a Straddle
......................................302
The Covered Straddle Write
........................................302
The Uncovered Straddle Write
......................................305
Selecting a Straddle Write
..........................................307
Follow-Up Action
.................................................308
Equivalent Stock Position Follow-Up
..................................312
Starting Out with the Protection in Place
..............................313
Strangle (Combination) Writing
.....................................315
Further Comments on Uncovered Straddle and Strangle Writing
............318
Chapter
21
Synthetic Stock Positions Created by Puts and Calls
............321
Synthetic Long Stock
..............................................321
Synthetic Short Sale
...............................................323
Splitting the Strikes
...............................................325
Summary
.......................................................328
Chapter
22
Basic Put Spreads
..........................................329
Bear Spread
.....................................................329
Bull Spread
.....................................................332
Calendar Spread
.................................................333
Chapter
23
Spreads Combining Calls and Puts
...........................336
The Butterfly Spread
..............................................336
Cotiibining an Option Purchase and a Spread
...........................339
A Simple
Follow-üp
Action for Bull or Bear Spreads
.....................342
Three Useful but Complex Strategies
..................................345
Selecting the Spreads
..............................................353
Summary
.......................................................356
Chapter
24
Ratio Spreads Using Puts
...................................358
The Ratio Put Spread
..............................................358
Using Deltas
.....................................................361
The Ratio Put Calendar Spread
......................................361
A Logical Extension (The Ratio Calendar Combination)
...................364
Put Option Summary
..............................................366
Chapter
25
LEAPS
...................................................367
The Basics
......................................................368
Pricing LEAPS
...................................................369
Comparing LEAPS and Short-Term Options
............................374
LEAPS Strategies
.................................................375
Speculative Option Buying with LEAPS
...............................382
Selling LEAPS
...................................................390
Spreads
Using LEAPS
.............................................403
Summary
.......................................................409
Part IV
ADDITIONAL CONSIDERATIONS
Chapter
26
Buying Options and Treasury Bills
...........................413
How the Treasury Bill/Option Strategy Operates
........................413
Summary
.......................................................421
Chapter
27
Arbitrage
.................................................422
Basic Put and Call Arbitrage ( Discounting )
...........................423
Dividend Arbitrage
...............................................425
Conversions and Reversals
..........................................428
More on Carrying Costs
...........................................430
Back to Conversions and
Reversah...................................431
Risks in Conversions and Reversals
...................................433
Summary of Conversion Arbitrage
...................................437
The Interest Play .
...............................................438
The Box Spread
..................................................439
Variations on Equivalence Arbitrage
..................................443
The Effects of Arbitrage
............................................444
Risk Arbitrage Using Options
.......................................445
Pairs Trading
....................................................454
Facilitation (Block Positioning)
......................................455
Chapter
28
Mathematical Applications
..................................456
The Black-Scholes Model
...........................................456
Expected Return
.................................................466
Applying the Calculations to Strategy Decisions
.........................472
Facilitation or Institutional Block Positioning
...........................482
Aiding in Folhw-Up Action
.........................................485
Implementation
..................................................488
Summary
.......................................................489
Part V
INDEX OPTIONS AND FUTURES
Chapter
29
Introduction to Index Option Products and Futures
.............493
Indices
.........................................................493
Cash-Based Options
..............................................500
Futures
........................................................506
Options on Index Futures
..........................................512
Standard Options Strategies Using Index Options
........................516
Put-Call Ratio
...................................................520
Summary
.......................................................523
Chapter
30
Stock Index Hedging Strategies
..............................531
Market Baskets
..................................................531
Program Trading
.................................................537
Index Arbitrage
..................................................547
Follow-Up Strategies
..............................................557
Market Basket Risk
...............................................560
Impact on the Stock Market
.........................................561
Simulating an Index
...............................................566
Trading the Tracking Error
.........................................574
Summary
.......................................................577
Chapter
31
Index Spreading
...........................................579
Inter-Index Spreading
.............................................579
Summary
.......................................................588
Chapter
32
Structured Products
........................................589
Part I: Riskless Ownership of a Stock or Index
........................590
The Structure of a Structured Product
...............................590
Cash Value
......................................................593
The Cost of the Imbedded Call Option
................................594
Price Behavior Prior to Maturity
.....................................595
SIS
............................................................596
Computing
the Value of the Imbedded Call When the Underlying
Is Trading at a Discount
.........................................602
The Adjustment Factor
............................................602
Other Constructs
.................................................607
Option Strategies Involving Structured Products
........................613
Lists of Structured Products
........................................618
Part II: Products Designed to Provide Income
.........................618
PERCS
.........................................................618
Call Feature
.....................................................620
A PERCS Is a Covered Call Write
....................................622
Price Behavior
...................................................623
PERCS Strategies
................................................625
PERCS Summary
................................................636
Other Structured Products
.........................................637
Structured Product Summary
.......................................640
Chapter
33
Mathematical Considerations for Index Products
...............641
Arbitrage
.......................................................641
Mathematical Applications
.........................................644
Chapter
34
Futures and Futures Options
................................652
Futures Contracts
................................................653
Options on Futures
...............................................660
Futures Option Trading Strategies
....................................674
Commonplace Mispricing Strategies
..................................683
Summary
.......................................................695
Chapter
35
Futures Option Strategies for Futures Spreads
.................696
Futures Spreads
..................................................696
Using Futures Options in Futures Spreads
.............................704
Summary
.......................................................720
Part VI
MEASURING AND TRADING VOLATILITY
Chapter
36
The Basics of Volatility Trading
..............................727
Definitions of Volatility
............................................728
Another Approach: GARCH
........................................731
Moving Averages
.................................................732
Implied Volatility
.................................................732
The Volatility of Volatility
..........................................734
Volatility Trading
.................................................743
Why Does Volatility Reach Extremes?
