Index 
Ratio call writing (continued) 
dissimilarity, 210-211 
ratio write, 146-149 
objections, two, 148-149 
probability curve for stock movement, 149 
profit range, 14 7 
ratio spread as, 213-214 (see also Ratio call 
spreads) 
and reverse hedge (simulated straddle), similarity of, 
154 
risk, two-sided, 146 
selection criteria, 151-155 
break-even points of position, 151-152 
neutral ratio, 152-154 
volatile stocks preferred, 152 
summary, 168 
not suitable for all investors, 168 
variable, 155-157 
trapezoidal hedge, 155, 156, 157 
Ratio put spread, 358-361 (see also Ratio spreads) 
calendar spread, 361-364 
Ratio put writing, 300-301 
Ratio spreads, effects on of implied volatility changes, 
780-781 
Ratio spreads using puts, 358-366 
ratio calendar combination, 364-366 
ratio put spread, 358-361 
deltas, 361 
follow-up action, 360-361 
limited upside risk, large downside risk, 358, 359 
ratio put calendar spread, 361-364 
and naked options, 362-363 
Ratio strategies, applying mathematical calculations of 
volatility to, 480-482 
Regression analysis, 566 
Reversals, 254-255, 428-430, 431-438 (see also 
Arbitrage) 
risks in, four, 433-437 
Reverse calendar spread, 230-232 (see also Reverse 
spreads) 
selling, 833-834 
Reverse carrying charge market, 697 
Reverse conversion, 428-430, 431-438 
risks in, four, 433-437 
Reverse hedge 123-128, 130, 131 (see also Call buying 
strategies) 
ratio writing, similarity to, 154-155 
straddle buying, equivalent to, 283 
Reverse ratio spread (backspread), 232-235 (see also 
Reverse spreads) 
Reverse spreads, 230-235 
backspread, 232-235 (see also Reverse spreads, 
reverse ratio spread) 
reverse calendar spread, 230-232 
margin requirements onerous, 230, 231-232 
used infrequently, 230 
reverse ratio spread (backspread), 232-235 
and delta-neutral spread, 234-235 
early exercise, possibility of, 235 
established for credits, 233 
investment small, 233-234 
limited risk, 233 
volatile stocks preferable, 235 
Rho, 864-865 
for LEAPS or warrants, 873 
Risk arbitrage, 21, 426-427, 445-454 (see also 
Arbitrage) 
"hooks," 449-450 
limits on merger, 448-450 
mergers, 445-448 
tender offers, 451-454 
Risk-free interest rate, 14 
Rolling action, 71-80, 94, 158-160 
alternative, 76-77 
debit incurred in roll-up, 80-81 
different expiration series, using, 78-79 
partial, 77 
Rolling for credits, 140-144 
Martingale strategy, 140, 145 
Rolling down strategy, 112-116, 628-629 
LEAPS, 394 
and protective put, 276 
Rolling forward/down, 83-85 
Rolling up, 109-110, 267-269, 628-629 
"Round-tum" commission, 665-666 
Rubenstein, Professor Mark, 797 
Russell 2000 Growth Fund, 638, 788 
Russell 2000 Value Fund, 638, 788 
S&P: see also Standard & Poor 
Scientific American, 796 
Sector, 500 
Semiconductor Index ($SOX), 588, 6,39 
HOLDRS, 639 
Serial options, 663-666 
Series of options, ,5-6 
Short-sale rule, 923-924 
Short tendering, 453 
Short-term trading, call buying and, 102 
Sigma, 783-786 
Simpson's Rule, 471 
Simulated straddle, 123-128 (see also Call buying 
strategies) 
ratio writing, similarity to, 154-155 
SIS (Stock Index return Security), 596-601 
cash value formula, 596-597 
imbedded call, 597-598 
issued in 1993 and matured in 2000, 596 
995