106 lines
3.0 KiB
Plaintext
106 lines
3.0 KiB
Plaintext
Index
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Martingale strategy, 140, 145
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Mathematical applications, 456-489
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Black-Scholes model, 456-466 (see also
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Black-Scholes model)
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expected return, 466-472
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calculation of, 467, 4 71
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definition,466
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expected profit, computation of, 468
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lognormal distribution, typical, 469
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Simpson's Rule, 471
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Trapezoidal Rule, 471
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facilitation (institutional block positioning), 482-485
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delta spread, 484
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follow-up action, computer as aid in, 485-488
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implementation, 488-489
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neutral spread, 483-485
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hedge ratio, 482-485 (see also Mathematical applica
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tions, facilitation [institutional block position
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ing])
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strategy decisions, applying calculations to, 4 72-482
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calendar spreads, 479-480
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call buying, 474
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call writing, 472-474
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profitability, 474-475
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put buying, 478-479
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put option, pricing, 477-478
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ratio strategies, 480-482
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risk, 4 75-4 77
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theoretical value of spread, using, 480
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summary, 489
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Mathematical applications for index options, 644-651
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Black model, 647-648, 651
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Black-Scholes model, 644-645, 646, 651
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cash-based, 644-646
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deltas, 648
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European exercise, 647
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follow-up action, 648-651
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for inter-index spreads, 648-649
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"sliding scale," 649-650
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futures, 644
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options, 647-648
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implied dividend, 646
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Mathematical concepts, advanced, 901-907
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Mathematical considerations for index products, 641-651
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Mathematical models:
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for index products, 641-651
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arbitrage, 641-644 (see also Arbitrage)
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graph, three-dimensional, 651
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mathematical applications, 644-651 (see also
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Mathematical applications)
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summary, 651
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for pricing options, 14
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Mayhew, Dr. Stewart, 806
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Mergers, risk arbitrage and, 445-450
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Monte Carlo analysis, 806
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simulation, 807-809, 828
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991
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Morgan Stanley High-Tech index ($MSH), 639, 788
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Naked call writing, 132-145
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high risk strategy, 135-136
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"kicker," 136
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marked to market daily, 136
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implied volatility, 132
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investment required, 134-137
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margin requirements, 134-137
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not same as short sale of underlying stock, 133-134
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risk and reward, 138-145
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Martingale strategy, 140, 145
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rolling for credits, 140-144
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time value as misnomer, 144
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selling naked options, philosophy of, 137-138
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index options, 138
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summary, 144-145
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uncovered (naked) call option, 133-134
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Naked put write, evaluating, 296-298
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Narrow-based indices, 500
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NASDAQ:
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Index ($NDX), 501
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-100 (NDX), 588
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tracking stock (QQQ), 638,639
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Neutral calendar spread, 192-194
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Neutrality:
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effects of implied volatility changes on, 755-756
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in options positions, 846-84 7
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New York Stock Exchange:
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"circuit breaker," 562
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expiration, 510-511
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Index,497,500,532
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limits on index futures traded, 511
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POT system, 555-556
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Nikkei 225 Index, 532, 601
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No-cost collars, 278-280
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Notice period, 659, 661-662
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OEX, 497, 500-501
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Oil and Gas Index (XOI), 588, 719
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Open interest, 6
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"Open outcry" method of trading futures, 508-509
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Opening transactions, 6
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Option markets, 22
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board broker system, 22
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Chicago Board Options Exchange (CBOE), 22
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Web site, 23
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market-makers, 22
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Option Price Reporting Authority (OPRA), 368
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Option pricing curve, 99 |