109 lines
3.2 KiB
Plaintext
109 lines
3.2 KiB
Plaintext
Index
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Ratio call writing (continued)
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dissimilarity, 210-211
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ratio write, 146-149
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objections, two, 148-149
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probability curve for stock movement, 149
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profit range, 14 7
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ratio spread as, 213-214 (see also Ratio call
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spreads)
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and reverse hedge (simulated straddle), similarity of,
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154
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risk, two-sided, 146
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selection criteria, 151-155
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break-even points of position, 151-152
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neutral ratio, 152-154
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volatile stocks preferred, 152
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summary, 168
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not suitable for all investors, 168
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variable, 155-157
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trapezoidal hedge, 155, 156, 157
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Ratio put spread, 358-361 (see also Ratio spreads)
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calendar spread, 361-364
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Ratio put writing, 300-301
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Ratio spreads, effects on of implied volatility changes,
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780-781
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Ratio spreads using puts, 358-366
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ratio calendar combination, 364-366
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ratio put spread, 358-361
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deltas, 361
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follow-up action, 360-361
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limited upside risk, large downside risk, 358, 359
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ratio put calendar spread, 361-364
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and naked options, 362-363
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Ratio strategies, applying mathematical calculations of
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volatility to, 480-482
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Regression analysis, 566
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Reversals, 254-255, 428-430, 431-438 (see also
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Arbitrage)
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risks in, four, 433-437
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Reverse calendar spread, 230-232 (see also Reverse
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spreads)
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selling, 833-834
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Reverse carrying charge market, 697
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Reverse conversion, 428-430, 431-438
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risks in, four, 433-437
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Reverse hedge 123-128, 130, 131 (see also Call buying
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strategies)
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ratio writing, similarity to, 154-155
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straddle buying, equivalent to, 283
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Reverse ratio spread (backspread), 232-235 (see also
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Reverse spreads)
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Reverse spreads, 230-235
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backspread, 232-235 (see also Reverse spreads,
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reverse ratio spread)
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reverse calendar spread, 230-232
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margin requirements onerous, 230, 231-232
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used infrequently, 230
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reverse ratio spread (backspread), 232-235
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and delta-neutral spread, 234-235
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early exercise, possibility of, 235
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established for credits, 233
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investment small, 233-234
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limited risk, 233
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volatile stocks preferable, 235
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Rho, 864-865
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for LEAPS or warrants, 873
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Risk arbitrage, 21, 426-427, 445-454 (see also
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Arbitrage)
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"hooks," 449-450
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limits on merger, 448-450
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mergers, 445-448
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tender offers, 451-454
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Risk-free interest rate, 14
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Rolling action, 71-80, 94, 158-160
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alternative, 76-77
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debit incurred in roll-up, 80-81
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different expiration series, using, 78-79
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partial, 77
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Rolling for credits, 140-144
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Martingale strategy, 140, 145
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Rolling down strategy, 112-116, 628-629
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LEAPS, 394
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and protective put, 276
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Rolling forward/down, 83-85
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Rolling up, 109-110, 267-269, 628-629
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"Round-tum" commission, 665-666
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Rubenstein, Professor Mark, 797
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Russell 2000 Growth Fund, 638, 788
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Russell 2000 Value Fund, 638, 788
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S&P: see also Standard & Poor
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Scientific American, 796
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Sector, 500
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Semiconductor Index ($SOX), 588, 6,39
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HOLDRS, 639
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Serial options, 663-666
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Series of options, ,5-6
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Short-sale rule, 923-924
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Short tendering, 453
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Short-term trading, call buying and, 102
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Sigma, 783-786
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Simpson's Rule, 471
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Simulated straddle, 123-128 (see also Call buying
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strategies)
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ratio writing, similarity to, 154-155
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SIS (Stock Index return Security), 596-601
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cash value formula, 596-597
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imbedded call, 597-598
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issued in 1993 and matured in 2000, 596
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995 |