104 lines
3.0 KiB
Plaintext
104 lines
3.0 KiB
Plaintext
984
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Assignment of options, 7, 16-22
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anticipating, 18-22
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automatic, 18-19
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call options, 7
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of cash-based options, 501
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commissions, 17-18
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margin requirements, 16-17
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put options, 7
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Backspreads, 232-235 (see also Reverse spreads)
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diagonal, 240-241
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effect on of implied volatility changes, 781-782
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and LEAPS, 407-408
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Bear spreads using call options, 186-190
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call bear spread, 186-188
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as credit spread, 186
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follow-up action, 190
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assignment of short call, impending, 190
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selecting, 189-190
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an aggressive position usually, 189
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summary, 190
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Bear spread, put, 329-332 (see also Put spreads, basic)
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Beta, 533-539
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Black, Fisher, 459
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Black-Scholes model, 456-466, 538, 610, 611, 635, 640,
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644-645,646,647-648,651,677,678, 731,734,
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758, 767-768, 798,902 (see also Mathematical
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applications)
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Black model, 647-648, 651, 677
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characteristics, 459-461
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dividends paid by common stock not included, 459
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formula, 456-457
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hedge ratio, 457
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historical volatility, lognormal, computing, 461-466
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lognormal distribution of stock prices, 460
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vega, 750
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volatility, computation of, 460-466
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weighting factor, 459-460, 463-465
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Block positioning, 455, 482-485 (see also Mathematical
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applications)
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Board broker system, 22
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Box spread, 338, 439-44,3, 643-644
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risks, 443
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"Box" stock, 432
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Broad-based indices, 500
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Brownian motion, 806
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Bull spread, structured product as, 608-612
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valuing, 610-612
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Bull spreads, 110-111, 113-116, 117, 172-185
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aggressiveness, degrees of, 175-176
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call bull spread, 172-173
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effect on of implied volatility changes, 767-775
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follow-up action, 178-180
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credit spread, 179
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"legging" out of spread, 180
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and outright purchase, comparison of, 179
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and LEAPS, 403-404
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ranking, 176-178
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diagonal bull spread, 177
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summary, 185
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uses, other, 180-184
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Index
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break-even price on common stock, lowering, 182,
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183
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simple form of spreading, 180, 185
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as "substitute" for covered writing, 182-184
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vertical, 172
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when options are expensive, 177
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Bull spread, put, 332-333 (see also Put spreads, basic)
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Bullish calendar spread, 196-198 (see also Calendar
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spread)
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Butterfly spread, 200-209, 336-338 (see also Put
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spreads, basic)
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combination of bull and bear spreads, 200, 209
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commissions costly, 200, 203
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example, 201
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follow-up action, 206-209
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assignment, 206
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"legging out," 207
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neutral position, 200
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results of at expiration, 201-203
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selecting, 203-206
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striking prices, three, 200-203
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summary, 209
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Calendar combination of calls and puts, 345-348
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Calendar spread, 116-117, 191-199
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as antivolatility strategy, 194
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bullish, 196-198, 199
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follow-up action, 197-198
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definition, 191
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expiration series, using all three, 198-199
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horizontal spread, 191
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in volatility trading, 825-826
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and LEAPS, 408-409
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mathematical calculations of volatility, applying lo.
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478-480
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neutral, 192-194, 199
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follow-up action, 194-196
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volatility, effect of, 194
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summary, 199
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time spread another name, 191
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volatility changes, effect of on, 778-780
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with futures options, 704-709 (see also Futtm's
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options and strategies) |