McMillan on options:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY [u.a.]
Wiley
1996
|
| Schriftenreihe: | Wiley finance editions
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 570 S. graph. Darst. |
| ISBN: | 0471119601 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804138501020581888 |
|---|---|
| adam_text | Contents
List of Figures, xv
1 Option History, Definitions, and Terms 1
Underlying Instruments 1
Option Terms 3
The Cost of an Option 4
The History of Listed Options 6
The Ouer-the-Counter Market 6
The CBOE Beginning 7
Index Options 9
Futures Options 10
Today s Over-the-Counter Market 10
Option Trading Procedures 11
Exercise and Assignment 14
Mechanics of Exercise and Assignment 17
Futures and Futures Options 23
First Notice Day 23
Futures Options Terms 25
Influences on an Option s Price 29
Volatility 30
How the Factors Affect the Option Price 33
Delta 34
What Affects Delta? 36
Technical Analysis 39
2 An Overview of Option Strategies 43
Profit Graphs 43
Outright Option Buying 45
Using Long Options to Protect Stock 50
Buying Puts as an Insurance Policy for Long Stock 50
Buying Calls to Protect Short Stock 53
x CONTENTS
Buying Both a Put and a Call 55
Selling Options 57
Covered Call Writing 58
Naked Option Writing 60
Naked Put Writing 62
Naked Call Writing 67
Straddle and Combination Selling 71
Spreads 75
Vertical Spreads 75
Calendar Spreads 83
Diagonal Spreads 86
When Spreads Are Attractive 88
Ratio Strategies 89
Ratio Writing 89
Ratio Spreads 90
More Complex Constructions 97
Using an Option Model 100
Summary 101
3 The Versatile Option 103
Options as a Direct Substitue for the Underlying 103
Equivalent Short Stock 106
Defending Against a Limit Move in Futures
Contracts 109
Options as a Proxy for the Underlying 113
Option Buying as a Short-Term Stock Substitute 113
Option Buying as a hong-Term Stock Substitute 114
Using LEAPS Puts Instead of Calls 115
The Effect of Stock Index Futures on the Stock Market 116
The Effect of Index Futures and Index Option Expiration on
the Stock Market 126
Games People Play 129
Open Interest Implications 131
A Hedged Strategy 134
Speculation Early in Expiration Week 139
Trading with the Arbs 144
The Postexpiration Effect of Futures on
the Stock Market: A Trading System 146
Options as an Insurance Policy 152
The Collar 162
CONTENTS xi
Hedging with Over-the-Counter Options 164
Summary 166
4 The Predictive Power of Options 167
Using Stock Option Volume as an Indicator 167
How Much Is Too Much? 168
The Analysis 170
Analysis in Real Time 180
Examples 182
Profitability 203
Further Considerations 205
Using Stops 208
When Option Volume Is Not a Good Predictor 215
Using Option Prices as an Indicator 216
Expensive Stock Options May Predict
Corporate News 218
Analyzing Implied Volatility for Speculative Trades 221
Implied Volatility Can Predict Trading Gaps 227
Implied Volatility Can Predict a Change of Trend 232
Covered Call Writing When Volatility Increases 234
Implied Volatility of Index Options 238
The Put-Call Ratio 243
The Data 245
Interpreting the Ratios 247
Sector Index Options Put-Call Ratios 256
Futures Options Put-Call Ratios 259
Futures Options Volume 286
On Moving Averages 287
Summary 295
5 Trading Systems and Strategies 297
Incorporating Futures Fair Value into Your Trading 297
Day-Trading Vehicles 299
The TICKI Day-Trading System 301
The Intraday Market-Reversal Corollary 309
A Short-Term Trading System 312
Monitoring the Oscillator Intraday 316
Problems with the Advance-Decline Line 319
Intermarket Spreads 320
European Options 323
xii CONTENTS
The HUG/HOG Spread 331
The January Effect 339
Spreading the Premium on Value Line and S P 500
