108 lines
3.0 KiB
Plaintext
108 lines
3.0 KiB
Plaintext
Index
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Historical volatility, 461, 728-731
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lognormal, computation of, 461-466
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Holder, 6
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HOLDRS, 639
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"Hooks," 449-450
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Horizontal spread, 169
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IBM (International Business Machines), 567
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Implied volatility, 132, 248, 685, 727, 734-743 (see also
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Volatility trading)
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difference of, measuring, 905-907
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effect of on specific option strategies, 7 49-782 (see
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also Volatility, effects of)
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and delta, 753-754
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in trading techniques, 812-845 (see also Volatility
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trading)
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In-the-money:
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calendar spread, 228
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covered writes, 43-45, 93
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definition, 7, 8
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for put options, 246-247
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Incremental return concept of covered writing, 91-93
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(see also Covered call writing)
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rolling for credit, 92
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Index arbitrage, 547-556 (see also Stock index hedging
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strategies)
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Index calls, hedging with, 545-547
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Index option products and futures, introduction to,
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493-530
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cash-based options, 500-506
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assignment, 501
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commissions, 503
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European versus American exercise, 501-504
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exercise, 501-504
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indices underlying, 500-501
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naked margin, 504-505
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definition, 493
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and equity options, difference between, 493
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futures, 506-512
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cash-based only, 506
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"circuit breakers," 511
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commodities contract, definition, 506
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contract, terms of, 507-508
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hedgers, 506-507
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limits, 511
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"locals," 509
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maintenance margin, 509
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margin, limits, and quotes, 509-510
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"open outcry" method, 508-509
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quotes, 511-512
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speculators, 506-507
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S&P 500 Index, 507-509
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S&P and NYSE expiration, 510-511
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989
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and stock trading, differences between, 508, 512
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traders, types of, 506-507
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LEAPS (Long-term Equity AnticiPation Securities)
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index options, 367-410, 505-506
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options on index futures, 512-516
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caution,516
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customer margin method, 515
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expiration dates, 513
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option margin, 514-515
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premiums, 514
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quotes, 515-516
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SPAN (Standard Portfolio Analysis of Risk),
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514-515
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terms, other, 515
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put-call ratio, 520-530
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figures, 524-530
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interpreting, 522-523
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standard options strategies using index options,
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516-520
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conclusion, 519-520
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early assignment of cash-based options, handling,
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518-519
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option buying, 516-517
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selling index options, 517-518
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volatility skewing, 517
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stock indices, 493-500
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broad-based, 500, 504-505
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capitalization-weighted indices, 494-497 (see also
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Capitalization-weighted indices)
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narrow-based, 500, 505
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price-weighted indices, 500 (see also Price
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weighted indices)
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sector, 500
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summary, 523
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Index options and futures, 138, 491-721 (see also under
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particular heading)
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futures and futures options, 652-695
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futures option strategies for futures spreads, 696-721
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hedging portfolios with, 541-543
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index spreading, 579-588
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introduction, 493-530
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mathematical considerations for index products,
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641-651
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products and futures, introduction to, 493-530
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stock index hedging strategies, 531-578
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structured products, 589-640
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Index puts, hedging with, 543-545
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Index spreading, 579-588
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approaches,two,580-581
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characteristics, 682-583
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inter-index spreading, 579-587
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philosophy, 579
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S&P 100,583
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S&P 500, 583, 584 |