106 lines
3.1 KiB
Plaintext
106 lines
3.1 KiB
Plaintext
Index
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Taxes (continued)
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put buyer, 910
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put writer, 910, 912
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60/40 rule, 912-913
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wash sale rule, 922-923
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TED spread, 701-702, 712-714
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carrying cost, 702
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Tender offers, risk arbitrage and, 451-454
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partial, 454
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short tendering, 453
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two-tier offers, 454
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Theta, 862-864, 866
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position theta, 877
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Time spread, 191-199 (see also Calendar spread)
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. Time value premium, 7-8, 11, 762-765
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and volatility trading, 106-107
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decay, 13-14
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for put options, 246-247
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"greeks" to measure, 763
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Total return concept of covered writing, 45-47, 60-61,
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93
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Tracking error:
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risk, index hedging and, 538,561, 571-572
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trading, 574-577
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Trading against the straddle strategy, 126-127, 287
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Trading options, details of, 27-32 (see also Options)
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Trapezoidal hedge, 155, 156, 157
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Trapezoidal Rule, 471
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Treasury bills, 413-421 (see also Options and
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Treasury bills)
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Uncovered call writing, 132-145 (see also Naked call
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writing)
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call option, 133-134
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Uncovered straddle write equivalent to ratio call write,
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306
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Underlying security, definition, 3
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Underlying stock, price of as factor influencing option
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price, 9-10
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Up delta concept, 100-101
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"Using box stock," 432
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Value Line Index, 532, 579, 582
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Vega of option, 749-753, 860-862 (see also Volatility,
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effects of)
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and excess value, 764
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option or position vega, 757,862
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Vertical put spreads, effect on of implied volatility,
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775-777
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Vertical spread, 169, 186
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Volatility, effect of on popular strategies, 7 49-782
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backspreads, 781-782
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calendar spreads, 778-780
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call bull spreads, 767-775
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vega of option, 768
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implied volatility, effect of, 749-782
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and delta, 753-754
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neutrality, effects on, 755-756
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outright option purchases and sales, 757-762
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position vega, 757
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put bear spreads, 777-778
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put option, 765-766
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ratio spreads, 780-781
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straddle/strangle buying and selling'. 766-767
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summary, 782
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999
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time value premium, 762-765
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delta, 764
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factors, five, 762-763
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"greeks" to measure, 763-764
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vega, 7 49-753
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and excess value, 764
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definition, 7 49-750
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vertical put spreads, 775-777
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Volatility, measuring and trading, 723-931 (see also
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under particular heading)
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advanced concepts, 846-907
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basics of volatility trading, 727-7 48
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definition, 859-860
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most important concept in option trading, 724
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stock prices, distribution of, 783-811
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taxes, 908-931
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volatility, effect of on popular strategies, 7 49-782
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volatility trading techniques, 812-845
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why trade "the market," 724-726
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Volatility, misconceptions about, 783-787
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buyer's rule, 787-789
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Volatility, prediction of, 799-803
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Volatility backspread, 827, 834-836, 841
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margin, 836
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not for LEAPS options, 835
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Volatility in Black-Scholes model, 460
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historical, 461-466 (see also Historical volatility)
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Volatility Index ($VIX), 738, 761, 785-786
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Volatility of stocks, 538-539
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adjusted, 539
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of underlying stock:
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as factor in option price, 13-14
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call option rankings and, 103-106
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Volatility skew, 517, 683, 685, 693-694, 813
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trading, 837-844 (see also Volatility trading)
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Volatility trading, basics of, 727-7 48
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definitions, 728-731
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historical volatility, 728-731
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implied volatility, 727, 732-743
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GARCH (Generalized Autoregressive Conditional
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Heteroskedasticity), 731-732 |