Add training workflow, datasets, and runbook

training_data/curated/text/7d507b8701e8320ae796141caa152379017059b71236d0e43d8741666a49ce82.txt

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+Cl,apter 34: Futures and Futures Options 669 
+Now let us consider an option example. In this type of calculation, the exchange 
+uses the same moves by the underlying futures contract and calculates the option 
+theoretical values as they would exist on the next trading day. One calculation is per­
+formed for volatility increasing and one for volatility decreasing. 
+Example: Using the same S&P 500 futures contract, the following array might depict 
+the risk array for a long December 410 call. One does not need to know the option 
+or futures price in order to use the array; the exchange incorporates that information 
+into the model used to generate the potential gains and losses. 
+Scenario 
+Futures unchanged; volatility up 
+Futures unchanged; volatility down 
+Futures up one-third of range; volatility up 
+Futures up one-third of range; volatility down 
+Futures down one-third of range; volatility up 
+Futures down one-third of range; volatility down 
+Futures up two-thirds of range; volatility up 
+Futures up two-thirds of range; volatility down 
+Futures down two-thirds of range; volatility ur 
+Futures down two-thirds of range; volatility /o:n 
+Futures up three-thirds of range; volatility up 
+Futures up three-thirds of range; volatility down 
+Futures down three-thirds of range; volatility up 
+Futures down three-thirds of range; volatility down 
+Futures up "extreme" move 
+Futures down "extreme" move 
+Long 1 
+Dec 410 call 
+Potential 
+Ph/Loss 
++ 460 
+610 
++ 2,640 
++ 1,730 
+- 1,270 
+- 2,340 
++ 5,210 
++ 4,540 
+- 2,540 
+- 3,430 
++ 8,060 
++ 7,640 
+- 3,380 
+- 3,990 
++ 3,130 
+- 1,500 
+The items in the risk array are all quite logical: Upward futures movements pro­
+duce profits and downward futures movements produce losses in the long call posi­
+tion. Moreover, worse results are always obtained by using the lower volatility as 
+opposed to the higher one. In this particular example, the SPAN requirement would 
+be $3,990 ("futures down three-thirds; volatility down"). That is, the SPAN system 
+predicts that you could lose $3,990 of your call value if futures fell by their entire 
+range and volatility decreased - a worst-case scenario. Therefore, that is the amount 
+of margin one is required to keep for this long option position.