Index 
Adjusted volatility, 539 
Advanced concepts, 846-907 
"greeks," 848-866, 902-905 
delta, 848-853, 866 
gamma, 853-859, 867, 882 
gamma of the gamma, 865-866, 902-905 
rho, 864-865 
"six measures of risk," 865 
strategy considerations using, 866-901 (see also 
Advanced concepts, strategy considerations, 
using greeks) 
summary, 866 
theta, 862-864, 866 
vega/tau, 859-862, 866 
mathematical concepts, advanced, 901-907 
difference of implied volatilities, measuring, 905-907 
gamma of the gamma, 902-905 
"greeks," calculating, 901-902 
neutrality, 846-847 
strategy considerations, using "greeks," 866-901 
delta neutral, 868-879 
evaluating position using risk measures, 885-892 
mathematical approach, 883-885 
multifaceted neutrality, creating, 879-883 
risk exposure, general, of common, 866-868 
trading gamma from long side, 893-901 
summary, 907 
tau, 859-862 
American exercise, 501-504 
American Stock Exchange, 22 
Index,497,500 
structured products listed, 618 
Arbitrage, 251-252, 253-255, 422-455, 641-644 
block positioning, 455 
boxspreads,439-443,643-644 
risks, 443 
call arbitrage, 444 
carrying costs, 430-431 
conversions and reversals, 428-430, 431-438, 
642-643 
borrowing stock to sell short, 432-433 
risksin,fou½433-437 
summary, 437-438 
"using box stock," 432 
discounting, 423-425, 641-642 
dividend, 425-428 
effects, 444-445 
equivalence, variations on, 443-444 
facilitation (block positioning), 455 
"interest play" strategy, 438-439 
pairs trading, 454-455 
as hedged strategy, 454 
put arbitrage, 445 
put and call, basic (discounting), 423-425 
risk arbitrage, 21, 426-427 
definition, 445 
risk arbitrage using options, 445-454 
"hooks," 449-450 
limits on merger, 448-450 
mergers, 445-448 
profitability, 454 
short tendering, 453 
tender offers, 451-454 (see also Tender offers) 
synthetic put, 439-440 
Arbitrageurs, 19-21 (see also Arbitrage) 
definition, 422 
role of in butterfly spread, 338 
box spread, 338 
983