لایب سان

Author(s): Sheldon Natenberg

Publisher: McGraw-Hill Education, Year: 2014

ISBN: 0071818774,9780071818773

Contents Preface xiii 1 Financial Contracts 1 Buying and Selling 5 Notional Value of a Forward Contract 6 Settlement Procedures 6 Market Integrity 10 2 Forward Pricing 12 Physical Commodities (Grains, Energy Products, Precious Metals, etc.) 14 Stock 15 Bonds and Notes 17 Foreign Currencies 17 Stock and Futures Options 19 Arbitrage 19 Dividends 22 Short Sales 23 3 Contract Specifications and Option Terminology 26 Contract Specifications 26 Option Price Components 32 4 Expiration Profit and Loss 37 Parity Graphs 38 5 Theoretical Pricing Models 52 The Importance of Probability 53 A Simple Approach 57 The Black-Scholes Model 61 viii C O N T E N T S 6 Volatility 69 Random Walks and Normal Distributions 69 Mean and Standard Deviation 73 Forward Price as the Mean of a Distribution 76 Volatility as a Standard Deviation 77 Scaling Volatility for Time 78 Volatility and Observed Price Changes 80 A Note on Interest-Rate Products 81 Lognormal Distributions 82 Interpreting Volatility Data 85 7 Risk Measurement I 97 The Delta 100 The Gamma 105 The Theta 108 The Vega 110 The Rho 111 Interpreting the Risk Measures 112 8 Dynamic Hedging 119 Original Hedge 122 9 Risk Measurement II 135 Delta 135 Theta 141 Vega 145 Gamma 149 Lambda (Λ) 154 10 Introduction to Spreading 158 What Is a Spread? 159 Option Spreads 165 11 Volatility Spreads 169 Straddle 170 Strangle 171 Butterfly 173 Condor 176 Ratio Spread 179 Christmas Tree 182 Calendar Spread 182 Time Butterfly 191 Effect of Changing Interest Rates and Dividends 192 Diagonal Spreads 196 C O N T E N T S ix Choosing an Appropriate Strategy 199 Adjustments 201 Submitting a Spread Order 203 12 Bull and Bear Spreads 210 Naked Positions 210 Bull and Bear Ratio Spreads 211 Bull and Bear Butterflies and Calendar Spreads 212 Vertical Spreads 214 13 Risk Considerations 228 Volatility Risk 229 Practical Considerations 235 How Much Margin for Error? 240 Dividends and Interest 240 What Is a Good Spread? 241 14 Synthetics 254 Synthetic Underlying 254 Synthetic Options 256 Using Synthetics in a Spreading Strategy 260 Iron Butterflies and Iron Condors 261 15 Option Arbitrage 265 Options on Futures 268 Locked Futures Markets 270 Options on Stock 271 Arbitrage Risk 274 16 Early Exercise of American Options 293 Arbitrage Boundaries 294 Early Exercise of Call Options on Stock 300 Early Exercise of Put Options on Stock 303 Impact of Short Stock on Early Exercise 306 Early Exercise of Options on Futures 306 Protective Value and Early Exercise 309 Pricing of American Options 310 Early Exercise Strategies 318 Early Exercise Risk 320 17 Hedging with Options 322 Protective Calls and Puts 323 Covered Writes 325 Collars 329 x C O N T E N T S Complex Hedging Strategies 332 Hedging to Reduce Volatility 334 Portfolio Insurance 336 18 The Black-Scholes Model 339 n( x ) and N(x ) 345 A Useful Approximation 351 The Delta 353 The Theta 355 Maximum Gamma, Theta, and Vega 355 19 Binomial Option Pricing 359 A Risk-Neutral World 359 Valuing an Option 361 The Delta 366 The Gamma 368 The Theta 368 Vega and Rho 369 The Values of u and d 369 Gamma Rent 370 American Options 371 Dividends 373 20 Volatility Revisited 381 Historical Volatility 382 Volatility Forecasting 392 Implied Volatility as a Predictor of Future Volatility 395 Forward Volatility 405 21 Position Analysis 411 Some Thoughts on Market Making 428 Stock Splits 439 22 Stock Index Futures and Options 442 What Is an Index? 442 Stock Index Futures 451 Stock Index Options 459 23 Models and the Real World 464 Markets Are Frictionless 465 Interest Rates Are Constant over the Life of an Option 467 Volatility Is Constant over the Life of the Option 469 Trading Is Continuous 472 C O N T E N T S xi Expiration Straddles 477 Volatility Is Independent of the Price of the Underlying Contract 479 Underlying Prices at Expiration Are Lognormally Distributed 479 Skewness and Kurtosis 482 24 Volatility Skews 485 Modeling the Skew 490 Skewness and Kurtosis 496 Skewed Risk Measures 499 Shifting the Volatility 501 Skewness and Kurtosis Strategies 502 Implied Distributions 507 25 Volatility Contracts 512 Realized Volatility Contracts 513 Implied Volatility Contracts 515 Trading the VIX 524 Replicating a Volatility Contract 535 Volatility Contract Applications 537 Afterword: A Final Thought 539 A Glossary of Option Terminology 540 B Some Useful Math 554 Rate-of-Return Calculations 554 Normal Distributions and Standard Deviation 555 Volatility 557 Index 559

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