996 
SIS (Stock Index return Security) (continued) 
track record, 598, 599 
trading at discount to cash value, 598-600 
trading at discount to guarantee price, 600-601 
60/40 rule, 919-920 
SPAN (Standard Portfolio Analysis of Risk), 514-515, 
667-671 
advantages,667 
example, 668, 669, 670 
how it works, 667-671 
maintenance margin, 667 
purpose, 667 
risk array, 667, 668, 669 
Speculating in futures contracts, 655-656 
Splitting quote, 171 
Splitting strikes, 325-328 (see also Synthetic stock 
positions) 
Spot/spot price for futures contracts, 658 
Spread, diagonalizing, 236-241 
advantage,236,241 
backspreads,240-241 
even-money spread, 240 
bear spread, 239-240 
bull spread, 236-239 
often improvement over normal bull spread, 239 
definition, 236 
for any type of spread, 241 
Spreads, 76, 168-171 (see also under particular head) 
backspread,232-235 
diagonal, 240-241 
bear, using call options, 186-190 
bull, 110-111, 113-116, 117, 172-185 
butterfly, 200-209 
calendar, 116-117, 191-199 
categories, three, 169 
definition, 168 
diagonal, 169, 236-241 (see also Spreads, 
diagonalizing) 
even money, 240 
horizontal, 169 
using LEAPS, 403-409 (see also LEAPS) 
"leg" into, 171 
out of, 180, 207 
out-of-the-money call spread, 222-225 
ratio call, 210-221 
reverse, 230-235 
reverse calendar, 230-232 
reverse ratio, 232-235 
unequal tax treatment on, 929-930 
vertical, 169 
Spread order, 169-171 
Spreads combining calls and puts, 336-357 
butterfly spread, 336-338 
arbitrageur, role of, 338 
box spread, 338 
commissions high, 338 
Index 
equivalent of completely protected straddle write, 
338 
establishing, four ways for, 336-338 
striking prices, three, 336 
calendar combination, 345-348, 353-354, 356-357 
superior to calendar straddle, 349-350 
calendar straddle, 348-350, 354, 356-357 
as neutral strategy, 349 
criteria for, three, 354 
inferior to calendar combination, 349-350 
diagonal butterfly spread, 350-353, 354-355, 356-357 
criteria, four, 355 
legging out, 351-352 
follow-up action for bull or bear spreads, 341-344 
option purchase and spread, combining, 339-341 
bearish scenario, 341, 342 
bullish scenario, 339-340, 342 
selecting, 353-356 
criteria, five, 353-354 
summary, 356-357 
Standard Portfolio Analysis of Risk (SPAN), 514-515 
Standard & Poor (S&P): 
Depository Receipt (SPDR), 637-638 
expiration, 510-511 
100 Index (OEX), 497, 500-501, 582-583 
400 Index, 497 
500 Futures, 532 
500 Index (SPX), 497, 502, 507, 583, 584 
Standard & Poor's Stock/Bond Guide, 88 
Stock: 
buying below its market price, 299-300 
underlying, price of as related to option price, 9-10 
Stock index hedging strategies, 531-578 
follow-up strategies, 557-559 
rolling to another month, 557-559 
impact on stock market, 561-565 
"circuit breaker" of NYSE, 562 
at expiration, 564-565 
before expiration, 561-563 
portfolio insurance, 563-564 
regulatory bodies, concern of, 562 
trading ban, 562 
index, simulating, 566-574 
hedge, monitoring, 572-573 
high-capitalization stocks, using, 566-571 
largest-capitalization stocks, four, 567 
options instead of futures, using, 573-57 4 
regression analysis, 566 
tracking error risk, 571-572 
index arbitrage, 547-556 
commissions, 552-554 
computerized method of order entry, 555-556