Futures 344
Gold Stocks Versus the Price of Gold 349
Oil Stocks Versus the Price of Oil 355
Utility Stocks and 30-Year T-Bonds 358
Similar-Sector Index Versus Futures Intermarket
Spreads 361
Utilities Versus the Broad Market 361
The TED Spread 366
Other Seasonal Tendencies 368
August: The Dull Month—Or Is It? 369
September-October: A Very Tradeable Time Period
for the Stock Market 373
Late-October Buy Point 376
Conclusion 378
6 Trading Volatility and Other Theoretical Approaches 379
Volatility 380
Delta Neutral Trading 383
Keeping a Position Neutral 387
Other Forms of Neutrality 390
Predicting Volatility 393
Comparing Historical and Implied Volatility 395
Trading Implied Volatility 398
Selling Volatility 399
Buying Volatility 408
The Greeks 419
The Model 420
Delta 422
Vega 428
Theta 429
Rho 429
Gamma, Revisited 431
Gamma and Delta Neutral 434
Even More Advanced Constructions 450
Summary 452
Trading the Volatility Skew 453
Price Distributions 457
Trading the Positive Skew 462
CONTENTS xiii
Trading the Negative Skew 467
Put Ratio Spread 484
A Volatility Skew Biases a Position 487
Finding Where Volatility Skewing Exists 489
The Aggressive Calendar Spread 492
Summary 495
7 Other Important Considerations 497
Support Activities 497
Order Entry 497
Brokers and Brokerage 500
Data Vendors 504
Software 508
Trading Methodology and Philosophy 511
Managing Your Money 511
Speculative Trading Procedures 520
Actual Trading Examples 523
Option Trading Philosophy 535
The Biggest Mistake 541
Summary 542
Appendix A: Listed Sector and Index Options 543
Appendix B: Futures Options Terms and Expirations 545
Appendix C: Option Models 547
Index 553
List of Figures
1.1 Exercise and Assignment of Stock or Futures Options 18
1.2 Exercise and Assignment of Cash-Based Index Options 21
2.1 Call Purchase 44
2.2 Put Purchase 46
2.3 Long Stock, Long Put 51
2.4 Long Call, Short Stock 54
2.5 Straddle Purchase 56
2.6 Combination (Strangle) Purchase 57
2.7 Covered Call Write 59
2.8 Naked Put Write 63
2.9 Naked Call Write 69
2.10 Short Combination 72
2.11 Short Straddle 72
2.12 Bull Spread 76
2.13 Bull Spread Comparison 77
2.14 Bear Spread 79
2.15 Calendar Spread 85
2.16 Ratio Call Write 90
2.17 Call Ratio Spread 91
2.18 Put Ratio Spread 93
2.19 Call Backspread 94
2.20 Put Backspread 97
2.21 Butterfly Spread 98
3.1 The Collar as Insurance 153
4.1 Southern Pacific Railroad 182
4.2 American Cyanamid 184
4.3 Gerber—Option Volatility 186
4.4 Chipcom 188
4.5 U.S. Shoe 190
4.6 U.S. Shoe—Option Volume 192
4.7 Motorola 193
4.8 Sybase 197
xvi LIST OF FIGURES
4.9 Syntex 199
4.10 Bethlehem Steel 211
4.11 ADM, 12/27/95 212
4.12 Grupo Tribasa 213
4.13 U.S. Surgical, 7/20/95 214
4.14 Gerber—Implied Volatility 219
4.15 Gensia Pharmaceuticals 230
4.16 IBM, 8/92-10/94 235
4.17 Telefonos de Mexico (Telmex) 237
4.18 Volatility Index—VIX 239
4.19 OEX 241
4.20 Put-Call Ratio 244
4.21 55-Day Index Put-Call Ratio 248
4.22 OEX During 1987 249
4.23 55-Day Equity Put-Call Ratio 250
4.24 21-Day Equity-Only Put-Call Ratio 254
4.25 21-Day Index Put-Call Ratio 255
4.26 OEX, 1994-1995 256
4.27 21-Day Japan Index Put-Call Ratio 258
4.28 Japan Index 259
4.29 21-Day Put-Call Ratio 260
4.30 NASDAQ 261
4.31 21-Day Gold Put-Call Ratio 262
4.32 Continuous Gold Futures 263
4.33 Continuous Live Cattle Futures 264
4.34 21-Day Live-Cattle Put-Call Ratio 265
4.35 Continuous T-Bond Futures 266
4.36 21-Day T-Bond Put-Call Ratio 267
4.37 21-Day S P Put-Call Ratio 268
4.38 Continuous Sugar Futures 269
4.39 21-Day Sugar Put-Call Ratio 269
4.40 Continuous Coffee Futures 270
4.41 21-Day Coffee Put-Call Ratio 271
4.42 Continuous Cotton Futures 272
