107 lines
3.0 KiB
Plaintext
107 lines
3.0 KiB
Plaintext
988
|
||
Futures and futures options (continued)
|
||
position limits, 657
|
||
pricing, 659-660
|
||
speculating, 655-656
|
||
spot and spot price, 658
|
||
as stock with expiration date, 653
|
||
tenns, 656-657
|
||
trading hours, 657
|
||
trading limits, 657-658
|
||
units of trading, 657
|
||
futures options trading strategies, 67 4-683
|
||
delta, 676-677
|
||
equivalent futures position (EFP), 676-677
|
||
follow-up actions, 692-694
|
||
limit bid, 679
|
||
limit offered, 680
|
||
mathematical considerations, 677-679
|
||
mispricing strategies, common, 683-694 (see also
|
||
Futures and futures option, mispricing strate
|
||
gies)
|
||
price relationships, 67 4-676
|
||
summary, 694
|
||
and trading limits, 679-683
|
||
mispricing strategies, common, for futures options,
|
||
683-694
|
||
backspreading puts, 686-688
|
||
follow-up action, 692-694
|
||
implied volatility, 685
|
||
points, 687-688
|
||
ratio spreading calls, 688-689
|
||
strategies for profiting, two, 685-689
|
||
summary, 694
|
||
volatility skewing, 683, 685, 693-694
|
||
which strategy to use, 690-692
|
||
options on futures, 660-673
|
||
assignment, 673
|
||
automatic exercise, 662-663
|
||
bid-offer spread, 665
|
||
cash settlement future, 661
|
||
commissions, 665
|
||
customer margin system, 667, 671
|
||
definition, 660
|
||
description, 660-662
|
||
exercise, 673
|
||
foreign currency options, 671-673
|
||
margins, 666-671
|
||
mathematical considerations, 677-679
|
||
month symbols, 665
|
||
notice day, 661-662
|
||
Philadelphia Stock Exchange (PHUC), 671, 673,
|
||
678-679
|
||
physical currency options, 671-673
|
||
on physical futures, 661, 678-679
|
||
position limits, 666
|
||
quote symbols, 664
|
||
"round-tum" commission, 665-666
|
||
serial options, 663-666
|
||
Index
|
||
SPAN margin (Standard Portfolio Analysis of
|
||
Risk), 667-671 (see also SPAN)
|
||
striking price intervals, 662
|
||
standardization less than for equity or index options,
|
||
652
|
||
summary, 695
|
||
Futures Magazine, 661
|
||
Futures option strategies for futures spreads, 696-721
|
||
futures options, using in futures spreads, 704-720
|
||
calendar spread, 704-709
|
||
follow-up considerations, 714-719
|
||
intramarket spread strategy, 719
|
||
long combinations, 709-714
|
||
spreading futures against stock sector indices,
|
||
719-720
|
||
futures spreads, 696-704
|
||
contango, 697
|
||
crack spread, 702-704
|
||
cross-currency spreads, 701
|
||
intermarket, 700-704
|
||
intramarket, 697-700
|
||
pricing differentials, 696-697
|
||
reverse carrying charge market, 697
|
||
TED spread, 701-702, 712-714
|
||
summary, 720-721
|
||
Futures spread, futures option strategies for, 696-721
|
||
(see also Futures option strategies)
|
||
Gamma, 853-859, 867, 882
|
||
neutral spread, 882
|
||
Gamma of the gamma, 865-866, 902-905
|
||
GARCH (Generalizes Autoregressive Conditional
|
||
Heteroskedasticity), 731-732, 814, 819
|
||
General Electric (GE), 567
|
||
General Motors (GM), 567
|
||
Gold and Silver Index (XAU), 588, 719
|
||
Good-until-canceled order, 34
|
||
Government National Mortgage Association
|
||
certificates, 420
|
||
Graphs, 957-960
|
||
"Greeks," 848-866 (see also Advanced concepts)
|
||
calculating, 901-902
|
||
to measure excess value, 763-764
|
||
Hedge ratio, 99-101, 457
|
||
advantages of, 482-485
|
||
delta spread, 484
|
||
neutral spread, 483-485
|
||
Hedge wrapper, 275
|
||
Hedging, futures contracts and, 653-655 |