984 
Assignment of options, 7, 16-22 
anticipating, 18-22 
automatic, 18-19 
call options, 7 
of cash-based options, 501 
commissions, 17-18 
margin requirements, 16-17 
put options, 7 
Backspreads, 232-235 (see also Reverse spreads) 
diagonal, 240-241 
effect on of implied volatility changes, 781-782 
and LEAPS, 407-408 
Bear spreads using call options, 186-190 
call bear spread, 186-188 
as credit spread, 186 
follow-up action, 190 
assignment of short call, impending, 190 
selecting, 189-190 
an aggressive position usually, 189 
summary, 190 
Bear spread, put, 329-332 (see also Put spreads, basic) 
Beta, 533-539 
Black, Fisher, 459 
Black-Scholes model, 456-466, 538, 610, 611, 635, 640, 
644-645,646,647-648,651,677,678, 731,734, 
758, 767-768, 798,902 (see also Mathematical 
applications) 
Black model, 647-648, 651, 677 
characteristics, 459-461 
dividends paid by common stock not included, 459 
formula, 456-457 
hedge ratio, 457 
historical volatility, lognormal, computing, 461-466 
lognormal distribution of stock prices, 460 
vega, 750 
volatility, computation of, 460-466 
weighting factor, 459-460, 463-465 
Block positioning, 455, 482-485 (see also Mathematical 
applications) 
Board broker system, 22 
Box spread, 338, 439-44,3, 643-644 
risks, 443 
"Box" stock, 432 
Broad-based indices, 500 
Brownian motion, 806 
Bull spread, structured product as, 608-612 
valuing, 610-612 
Bull spreads, 110-111, 113-116, 117, 172-185 
aggressiveness, degrees of, 175-176 
call bull spread, 172-173 
effect on of implied volatility changes, 767-775 
follow-up action, 178-180 
credit spread, 179 
"legging" out of spread, 180 
and outright purchase, comparison of, 179 
and LEAPS, 403-404 
ranking, 176-178 
diagonal bull spread, 177 
summary, 185 
uses, other, 180-184 
Index 
break-even price on common stock, lowering, 182, 
183 
simple form of spreading, 180, 185 
as "substitute" for covered writing, 182-184 
vertical, 172 
when options are expensive, 177 
Bull spread, put, 332-333 (see also Put spreads, basic) 
Bullish calendar spread, 196-198 (see also Calendar 
spread) 
Butterfly spread, 200-209, 336-338 (see also Put 
spreads, basic) 
combination of bull and bear spreads, 200, 209 
commissions costly, 200, 203 
example, 201 
follow-up action, 206-209 
assignment, 206 
"legging out," 207 
neutral position, 200 
results of at expiration, 201-203 
selecting, 203-206 
striking prices, three, 200-203 
summary, 209 
Calendar combination of calls and puts, 345-348 
Calendar spread, 116-117, 191-199 
as antivolatility strategy, 194 
bullish, 196-198, 199 
follow-up action, 197-198 
definition, 191 
expiration series, using all three, 198-199 
horizontal spread, 191 
in volatility trading, 825-826 
and LEAPS, 408-409 
mathematical calculations of volatility, applying lo. 
478-480 
neutral, 192-194, 199 
follow-up action, 194-196 
volatility, effect of, 194 
summary, 199 
time spread another name, 191 
volatility changes, effect of on, 778-780 
with futures options, 704-709 (see also Futtm's 
options and strategies)