Index 
Calendar spread, put, 333-335 (see also Put spreads, 
basic) 333-335 
Calendar and ratio spreads, combining, 222-229 
choosing spread, 225-226 
pricing model, using, 225 
delta-neutral calendar spreads, 227-228 
in-the-money, 228 
follow-up action, 226-227, 229 
probabilities, good, 226-227 
out-of-the-money call spread, 222-225 (see also 
Calendar and ratio spreads, combining, ratio 
calendar spread) 
ratio calendar spread, 222-225 
collateral requirements possibly large, 223-224 
profitability of, 227 
Calendar straddle, 348-350 (see also Spreads combining 
calls and puts) 
Call arbitrage, 444 (see also Arbitrage) 
Call bull spread, effect on of implied volatility changes, 
767-775 
Call buying, 95-117 
advanced selection criteria, 103-107 
overpriced/underpriced calls, 106-107 
time value premium and volatility trading, 106-107 
volatilities of underlying stock, 103-106 
follow-up actions, 107-117 
bull spread, 110-111, 113-116, 117 
calendar spread, creating, 116-117 
commissions, 108 
defensive action, two strategies for, 112-117 
locking in profits, four strategies for, 108-111 
"mental" stop to cut losses, 107 
rolling down strategy, 112-116 
rolling up, 109-110 
frustrations, 107 
mathematical calculations of volatility, applying, 47 4 
option to buy, selecting, 101-103 
day trading, 101-102 
intermediate-term trading, 102-103 
long-term trading, 103 
short-term trading, 102 
time horizon as criterion, 101 
risk and reward, 97-101 
delta, 99-101 
hedge ratio, 99-101 
intermediate-term call most attractive, 98 
option pricing curve, 99 
timing, certainty of, 98-99 
simplest form of option investment, 95 
strategies, other, 118-131 (see also Call buying 
strategies) 
why buy, 95-96 
and LEAPS, 95 
985 
Call buying strategies, 118-131 
altering ratio oflong calls to short stock, 128-131 
protected short sale, 118-122 
at-the-money or out-of-the-money as protection, 
120 
follow-up action, 122 
margin requirements, 121 
reverse hedge, 123-128, 130, 131 
follow-up action, 126-128 
limited loss potential and unlimited profit poten­
tial, 123, 128 
trading against the straddle, 126-127 
volatile stock preferred, 126 
simulated straddle, 123-128 (see also Call buying 
strategies, reverse hedge) 
summary, 131 
"synthetic" strategies, 118 
put, 118-121 (see also Call buying strategies, pro­
tected short sale) 
Call option price curve, 10-13 
Call option strategies, 37-241 (see also under particular 
heading) 
bear spreads using call options, 186-190 
bull spreads, 172-185 
butterfly spreads, 200-209 
calendar spreads, 191-199 
calendar and ratio spreads, combining, 222-229 
call buying, 95-117 
call buying strategies, 118-131 
covered call writing, 39-94 
diagonalizing spread, 236-241 
naked call writing, 132-145 
ratio call spreads, 210-221 
ratio call writing, 146-171 
reverse spreads, 230-235 
summary, 241 
Call options: 
assignment of, 7 
Call writing, applying mathematical calculations of 
volatility to, 4 72-4 7 4 
Capitalization-weighted indices, 494-497 
divisor, 494-496 
float, 494-495 
largest market value stocks have most weight, 496 
most prevalent, 497 
Cash-based futures, 653 
Cash-based options, 500-506 (see also Index option 
products) 
European versus American exercise, 501-504 
Cash-based put writing, 294-295 
Cash dividend role of underlying stock as factor in 
option price, 14-15 
Cash settlement futures, 653