110 lines
3.2 KiB
Plaintext
110 lines
3.2 KiB
Plaintext
996
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SIS (Stock Index return Security) (continued)
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track record, 598, 599
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trading at discount to cash value, 598-600
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trading at discount to guarantee price, 600-601
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60/40 rule, 919-920
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SPAN (Standard Portfolio Analysis of Risk), 514-515,
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667-671
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advantages,667
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example, 668, 669, 670
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how it works, 667-671
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maintenance margin, 667
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purpose, 667
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risk array, 667, 668, 669
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Speculating in futures contracts, 655-656
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Splitting quote, 171
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Splitting strikes, 325-328 (see also Synthetic stock
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positions)
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Spot/spot price for futures contracts, 658
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Spread, diagonalizing, 236-241
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advantage,236,241
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backspreads,240-241
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even-money spread, 240
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bear spread, 239-240
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bull spread, 236-239
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often improvement over normal bull spread, 239
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definition, 236
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for any type of spread, 241
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Spreads, 76, 168-171 (see also under particular head)
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backspread,232-235
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diagonal, 240-241
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bear, using call options, 186-190
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bull, 110-111, 113-116, 117, 172-185
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butterfly, 200-209
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calendar, 116-117, 191-199
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categories, three, 169
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definition, 168
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diagonal, 169, 236-241 (see also Spreads,
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diagonalizing)
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even money, 240
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horizontal, 169
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using LEAPS, 403-409 (see also LEAPS)
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"leg" into, 171
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out of, 180, 207
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out-of-the-money call spread, 222-225
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ratio call, 210-221
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reverse, 230-235
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reverse calendar, 230-232
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reverse ratio, 232-235
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unequal tax treatment on, 929-930
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vertical, 169
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Spread order, 169-171
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Spreads combining calls and puts, 336-357
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butterfly spread, 336-338
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arbitrageur, role of, 338
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box spread, 338
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commissions high, 338
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Index
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equivalent of completely protected straddle write,
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338
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establishing, four ways for, 336-338
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striking prices, three, 336
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calendar combination, 345-348, 353-354, 356-357
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superior to calendar straddle, 349-350
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calendar straddle, 348-350, 354, 356-357
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as neutral strategy, 349
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criteria for, three, 354
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inferior to calendar combination, 349-350
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diagonal butterfly spread, 350-353, 354-355, 356-357
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criteria, four, 355
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legging out, 351-352
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follow-up action for bull or bear spreads, 341-344
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option purchase and spread, combining, 339-341
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bearish scenario, 341, 342
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bullish scenario, 339-340, 342
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selecting, 353-356
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criteria, five, 353-354
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summary, 356-357
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Standard Portfolio Analysis of Risk (SPAN), 514-515
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Standard & Poor (S&P):
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Depository Receipt (SPDR), 637-638
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expiration, 510-511
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100 Index (OEX), 497, 500-501, 582-583
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400 Index, 497
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500 Futures, 532
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500 Index (SPX), 497, 502, 507, 583, 584
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Standard & Poor's Stock/Bond Guide, 88
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Stock:
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buying below its market price, 299-300
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underlying, price of as related to option price, 9-10
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Stock index hedging strategies, 531-578
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follow-up strategies, 557-559
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rolling to another month, 557-559
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impact on stock market, 561-565
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"circuit breaker" of NYSE, 562
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at expiration, 564-565
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before expiration, 561-563
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portfolio insurance, 563-564
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regulatory bodies, concern of, 562
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trading ban, 562
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index, simulating, 566-574
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hedge, monitoring, 572-573
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high-capitalization stocks, using, 566-571
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largest-capitalization stocks, four, 567
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options instead of futures, using, 573-57 4
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regression analysis, 566
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tracking error risk, 571-572
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index arbitrage, 547-556
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commissions, 552-554
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computerized method of order entry, 555-556 |