لایب سان

Author(s): Mark Sebastian

Publisher: De Gruyter, Year: 2022

ISBN: 3110697785,9783110697780

Contents Acknowledgments VII Foreword IX Preface XIX Introduction 1 Part 1: Professional Lessons Every Trader Needs to Know Chapter 1 Trading in Options 7 The One-Man Insurance Company (TOMIC) 8 Build an Infrastructure 9 Build a Trading Plan 9 Select Trades Based on Articulated Criteria 10 Manage Risks 11 Learn All the Essential Elements of Trading 12 Chapter 2 Risk Management 14 The Option Pricing Model 14 The Options Greeks 15 Delta 16 Change in Underlying Price 17 Change in Strike Price 18 Time to Expiration 18 Volatility 19 Gamma 20 Price of the Underlying 22 Strike Price 22 Time to Expiration 23 Volatility 24 Vega 27 Price of the Underlying 28 Strike Price 28 Time to Expiration 29 Volatility 30 Theta 31 Price of the Underlying 31 Strike Price 32 Time to Expiration 34 Chapter 3 Market Makers, Risk, and the Individual Trader 36 How Market Makers Make Money 36 Skew 39 Term Structure 40 Market Maker Size 41 Market Maker Global Risk 42 Chapter 4 Volatility 44 Realized Volatility 44 Zone 1 Ultra-low Volatility 44 Zone 2 46 Zone 3 48 Zone 4 50 Implied Volatility 52 Zone 1 52 Zone 2 53 Zone 3 54 Zone 4 55 Volatility in 2020 55 Chapter 5 What Is Edge? 59 Edge 59 10-Day HV 60 20-Day HV 61 60-Day HV 61 Review the IV of the Product 62 IV30 63 Term Structure 64 Skew 65 Know the Zone of the Market 67 Select the Trade 67 XIV Contents Chapter 6 Locking in Edge 70 The Retail Trader 71 Establish the Option You Want to Trade 71 Establish the Offsetting Contract 72 The Hard and Soft Side of a Trade 72 Execute, Manage, Exit 74 Part 2: Using Spreads Chapter 7 A Review of Basic Spreads 77 The Vertical Call Spread 77 The Put Spread 78 The Straddle 82 Long Straddle 82 Short Straddle 83 The Strangle 85 Long Strangle 85 Short Strangle 86 Chapter 8 A Closer Look at Advanced Spreads 88 The Iron Butterfly 88 The Short Iron Butterfly 88 The Long Iron Butterfly 92 Standard Butterfly 93 The Iron Condor 95 The Short Iron Condor 96 The Calendar Spread 98 The Long Calendar 99 The Short Calendar 100 Front and Back Spreads 101 Back Spreads 101 Front Spreads 102 Contents XV Chapter 9 Adding Edge to Spreads 104 Credit/Debit Spreads 104 Volatility 106 Skew 108 Management 110 A Few Words on Adjusting 112 Chapter 10 Butterflies and Condors 113 The Butterfly 113 Trading a Butterfly 114 Targeting Profit in a Butterfly 119 Condors 119 Strangle 119 IV and HV 120 Skew 122 Set Up and Management 124 Chapter 11 The Front Spread 125 What Is a Front Spread? 125 Creating a Front Spread 126 The Broken Wing Butterfly 130 Trade Management 131 Beginning of Front Spread in TSLA 132 Target Profit 133 Broken Wing Butterfly Variation 134 Chapter 12 Calendar Spreads 136 Creating a Calendar 137 Evaluate Overall Implied Volatility 138 Evaluate Term Structure 139 Evaluate Event Risk 141 Evaluate Realized Volatility 141 Choose the Right Strikes 142 Execute the Trade 143 Manage the Trade 145 Exit 145 XVI Contents Part 3: Global Risk and Volatility Chapter 13 How a Market Maker Trades 149 Market Making 149 The Trader 152 Chapter 14 Portfolio Greeks 155 Delta 155 Gamma 156 Theta and Vega 156 Theta 156 Vega 157 Managing a Book 162 Chapter 15 Trading Volatility 163 The VIX 163 The Weekend Effect 165 VIX Futures 166 VIX Options 169 Chapter 16 Trading VIX ETPs 175 VIX ETPs and the Issue of Contango 175 Inverse Volatility ETPs 177 Trading Volatility ETPs 179 Part 4: Appendix Appendix A Important Terms 185 List of Figures 201 List of Tables 205 About the Authors 207 Index 209

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