Index 
Delta (continued) 
and implied volatility, 753-754, 755-756 
of LEAPS, 387-390 
put delta, 389-390 
option delta, 849 
position delta, 849-853 
spread, 484 
Delta-neutral spreads: 
calendar spreads, 227-228 (see also Calendar and 
ratio spreads) 
effects on of implied volatility changes, 755-756 
Delta-neutral trading, 167-168, 868-879 
Delta of option, 99-101 
of futures aption, 676-677 
"Delta spread," 213, 216-217 (see also Ratio call 
spread) 
for ratio put spread, 361 
Depository Trust Corp. (DTC), 43 
Diagonal butterfly spread, 350-353 (see also Spreads 
combining calls and puts) 
Diagonal spread, 169, 236-241 (see also Spread, 
diagonalizing) 
backspreads, 240-241 
bear spread, 239-240 
bull spread, 177, 236-239 
and LEAPS, 405-407 
backspread,407-408 
Dividend arbitrage, 425-428 
Dividends: 
influence of on option price, 14-15 
and LEAPS, effect on, 371-374 
put option premiums, effect of on, 248-250 
from structured products, 594 
Divisor, 494-496, 497-500, 568 
"Dogs of the Dow" Index, 594 
Dow Jones Industrial Average, 494, 499, 793 
30 Industrials ($DIX), 501, 502, 582 
Top 10 Yield index ($XMT), 594 
Down delta concept, 100-101 
Elliott Wave theory, 796 
Equity-linked notes, 618 
Equivalent futures position (EFP), 676-677, 853 
Equivalent stock position (ESP), 162-163, 167, 
853 
in ratio call spreads, 220-221 
of straddle, 312-313 
Equivalent strategies, 943-944 
"European" exercise, 501-504, 647 
options, 7 
Even money spread, 240 
"Ever" probability calculator, 805-806 
Excess value of option price, effect on of implied 
volatility changes, 762-765 
"greeks" to measure, 763-764 
Exchange-Traded Funds (ETFs), 637-639 
987 
Holding Company Depository Receipts (HOLD RS), 
639 
iShares, 638 
options on, 637 
sector, 638 
Standard & Poor's Depository Receipt (SPDR), 637-
638 
Creation Units, 638 
Exercise of cash-based options, 501-504 
Exercise price, definition, 3-4 
Exercising option, 6-7, 15-16 
after, 17 
commissions, 17-18 
early, due to discount, 19-20 
early, due to dividends on underlying stock, 20-22 
Exotic options, 590 
Expiration date, 4 
standardization, 5 
Exxon (XON), 567 
Facilitation, 455, 482-485 (see also Mathematical 
applications) 
Fat tails, 790- 792, 810, 828 
Financial engineers, role of in structured products, 590 
Foreign currency options, 671-673 
Formulae, 947-956 
"Fudge factor," 731, 733 
Futures, 506-512 (see also Index option products) 
calculating fair value of, 533-534 
factors, four, 533 
T-bill rate, use of, 534 
contracts, 653-660 (see also Futures and futures 
options) 
on physicals, 653 (see also Futures and future 
options) 
Futures and futures options, 652-695 
futures contracts, 653-660 
"cash," 653-654 
cash-based/cash settlement futures, 653 
delivery, 658-659 
expiration dates, 656-657 
first notice day, 659 
futures on physicals, 653 
hedging, 653-655 
limits, 657-658 
month symbols, 665 
notice period, 659 
and options, differences between, 653