110 lines
3.2 KiB
Plaintext
110 lines
3.2 KiB
Plaintext
Index
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PERCS (Preferred Equity Redemption Cumulative
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' Stock) (continued)
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pricing, 634-636
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protecting PERCS with listed options, 625-626
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redemption feature, removing, 626-627
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redemption price, changing, 627-629
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rolling down/up, 628-629
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selling call against long PERCS as ratio write,
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629-631
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selling short, 632-633
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summary, 636-637
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Phantom interest, 592
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Philadelphia Stock Exchange (PHLX), 671, 673,
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678-679
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Portfolio hedge, 539-541
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Portfolio insurance, 563-564
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Position delta, 162-163, 167
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Position limit rule, 253
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Position vega, 757
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POT system of NYSE, 555-556
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Premium, 7-8
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time value, 7-8
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Price of option, factors influencing, 9-15
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cash dividend rate of underlying stock, 14-15
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dividends and lower call option price, 14-15
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call option price curve, 10-13
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market dynamics, nonquantitative, 15
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risk-free interest rate, 14
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striking price of option, 9-10
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time remaining until expiration, 11-13
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time value premium decay, 13-14
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underlying stock, price of, 9-10
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volatility of underlying stock, 13-14
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Price-weighted indices, 497-500
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computing, 497-498
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divisor, 497-500
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Dow Jones indices, 499
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each stock with equal number of shares, 497, 499
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Major Market Index (XMI), 499
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Probability calculator, 798-799, 824, 827-829
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Probability of stock price movement, 798-809 (see also
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Stock prices)
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Profits, locking in, four strategies for, 108-111
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Program trading, 537-547 (see also Stock index
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hedging)
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Protected short sale, 118-121, 270 (see also Call buying
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strategies)
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Protective collar, 275
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no-cost, 278-280
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and splitting strikes, 328
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Put, sale of, 291-301
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buying stock below its market price, 299-300
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caution, 299-300
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covered put, 300
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follow-up action, 295-296
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naked put write, evaluating, 296-298
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ratio put writing, 300-301
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uncovered, 292-295
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cash-based put writing, 294-295
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993
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covered call writing, similarity to, 293-294
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naked put writing, differences between, 294-295
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Put arbitrage, 445 (see also Arbitrage)
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Put bear spreads, effects on of implied volatility
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changes, 777-778
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Put buying:
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in conjunction with call purchases, 281-291
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mathematical calculations of volatility, applying to,
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478-479
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straddle buying, 282-288
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equivalences, 283-284
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follow-up action, 285-288
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reverse hedge, equivalent to, 283
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reverse hedge with puts, 284
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selecting, 285
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strangle, buying, 288-291
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trading against straddle, 287
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Put buying in conjunction with common stock owner
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ship, 271-280
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as protection for covered call writer, 275-278
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bull spread as equivalent, 278
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long-term effects, 277-278
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protective collar, 275, 278-280
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rolling down, 276
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no-cost collars, 278-280
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lower strikes as partial covered write, 279-280
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synthetic long call, 271
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tax considerations, 275
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which put to buy, 273-274
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equivalent strategies, 27 4
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slightly out-of-the-money put preferable, 27 4
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Put option:
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effects on of implied volatility changes, 765-766
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pricing, applying mathematical calculations of
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volatility to, 4 77-4 78
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Put option basics, 245-255
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assignment, 250-253
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anticipating, 251-252
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and dividend payment dates, 252
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position limits, 253
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conversion, 253-255
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no risk, 254
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reversal. 254
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dividends, effect of on premiums, 248-250
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exercise, 250-253
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in-the-money, 246-247
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out-of-the-money, 246-247
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pricing, 247-248, 249
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implied volatility, 248 |