952 
N t l t. Delta of long option eu ra ra 10 = -----=---=--­Delta of short option 
Equivalent Futures Position (Ch. 34) 
EFP = Delta x Number of options 
Equivalent Stock Position (Ch. 28) 
ESP = Unit of trading x Delta x number of options 
Appendix C 
where unit of trading is the number of shares of the underlying stock that 
can be bought or sold with the option (normally 100). 
Futures Contract Fair Value (Ch. 29) 
-Stock index futures 
Index value x (1 + rt) + Present worth (dividends) 
Also see Present worth. 
Future Stock Price (Ch. 28) 
where 
-lognormal distribution, assuming a movement of a fixed number of stan­
dard deviations 
q = future stock price 
Vt = volatility for the time period 
a = number of standard deviations of movement 
(normally-3.0::; a::; 3.0) 
Gamma (Ch. 40) 
X 
s 
C 
p 
r 
let z = In [ x ] /v --ft + v --ft 
S X (1 + r)t 2 
Then (-x212) 
r- __ e-===--
- xv ✓ 2nt 
current stock price B 
striking price 
call price 
put price 
interest rate 
time (in years) 
u 
D 
p 
R 
break-even point 
upside break-even point 
downside break-even point 
maximum profit potential 
maximum risk potential 
Subscripts indicate multiple items. For example s1, s2, s3 would designate three striking prices in a formula. 
The formulae are arranged alphabetically by title or by strategy.