104 lines
2.9 KiB
Plaintext
104 lines
2.9 KiB
Plaintext
Index
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Delta (continued)
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and implied volatility, 753-754, 755-756
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of LEAPS, 387-390
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put delta, 389-390
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option delta, 849
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position delta, 849-853
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spread, 484
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Delta-neutral spreads:
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calendar spreads, 227-228 (see also Calendar and
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ratio spreads)
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effects on of implied volatility changes, 755-756
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Delta-neutral trading, 167-168, 868-879
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Delta of option, 99-101
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of futures aption, 676-677
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"Delta spread," 213, 216-217 (see also Ratio call
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spread)
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for ratio put spread, 361
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Depository Trust Corp. (DTC), 43
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Diagonal butterfly spread, 350-353 (see also Spreads
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combining calls and puts)
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Diagonal spread, 169, 236-241 (see also Spread,
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diagonalizing)
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backspreads, 240-241
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bear spread, 239-240
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bull spread, 177, 236-239
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and LEAPS, 405-407
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backspread,407-408
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Dividend arbitrage, 425-428
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Dividends:
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influence of on option price, 14-15
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and LEAPS, effect on, 371-374
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put option premiums, effect of on, 248-250
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from structured products, 594
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Divisor, 494-496, 497-500, 568
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"Dogs of the Dow" Index, 594
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Dow Jones Industrial Average, 494, 499, 793
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30 Industrials ($DIX), 501, 502, 582
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Top 10 Yield index ($XMT), 594
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Down delta concept, 100-101
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Elliott Wave theory, 796
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Equity-linked notes, 618
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Equivalent futures position (EFP), 676-677, 853
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Equivalent stock position (ESP), 162-163, 167,
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853
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in ratio call spreads, 220-221
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of straddle, 312-313
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Equivalent strategies, 943-944
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"European" exercise, 501-504, 647
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options, 7
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Even money spread, 240
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"Ever" probability calculator, 805-806
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Excess value of option price, effect on of implied
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volatility changes, 762-765
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"greeks" to measure, 763-764
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Exchange-Traded Funds (ETFs), 637-639
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987
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Holding Company Depository Receipts (HOLD RS),
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639
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iShares, 638
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options on, 637
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sector, 638
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Standard & Poor's Depository Receipt (SPDR), 637-
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638
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Creation Units, 638
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Exercise of cash-based options, 501-504
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Exercise price, definition, 3-4
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Exercising option, 6-7, 15-16
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after, 17
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commissions, 17-18
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early, due to discount, 19-20
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early, due to dividends on underlying stock, 20-22
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Exotic options, 590
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Expiration date, 4
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standardization, 5
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Exxon (XON), 567
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Facilitation, 455, 482-485 (see also Mathematical
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applications)
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Fat tails, 790- 792, 810, 828
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Financial engineers, role of in structured products, 590
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Foreign currency options, 671-673
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Formulae, 947-956
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"Fudge factor," 731, 733
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Futures, 506-512 (see also Index option products)
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calculating fair value of, 533-534
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factors, four, 533
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T-bill rate, use of, 534
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contracts, 653-660 (see also Futures and futures
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options)
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on physicals, 653 (see also Futures and future
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options)
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Futures and futures options, 652-695
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futures contracts, 653-660
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"cash," 653-654
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cash-based/cash settlement futures, 653
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delivery, 658-659
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expiration dates, 656-657
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first notice day, 659
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futures on physicals, 653
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hedging, 653-655
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limits, 657-658
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month symbols, 665
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notice period, 659
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and options, differences between, 653 |