.................................744
Summary
.......................................................748
Chapter
37
How Volatility Affects Popular Strategies
.....................749
Vega...........................................................749
Implied Volatility and Delta
........................................753
Effects on Neutrality
..............................................755
Position
Vega....................................................757
Outright Option Purchases and Sales
.................................757
Time Value Premium is a Misnomer
..................................762
Volatility and the Put Option
........................................765
Straddle or Strangle Buying and Selling
...............................766
Call Bull Spreads
.................................................767
Vertical Put Spreads
..............................................775
Put Bear Spreads
.................................................777
Calendar Spreads
................................................778
Ratio Spreads and Backspreads
......................................780
Summary
.......................................................782
Chapter
38
The Distribution of Stock Prices
.............................783
Misconceptions about Volatility
......................................783
Volatility Buyer s Rule!
............................................787
The Distribution of Stock Prices
.....................................789
What This Means for Option Traders
.................................795
Stock Price Distribution Summary
...................................796
The Pricing of Options
.............................................798
The Probability of Stock Price Movement
..............................798
Expected Return
.................................................809
Summary
.......................................................810
Chapter
39
Volatility Trading Techniques
...............................812
Two Ways Volatility Predictions Can Be Wrong
.........................813
Trading the Volatility Prediction
.....................................814
Trading the Volatility Skew
.........................................837
Volatility Trading Summary
.........................................844
Chapter
40
Advanced Concepts
........................................846
Neutrality
......................................................846
The Greeks
....................................................848
Strategy Considerations: Using the Greeks
............................866
Advanced Mathematical Concepts
....................................901
Summary
.......................................................907
Chapter
41
Taxes
.....................................................908
History
.........................................................908
Basic Tax Treatment
...............................................910
Exercise and Assignment
...........................................913
Special Tax Problems
..............................................922
Summary
.......................................................925
Tax Planning Strategies for Equity Options
.............................925
Summary
.......................................................930
Chapter
42
The Best Strategy?
.........................................932
General Concepts: Market Attitude and Equivalent Positions
...............932
What Is Best for Me Might Not Be Best for You
.........................934
Mathematical Ranking
.............................................936
Summary
.......................................................937
Postscript
.................................................938
Part
VII
APPENDICES
Appendix A
Strategy Summary
.........................................943
Appendix
В
Equivalent Positions
.......................................945
Appendix
С
Formulae
.................................................947
Appendix
D
Graphs
...................................................957
Appendix
E
Qualified Covered Calls
....................................961
Glossary
........................................................963
Index
..........................................................983
|
any_adam_object | 1 |
author | McMillan, Lawrence G. |
author_facet | McMillan, Lawrence G. |
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author_sort | McMillan, Lawrence G. |
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building | Verbundindex |
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callnumber-first | H - Social Science |
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dewey-full | 332.63/228 |
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dewey-ones | 332 - Financial economics |
dewey-raw | 332.63/228 |
dewey-search | 332.63/228 |
dewey-sort | 3332.63 3228 |
dewey-tens | 330 - Economics |
discipline | Wirtschaftswissenschaften |
edition | 4. ed., [repr.] |
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id | DE-604.BV014512485 |
illustrated | Illustrated |
indexdate | 2024-07-09T19:03:12Z |
institution | BVB |
isbn | 9780735201972 0735201978 |
language | English |
lccn | 00053319 |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009886088 |
oclc_num | 45283169 |
open_access_boolean | |
owner | DE-355 DE-BY-UBR |
owner_facet | DE-355 DE-BY-UBR |
physical | xxi, 1001 p. ill. : 24 cm |
publishDate | 2002 |
publishDateSearch | 2002 |
publishDateSort | 2002 |
publisher | New York Inst. of Finance |
record_format | marc |
spelling | McMillan, Lawrence G. Verfasser aut Options as a strategic investment Lawrence G. McMillan 4. ed., [repr.] New York [u.a.] New York Inst. of Finance c2002 xxi, 1001 p. ill. : 24 cm txt rdacontent n rdamedia nc rdacarrier Options (Finance) Investition (DE-588)4027556-5 gnd rswk-swf Börse (DE-588)4007502-3 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Option (DE-588)4115452-6 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 s Option (DE-588)4115452-6 s DE-604 Börse (DE-588)4007502-3 s 1\p DE-604 Investition (DE-588)4027556-5 s 2\p DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009886088&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
spellingShingle | McMillan, Lawrence G. Options as a strategic investment Options (Finance) Investition (DE-588)4027556-5 gnd Börse (DE-588)4007502-3 gnd Optionsgeschäft (DE-588)4043670-6 gnd Option (DE-588)4115452-6 gnd |
subject_GND | (DE-588)4027556-5 (DE-588)4007502-3 (DE-588)4043670-6 (DE-588)4115452-6 |
title | Options as a strategic investment |
title_auth | Options as a strategic investment |
title_exact_search | Options as a strategic investment |
title_full | Options as a strategic investment Lawrence G. McMillan |
title_fullStr | Options as a strategic investment Lawrence G. McMillan |
title_full_unstemmed | Options as a strategic investment Lawrence G. McMillan |
title_short | Options as a strategic investment |
title_sort | options as a strategic investment |
topic | Options (Finance) Investition (DE-588)4027556-5 gnd Börse (DE-588)4007502-3 gnd Optionsgeschäft (DE-588)4043670-6 gnd Option (DE-588)4115452-6 gnd |
topic_facet | Options (Finance) Investition Börse Optionsgeschäft Option |
url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009886088&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
work_keys_str_mv | AT mcmillanlawrenceg optionsasastrategicinvestment |