36 lines
1.7 KiB
Plaintext
36 lines
1.7 KiB
Plaintext
888 Part VI: Measuring and Trading Vo/atillty
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Stock
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Price P&L Delta Gamma Theta Vega
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54.46 1905 - 7.40 1.62 0.94 - 1.57
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55.79 1077 - 4.90 2.07 1.18 - 1.96
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57.16 606 1.97 2.13 1.53 - 2.90
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58.56 528 0.74 1.65 2.00 -4.62
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60.00 771 2.38 0.56 2.63 -7.22
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61.47 1127 2.07 - 1.01 3.38 -10.63
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62.98 1252 - 0.87 - 2.85 4.22 -14.56
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64.52 702 - 6.73 - 4.67 5.07 -18.61
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66.11 - 1019 -15.42 - 6.21 5.85 -22.31
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In a similar manner, the position would have the following characteristics after
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14 days had passed:
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Stock
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Price P&L Delto Gamma Theta Vega
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52.31 4221 - 9.10 0.69 0.55 - 0.98
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54.14 2731 - 6.93 1.69 0.75 - 0.89
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56.02 1782 - 2.87 2.51 1.06 - 1.21
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57.98 1717 2.17 2.44 1.61 - 2.69
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60.00 2577 5.85 1.00 2.51 -6.00
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62.09 3839 5.29 - 1.63 3.73 -11.05
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64.26 4361 - 1.55 - 4.61 5.09 -16.90
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66.50 2631 -14.80 - 7.02 6.31 -22.17
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68.82 - 2799 -32.83 - 8.32 7.18 -25.72
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The same information will be presented graphically in Figure 40-13 so that
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those who prefer pictures instead of columns of numbers can follow the discussions
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easily.
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First, the profitability of the spread can be examined. This profit picture
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assumes that the volatility of XYZ remains unchanged. Note that in 7 days, there is a
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small profit if the stock remains unchanged. This is to be expected, since theta was
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positive, and therefore time is working in favor of this spread. Likewise, in 14 days,
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there is an even bigger profit if XYZ remains relatively unchanged - again due to the
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positive theta. Overall, there is an expected profit of $800 in 7 days, or $2,600 in 14
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days, from this position. This indicates that it is an attractive situation statistically, but,
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of course, it does not mean that one cannot lose money. |