Add training workflow, datasets, and runbook
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Index • 315
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Rolling, 200–201
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Round-tripping, 148–149, 300n1
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(Chapter 7)
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S
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Safeway, 100
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Schiller, Robert, 43
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Scholes, Myron, 8–9
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Secular downturns, 302n2 (Chapter 11)
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Secular shifts, profitability and,
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101–102
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Sell-side structural impediments,
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136–137
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Settlement prices, 146
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Shiller, Robert, 42
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Short calls, 14, 221
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Short diagonal, 238–240
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Short puts, 211–220
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about, 213–214
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BSM cone, 212
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covered calls and, 241–244
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in long diagonals, 235–237
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loss leverage with, 211–212
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portfolio management with, 216–220
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protective puts vs., 248–250
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returns for, 245
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strike price for, 215
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tenor for, 214–215
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Short straddles, 230–232
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Short strangles, 231–232
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Short-call spreads, 220–230
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about, 221–222
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BSM cone, 220
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portfolio management with,
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228–230
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in short diagonals, 238–240
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strike price for, 222–228
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tenor for, 222
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Short-term trading strategies:
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implied volatility in, 63–64
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intelligent investing vs., 267–268
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and market risk, 264–265
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Slovic, Paul, 119
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Smolan, Rick, 114
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Solvency risk, 256, 263
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S&P 500 (see Standard & Poor’s 500
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Index)
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Special-purpose vehicles, 110
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Spreads:
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bid-ask, 147–149
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short-call (see Short-call spreads)
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SPX ETF , 251–252
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Standard & Poor’s 500 Index (S&P
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500):
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correlation of hedge funds and, 134
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distribution of returns, 44–46
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protective puts on, 252–254
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Startup stage, 86
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Statistical volatility, 60
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Stock investing, xiii
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choices in, 20–22
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visual representation of, 10–11
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Stock prices:
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BSM model assumption about, 32,
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34–35, 40–47
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directional predictions of, 68–74
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of dividend-paying stocks, 35–36
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predicting, with BSM model, 32–39
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(See also Forward prices; strike–
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stock price ratio [K/S])
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Stock-split effect, 42
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Stop loss, 229
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Straddles:
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long, 208–209
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short, 230–232
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Straight-line depreciation, 283
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Strangles:
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long, 26–27, 205–207, 209
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short, 231–232
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Strategic capital, 297n1 (Chapter 4)
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Strike prices:
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and BSM cone, 52–54
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defined, 12
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long call, 192–196
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long diagonal, 236–237
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long put, 203
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