Index 
Historical volatility, 461, 728-731 
lognormal, computation of, 461-466 
Holder, 6 
HOLDRS, 639 
"Hooks," 449-450 
Horizontal spread, 169 
IBM (International Business Machines), 567 
Implied volatility, 132, 248, 685, 727, 734-743 (see also 
Volatility trading) 
difference of, measuring, 905-907 
effect of on specific option strategies, 7 49-782 (see 
also Volatility, effects of) 
and delta, 753-754 
in trading techniques, 812-845 (see also Volatility 
trading) 
In-the-money: 
calendar spread, 228 
covered writes, 43-45, 93 
definition, 7, 8 
for put options, 246-247 
Incremental return concept of covered writing, 91-93 
(see also Covered call writing) 
rolling for credit, 92 
Index arbitrage, 547-556 (see also Stock index hedging 
strategies) 
Index calls, hedging with, 545-547 
Index option products and futures, introduction to, 
493-530 
cash-based options, 500-506 
assignment, 501 
commissions, 503 
European versus American exercise, 501-504 
exercise, 501-504 
indices underlying, 500-501 
naked margin, 504-505 
definition, 493 
and equity options, difference between, 493 
futures, 506-512 
cash-based only, 506 
"circuit breakers," 511 
commodities contract, definition, 506 
contract, terms of, 507-508 
hedgers, 506-507 
limits, 511 
"locals," 509 
maintenance margin, 509 
margin, limits, and quotes, 509-510 
"open outcry" method, 508-509 
quotes, 511-512 
speculators, 506-507 
S&P 500 Index, 507-509 
S&P and NYSE expiration, 510-511 
989 
and stock trading, differences between, 508, 512 
traders, types of, 506-507 
LEAPS (Long-term Equity AnticiPation Securities) 
index options, 367-410, 505-506 
options on index futures, 512-516 
caution,516 
customer margin method, 515 
expiration dates, 513 
option margin, 514-515 
premiums, 514 
quotes, 515-516 
SPAN (Standard Portfolio Analysis of Risk), 
514-515 
terms, other, 515 
put-call ratio, 520-530 
figures, 524-530 
interpreting, 522-523 
standard options strategies using index options, 
516-520 
conclusion, 519-520 
early assignment of cash-based options, handling, 
518-519 
option buying, 516-517 
selling index options, 517-518 
volatility skewing, 517 
stock indices, 493-500 
broad-based, 500, 504-505 
capitalization-weighted indices, 494-497 (see also 
Capitalization-weighted indices) 
narrow-based, 500, 505 
price-weighted indices, 500 (see also Price­
weighted indices) 
sector, 500 
summary, 523 
Index options and futures, 138, 491-721 (see also under 
particular heading) 
futures and futures options, 652-695 
futures option strategies for futures spreads, 696-721 
hedging portfolios with, 541-543 
index spreading, 579-588 
introduction, 493-530 
mathematical considerations for index products, 
641-651 
products and futures, introduction to, 493-530 
stock index hedging strategies, 531-578 
structured products, 589-640 
Index puts, hedging with, 543-545 
Index spreading, 579-588 
approaches,two,580-581 
characteristics, 682-583 
inter-index spreading, 579-587 
philosophy, 579 
S&P 100,583 
S&P 500, 583, 584