988 
Futures and futures options (continued) 
position limits, 657 
pricing, 659-660 
speculating, 655-656 
spot and spot price, 658 
as stock with expiration date, 653 
tenns, 656-657 
trading hours, 657 
trading limits, 657-658 
units of trading, 657 
futures options trading strategies, 67 4-683 
delta, 676-677 
equivalent futures position (EFP), 676-677 
follow-up actions, 692-694 
limit bid, 679 
limit offered, 680 
mathematical considerations, 677-679 
mispricing strategies, common, 683-694 (see also 
Futures and futures option, mispricing strate­
gies) 
price relationships, 67 4-676 
summary, 694 
and trading limits, 679-683 
mispricing strategies, common, for futures options, 
683-694 
backspreading puts, 686-688 
follow-up action, 692-694 
implied volatility, 685 
points, 687-688 
ratio spreading calls, 688-689 
strategies for profiting, two, 685-689 
summary, 694 
volatility skewing, 683, 685, 693-694 
which strategy to use, 690-692 
options on futures, 660-673 
assignment, 673 
automatic exercise, 662-663 
bid-offer spread, 665 
cash settlement future, 661 
commissions, 665 
customer margin system, 667, 671 
definition, 660 
description, 660-662 
exercise, 673 
foreign currency options, 671-673 
margins, 666-671 
mathematical considerations, 677-679 
month symbols, 665 
notice day, 661-662 
Philadelphia Stock Exchange (PHUC), 671, 673, 
678-679 
physical currency options, 671-673 
on physical futures, 661, 678-679 
position limits, 666 
quote symbols, 664 
"round-tum" commission, 665-666 
serial options, 663-666 
Index 
SPAN margin (Standard Portfolio Analysis of 
Risk), 667-671 (see also SPAN) 
striking price intervals, 662 
standardization less than for equity or index options, 
652 
summary, 695 
Futures Magazine, 661 
Futures option strategies for futures spreads, 696-721 
futures options, using in futures spreads, 704-720 
calendar spread, 704-709 
follow-up considerations, 714-719 
intramarket spread strategy, 719 
long combinations, 709-714 
spreading futures against stock sector indices, 
719-720 
futures spreads, 696-704 
contango, 697 
crack spread, 702-704 
cross-currency spreads, 701 
intermarket, 700-704 
intramarket, 697-700 
pricing differentials, 696-697 
reverse carrying charge market, 697 
TED spread, 701-702, 712-714 
summary, 720-721 
Futures spread, futures option strategies for, 696-721 
(see also Futures option strategies) 
Gamma, 853-859, 867, 882 
neutral spread, 882 
Gamma of the gamma, 865-866, 902-905 
GARCH (Generalizes Autoregressive Conditional 
Heteroskedasticity), 731-732, 814, 819 
General Electric (GE), 567 
General Motors (GM), 567 
Gold and Silver Index (XAU), 588, 719 
Good-until-canceled order, 34 
Government National Mortgage Association 
certificates, 420 
Graphs, 957-960 
"Greeks," 848-866 (see also Advanced concepts) 
calculating, 901-902 
to measure excess value, 763-764 
Hedge ratio, 99-101, 457 
advantages of, 482-485 
delta spread, 484 
neutral spread, 483-485 
Hedge wrapper, 275 
Hedging, futures contracts and, 653-655