4.43 21-Day Cotton Put-Call Ratio 273
4.44 Continuous Live Hog Futures 274
4.45 21-Day Live Hog Put-Call Ratio 275
4.46 Continuous Natural Gas Futures 276
4.47 21-Day Natural Gas Put-Call Ratio 277
4.48 21-Day Deutsche Mark Put-Call Ratio 278
4.49 Continuous Deutsche Mark Futures 278
LIST OF FIGURES xvii
4.50 Continuous Japanese Yen Futures 279
4.51 21-Day Japanese Yen Put-Call Ratio 279
4.52 Continuous British Pound Futures 280
4.53 21-Day British Pound Put-Call Ratio 281
4.54 Continuous Swiss Franc Futures 282
4.55 21-Day Swiss Franc Put-Call Ratio 283
4.56 Continuous Silver Futures 284
4.57 21-Day Silver Put-Call Ratio 284
4.58 Continuous Eurodollar Futures 285
4.59 21-Day Eurodollar Put-Call Ratio 285
5.1 HOG/HUG 1996 Contracts 332
5.2 HOG/HUG 1995 Contracts 333
5.3 HOG/HUG 1994 Contracts 333
5.4 HOG/HUG 1993 Contracts 334
5.5 HOG/HUG 1992 Contracts 334
5.6 HOG 338
5.7 Value Line Futures Premium Minus
S P Futures Premium 347
5.8 XAU Divided by Dec Gold Futures 351
5.9 Divided by Dec Crude Oil Futures: 1992-1995 356
5.10 Divided by Dec Crude Oil Futures: Detail of 1993 357
5.11 Divided by 2 x Dec T-Bond Futures: 1990-1995 359
5.12 Divided by 2 x Dec T-Bond Futures: 7/94-8/95 359
5.13 PHLX Utility Index 363
5.14 Divided by : 1988-1995 363
5.15 Divided by : 5/94-12/94 365
5.16 TED Spread 367
6.1 Naked Straddle Sale Versus Naked Combination 400
6.2 Combination Sale 401
6.3 Ratio Call Spread 402
6.4 Straddle Buy 409
6.5 Retail Index (RLX) 413
6.6 Call Backspread 415
6.7 Call Calendar Spread 417
6.8 Comparison of Delta and Time Remaining 423
6.9 Delta of At-the-Money Option as Time Passes 425
6.10 Comparison of Delta and Volatility 426
6.11 Two-Year LEAPS Call Pricing Curve 430
6.12 Gamma Versus Time 432
6.13 Position Delta of Ratio Spread 436
6.14 Profit of Ratio Spread 438
xviii LIST OF FIGURES
6.15 Profit and Loss of Ratio Spread If Volatility Changes 439
6.16 Wings Profit and Loss 444
6.17 Profit and Loss of Double Ratio Spread 447
6.18 Calendar 449
6.19 Bell Curve or Normal Distribution 458
6.20 Lognormal Distribution 459
6.21 Forward Skew 460
6.22 Reverse Skew 461
6.23 Call Ratio Spread 462
6.24 Put Backspread 463
6.25 Put Ratio Spread 467
6.26 Call Backspread 468
6.27 OEX Backspread—Stage 1 470
6.28 OEX Backspread—Stage 2 472
6.29 OEX Backspread—Stage 3 476
6.30 OEX Backspread—Stage 4 478
6.31 AMI Short-Term Calendar Spread 494
7.1 Order Flow 498
C.I Binomial Model Lattice 549
|
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| spelling | McMillan, Lawrence G. Verfasser aut McMillan on options Lawrence G. McMillan New York, NY [u.a.] Wiley 1996 XVIII, 570 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance editions Optiehandel gtt Options (Finances) Options (Finance) Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017038620&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | McMillan, Lawrence G. McMillan on options Optiehandel gtt Options (Finances) Options (Finance) Optionsgeschäft (DE-588)4043670-6 gnd |
| subject_GND | (DE-588)4043670-6 |
| title | McMillan on options |
| title_auth | McMillan on options |
| title_exact_search | McMillan on options |
| title_full | McMillan on options Lawrence G. McMillan |
| title_fullStr | McMillan on options Lawrence G. McMillan |
| title_full_unstemmed | McMillan on options Lawrence G. McMillan |
| title_short | McMillan on options |
| title_sort | mcmillan on options |
| topic | Optiehandel gtt Options (Finances) Options (Finance) Optionsgeschäft (DE-588)4043670-6 gnd |
| topic_facet | Optiehandel Options (Finances) Options (Finance) Optionsgeschäft |
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