998 
Striking price: 
as factor influencing price, 9-10 
code, 24-25 
definition, 3, 4 
fractional, 29 
standardization, 5 
Structured products, 589-640 
adjustment factor, 602-604 
cost, measuring, 605-607, 608 
break-even final index value, 604-605 
exotic options, 590 
imbedded call, computing value of when underlying 
is trading at discount, 602 
income, products designed to provide, 618-639 
covered write of call option, resembling, 619 
Creation Units, 638 
Diamonds, 638 
Exchange-Traded Funds (ETFs), 637-639 (see 
also Exchange-Traded Funds) 
HOLDRS, 639 
iShares, 638 
NASDAQ-100 tracking stock (QQQ), 638, 639 
options on ETFs, 639 
PERCS (Preferred Equity Redemption 
Cumulative Stock (PERCS), 619-637 (see also 
PERCS) 
Russell 2000 Value Fund and 2000 Growth Fund, 
638 
more appeal for investors than for traders, 589 
"riskless" ownership of stock or index, 590-618 
annual adjustment factor, 594 
bull spread, 608-612 
cash value, 593-594 
constructs, other, 607-613 
dividends, 594 
equity-linked notes, 618 
financial engineers, role of in structured products, 
590,607 
imbedded call option, cost of, 594-595 
income tax consequences, 592-593 
LEAPS options, 616-617 
list, 618 
multiple expiration dates, 613 
multiplier, 614 
option strategies involving structured products, 
613-618 
Original Issue Discount (OID), 592-593 
phantom interest, 592 
price behavior p1ior to maturity, 595-596 
SIS (Stock Index return Security), 596-601 (see 
also SIS) 
strike price, 592, 615-618 
structure, 590-593 
when underlying index drops, 617 
Index 
summary, 640 
Suitability of strategy for individual investor, 3 
Swiss franc contract for foreign currency options, 672 
Symbology, options, 23-27 (see also Options) 
Synthetic convertible bond, 441 (see also Options and 
Treasury bills) 
Synthetic long call, 271 
Synthetic long stock, 321-323 
Synthetic stock positions created by puts and calls, 321-
328 
splitting strikes, 325-328 
bearishly oriented, 327-328 
bullishly oriented, 325-327 
protective collar, 328 
summary, 328 
synthetic long stock, 321-323 
synthetic short sale, 323-325 
leverage, 324 
"Synthetic" strategies, 118 
put, 118-121 
Tau, 859-862 
Tax considerations, put purchase, 275 
Taxes, 908-931 
assignment, 914-920 
applicable stock price (ASP), 917 
qualified covered call, 917-920, 961-962 
"too-deeply-in-the-money" definition, 916 
equity options, strategies for, 925-930 
deferring put holder's short-term gain, 928 
deferring short-term call gain, three tactics for, 
928 
difficulty of deferring gains from writing, 928-929 
spreads, unequal tax treatment on, 929-930 
exercise, 913-914 
history, 908-909 
"married" put and stock, 924 
"new" stock, delivering to avoid large long-term gain, 
920-921 
"versus purchase" notation 921 
option as capital asset, 908 
problems, special, 922-925 (see also under particular 
problem heading) 
profit strategies and tax strategies, separating, 931 
protecting long-term gain/avoiding long-term loss, 
924-925 
put assignment, 921-922 
put exercise, 921 
short sale rule, 923-925 
summary, 925, 930-931 
tax treatment, basic, 910-913 
call buyer, 910-911 
call writer, 910, 911-912