88 lines
2.2 KiB
Plaintext
88 lines
2.2 KiB
Plaintext
306 • Index
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At-the-money (ATM) options: (continued)
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long straddles, 208–209
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OTM options vs., 233–234
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protective puts, 250–251, 253
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short diagonals, 238, 240
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short puts, 215, 216
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short straddles, 230
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short-call spreads, 222–225
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AUM (assets under management), 132
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B
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Balance-sheet effects, 92, 108–111
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Behavior, efficient market hypothesis
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as model for, 41–42
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Behavioral biases, 114–130
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overconfidence, 118–122
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pattern recognition, 114–118
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perception of risk, 123–130
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Behavioral economics, 42, 114
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Bentley, 97–98
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Berkshire Hathaway, 185
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Bernstein, Peter, 9
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Biases, behavioral (see Behavioral
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biases)
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Bid price, 147
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Bid-ask spreads, 147–149
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Bimodal outcomes, companies with,
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277–278
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Black, Fischer, 8–9
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BlackBerry, 208–209
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Black-Scholes-Merton (BSM) model, 9
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assumptions of, 32–33, 40–47, 78, 150
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conditions favoring, 269–273
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conditions not favoring, 273–281
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incorrect facets of, 29
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predicting future stock prices from,
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32–39
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ranges of exposure and price
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predictions from, 50–56
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theory of, 32
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(See also BSM cone)
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Bonds, investing in short puts vs.,
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213–214
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Booms, leverage during, 199
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Breakeven line, 25
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for call options, 15, 16
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for long strangle, 26–27
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for put options, 17, 18
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(See also Effective buy price [EBP])
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Broker-dealers, 137, 299–300n5
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Brokers, benefits of short-term trading
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for, 64
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BSM cone:
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for call options, 50–55
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for collars, 258
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for covered calls, 240–244
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creating, 156–160
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defined, 38–39
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delta-derived, 151–155
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discrepancies between valuation and,
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160–162
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for ITM options, 57–58
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for long calls, 189
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for long diagonals, 235
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for long puts, 201
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for long strangles, 205
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overlaying valuation range on, 160
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for protective puts, 248, 249
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for put options, 54–55
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for short diagonals, 238
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for short puts, 212, 216, 217
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for short straddles, 230
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for short strangles, 231
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for short-call spreads, 220
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with simultaneous changes in variables,
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68–74
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and time-to-expiration assumptions,
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64–67
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and volatility assumptions,
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60–64
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BSM model (see Black-Scholes-Merton
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(BSM) model)
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Bubbles, 42–43
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Buffett, Warren, xv, 184–185
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Buying options (see Exposure-gaining
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strategies)
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Buy-side structural impediments,
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132–136 |