ΙΙ−6 ΙΙ−7 ΙΙ−8 ΙΙΙ Options Trading: The Hidden Reality 357 BEAR SPREAD: by BUYING a higher strike PUT. nc rc ς−10 +10oo n=0 rp np + - + - + - + - ς10 10 50 ς10 10 55 10 0 0 0 0 SHORT STRANGLE: by SELLING a different strike CALL. nc rc ς−10 +10oo n=0 rp np + - + - + - + - ς10 10 50 ς10 10 10 10 55 -10 -10 -10 -10 BULL SPREAD: by BUYING a lower strike PUT. nc rc ς−10 +10oo n=0 rp np + - + - + - + - 45 10 10 ς10 10 50 ς10 0 0 0 0 SHORT STRADDLE: by SELLING twice the number of CALLS. nc rc ς−10 +10oo n=0 rp np + - + - + - + - 10 ς10 20 50 ς10 -10 -10 -10 -10 ©1996-2006 Charles M. Cottle RiskDoctor@RiskDoctor.com 10 10 10
Options Trading: The Hidden Reality 406 INDEX Adjustment, 1-2, 15, 29-46, 91, 110, 128, 129-132, 136, 142, 144, 146, 151, 168-170, 185, 191, 210, 222, 227-229, 312-3, 317, 321, 324-5, 350, 352 Arb, Arbitrage, Arbitrageurs, 5, 37, 89-90, 203, 210, 219-220, 238-39, 241, 364-365, 368, 388 Assignment, (Exercise), 10, 12, 53, 77-90, 115, 120, 152, 180-182, 190, 204, 211-217, 247, 364, 366, 369, 372, 375, 377, 378, 401 Automatic exercise, 10, 90, 364 Back end deal, 221 Back spreads, 35, 111, 130, 135-7, 147, 151, 186 Banking, 77, 90,198, 200 Basis of one method, 141 Bear Collar, (see Collar) Bear Spread, (see Vertical Spread) Bid/Ask Spread, 115, 120, 132, 197, 366 Binomial model, 8, 50, 182, 204, 208, 215, 216, 311-312, 366, 389, 392, 402 Black-Scholes, 8, 48-50, 56-62, 66-8, 70-73, 78-9, 84, 123, 198, 202-4, 213-5, 366, 389, 392, 402 Box Spreads, BoxTool, Boxes, Box Dissection, 1, 5, 11, 13, 14, 15, 17- 19, 31-36, 77, 90, 116-117, 119-120, 130, 132, 134, 152-154, 166- 167 171, 174, 189, 196, 200-201, 209-210, 213-218, 220, 222-4, 229, 250-252, 316, 352, 367 Bull Collar, (see Collar) Bull spread, (see Vertical Spread) Butterfly, Iron Butterfly (Wingspread), 19-27, 36, 46, 98, 117, 136-138, 140, 148-179, 185-187, 190-193, 221, 222, 229-30, 233, 236, 237, 245-246, 271, 314, 316, 325, 327, 332, 353-4, 358-359, 367-368, 383, 399 Buy-write (covered write), 2-4, 15, 22, 30, 44, 46, 125, 218, 222, 355, 368, 373 Calendar risk, 184-5 Calendar spreads, 15, 27, 111, 130, 132, 170, 180-195, 227-8, 236, 351, 368, 376, 401 Call, 9, 12, 22, 38, 45-46, 47-48, 360 P&L Graph, 22, 49 Call-Put parity, (see Parity Options) Cap and Floor, (see Collar) Carding trades, 11-12 Carry Cost , (see Cost of Carry) Cash settlement, Cash settled, 53, 76, 78 (OEX), 209-212, 369, 390 Christmas Tree, 26, 243
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