948 
Annualized Risk (Ch. 26) 
Annualized risk = L INV 360 
i 
1
Hi 
where INVi = percent of total assets invested in options 
with holding periods, Hi 
length of holding period in days 
Bear Spread 
-Calls (Ch. 8) 
-Puts (Ch. 22) 
p = Cl - C2 
R = s2 - s1 - P 
B = s1 + P 
R = P2 - Pl 
p = S2 - S1 - R 
B = s1 + P = s2 + Pl - P2 
Black Model (Ch. 34): 
X 
s 
C 
p 
r 
Theoretical futures call price= e-rt x BSM[r = 0%] 
where BSM[r = O) is the Black-Scholes Model 
using r = 0% as the short-term interest rate 
Put price = Call price - e-rt x (f - s) 
where f = futures price 
current stock price 
striking price 
call price 
put price 
interest rate 
time (in years) 
B 
u 
D 
p 
R 
break-even point 
upside break-even point 
downside break-even point 
maximum profit potential 
maximum risk potential 
f futures price 
Appendix C 
Subscripts indicate multiple items. For example s1, s2, s3 would designate three striking prices in a formula. 
The formulae are arranged alphabetically by title or by strategy.