Index
American-exercise options
Arbitrageurs
At-the-money (ATM)
Backspreads
Bear call spread
Bear put spread
Bernanke, Ben
Black, Fischer
Black-Scholes option-pricing model
Boxes
building
Bull call spread
strengths and limitations
Bull put spread
Butterflies
long
alternatives
example
short
iron
long
short
Buy-to-close order
Calendar spreads
buying
“free” call, rolling and earning
rolling the spread
income-generating, managing
strength of
trading volatility term structure
buying the front, selling the back
directional approach
double calendars
ITM or OTM
selling the front, buying the back
Calls
buying
covered
entering
exiting
long ATM
delta
gamma
rho
theta
tweaking greeks
vega
long ITM
long OTM
selling
Cash settlement
Chicago Board Options Exchange (CBOE) Volatility Index
®
Condors
iron
long
short
long
short
strikes
safe landing
selectiveness
too close
too far
with high probability of success
Contractual rights and obligations
open interest and volume
opening and closing
Options Clearing Corporation (OCC)
standardized contracts
exercise style
expiration month
option series, option class, and contract size
option type
premium
quantity
strike price
Credit call spread
Debit call spread
Delta
dynamic inputs
effect of stock price on
effect of time on
effect of volatility on
moneyness and
Delta-neutral trading
art and science
direction neutral vs. direction indifferent
gamma, theta, and volatility
gamma scalping
implied volatility, trading
selling
portfolio margining
realized volatility, trading
reasons for
smileys and frowns
Diagonal spreads
double
Dividends
basics
and early exercise
dividend plays
strange deltas
and option pricing
pricing model, inputting data into
dates, good and bad
dividend size
Estimation, imprecision of
European-exercise options
Exchange-traded fund (ETF) options
Exercise style
Expected volatility
CBOE Volatility Index®
implied
stock
Expiration month
Ford Motor Company
Fundamental analysis
Gamma
dynamic
scalping
Greeks
adjusting
defined
delta
dynamic inputs
effect of stock price on
effect of time on
effect of volatility on
moneyness and
gamma
dynamic
HAPI: Hope and Pray Index
managing trades
online, caveats with regard to
price vs. value
rho
counterintuitive results
effect of time on
put-call parity
strategies, choosing between
theta
effect of moneyness and stock price on
effects of volatility and time on
positive or negative
taking the day out
trading
vega
effect of implied volatility on
effect of moneyness on
effect of time on
implied volatility (IV) and
where to find
Greenspan, Alan
HOLDR options
Implied volatility (IV)
trading
selling
and vega
In-the-money (ITM)
Index options
Interest, open
Interest rate moves, pricing in
Intrinsic value
Jelly rolls
Long-Term Equity AnticiPation Securities® (LEAPS®)
Open interest
Option, definition of
Option class
Option prices, measuring incremental changes in factors affecting
Option series
Options Clearing Corporation (OCC)
Out-of-the-money (OTM)
Parity, definition of
Pin risk
borrowing and lending money
boxes
jelly rolls
Premium
Price discovery
Price vs. value
Pricing model, inputting data into
dates, good and bad
dividend size
“The Pricing of Options and Corporate Liabilities” (Black & Scholes)
Put-call parity
American exercise options
essentials
dividends
synthetic calls and puts, comparing
synthetic stock
strategies
theoretical value and interest rate
Puts
buying
cash-secured
long ATM
married
selling
Ratio spreads and complex spreads
delta-neutral positions, management by market makers
through longs to shorts
risk, hedging
trading flat
multiple-class risk
ratio spreads
backspreads
vertical
skew, trading
Realized volatility
trading
Reversion to the mean
Rho
counterintuitive results
effect of time on
and interest rates
in planning trades
interest rate moves, pricing in
LEAPS
put-call parity
and time
trading
Risk and opportunity, option-specific
finding the right risk
long ATM call
delta
gamma
rho
theta
tweaking greeks
vega
long ATM put
long ITM call
long OTM call
options and the fair game
volatility
buying and selling
direction neutral, direction biased, and direction indifferent
Scholes, Myron
Sell-to-open transaction
Skew
term structure
trading
vertical
Spreads
calendar
buying
“free” call, rolling and earning
income-generating, managing
strength of
trading volatility term structure
diagonal
double
ratio and complex
delta-neutral positions, management by market makers
multiple-class risk
ratio
skew, trading
vertical
bear call
bear put
box, building
bull call
bull put
credit and debit, interrelations of
credit and debit, similarities in
and volatility
wing
butterflies
condors
greeks and
keys to success
retail trader vs. pro
trades, constructing to maximize profit
Standard deviation
and historical volatility
Standard & Poor’s Depositary Receipts (SPDRs or Spiders)
Straddles
long
basic
trading
short
risks with
trading
synthetic
Strangles
long
example
short
premium
risk, limiting
Strategies and At-Expiration Diagrams
buy call
buy put
factors affecting option prices, measuring incremental changes in
sell call
sell put
Strike price
Supply and demand
Synthetic stock
strategies
conversion
market makers
pin risk
reversal
Technical analysis
Teenie buyers
Teenie sellers
Theta
effect of moneyness and stock price on
effects of volatility and time on
positive or negative
risk
taking the day out
Time value
Trading strategies
Value
Vega
effect of implied volatility on
effect of moneyness on
effect of time on
implied volatility (IV) and
Vertical spreads
bear call
bear put
box, building
bull call
bull put
credit and debit
interrelations of
similarities in
and volatility
Volatility
buying and selling
teenie buyers
teenie sellers
calculating data
direction neutral, direction biased, and direction indifferent
expected
CBOE Volatility Index®
implied
stock
historical (HV)
standard deviation
implied (IV)
and direction
HV-IV divergence
inertia
relationship of HV and IV
selling
supply and demand
realized
trading
skew
term structure
vertical
vertical spreads and
Volatility charts, studying
patterns
implied and realized volatility rise
realized volatility falls, implied volatility falls
realized volatility falls, implied volatility remains constant
realized volatility falls, implied volatility rises
realized volatility remains constant, implied volatility falls
realized volatility remains constant, implied volatility remains constant
realized volatility remains constant, implied volatility rises
realized volatility rises, implied volatility falls
realized volatility rises, implied volatility remains constant
Volatility-selling strategies
profit potential
covered call
covered put
gamma-theta relationship
greeks and income generation
naked call
short naked puts
similarities
Would I Do It Now? Rule
Volume
Weeklys
SM
Wing spreads
butterflies
directional
long
short
iron
condors
iron
long
short
greeks and
keys to success
retail trader vs. pro
trades, constructing to maximize profit
Would I Do It Now? Rule