84 lines
1.9 KiB
Plaintext
84 lines
1.9 KiB
Plaintext
316 • Index
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Strike prices: (continued )
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long strangle, 206–207
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short diagonal, 239–240
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short put, 215
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short-call spread, 222–228
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Strike–stock price ratio (K/S):
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and change in closing price,
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146–147
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defined, 53–54
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and forward volatility, 67–74
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Structural constraints, 86, 104
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Structural downturns, 302n2
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(Chapter 11)
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Structural growth stage, 94, 95
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Structural impediments, 131–139
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buy-side, 132–136
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and investment strategies,
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137–139
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principals vs. agents, 131–132
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sell-side, 136–137
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Sun Microsystems, 108
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Supply-side constraints, 83
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Symmetry, bias associated with,
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114–118
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T
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“Taking profit” with covered calls, 245
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Taxes, BSM model assumption about,
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32, 40, 46
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Technical analysis, 115
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Tenor, 297n3 (Chapter 3)
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defined, 59
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for long calls, 190–192
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for long puts, 202–203
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for long strangles, 206
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for protective puts, 252–254
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for short puts, 214–215
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for short-call spreads, 222
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Terminal phase, 86
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Time decay, 65–67
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Time horizons:
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long, 279–281
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short, 270–272
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Time value:
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intrinsic vs., 56–59
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of money, 87, 93–95
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Time Warner, 103
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Time-to-expiration assumptions,
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64–67
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Toyota, 97
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Trading restrictions, 32, 40, 46
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Troughs (business-cycle):
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operational leverage in, 283–284
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and peaks, 302–303n2
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Tversky, Amos, 123, 126
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“2-and-20” arrangements, 134
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U
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Uncertainty, 118–119
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Underexposure, 247
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Underlying assets:
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fungible, 272–273
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and future stock price, 33–34
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University of Chicago, 41
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Unlevered investments:
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levered vs., 164–165
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in portfolios, 175–176, 178
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Unrealized losses, 175–176
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Unrealized profit, 254–255
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Unused leg, long strangle, 207
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U.S. Treasury bonds, 45–46
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Utility curves, 124–126
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V
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Valuation:
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golden rule of, 77–89
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multiples-based, 99–100
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shortcuts for, 93–97
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value drivers in, 91–97
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Valuation range:
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BSM cone vs., 160–162
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creating, 122
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and margins of safety, 197–199
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overlaying BSM cone with, 160
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and strike price selection, 192–194
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Valuation risk, 265–267 |