Trading Options Greeks : How Time, Volatility, and Other Pricing Factors Drive Profits.
Dan. Passarelli
Bok Engelsk 2012 · Electronic books.
| Omfang | 1 online resource (366 pages)
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|---|---|
| Utgave | 2nd ed.
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| Opplysninger | Cover -- Title Page -- Copyright -- Disclaimer -- Contents -- Foreword -- Preface -- A New Direction -- Trading Strategie -- This Second Edition of Trading Option Greeks -- Acknowledgments -- Part I: The Basics of Option Greeks -- Chapter 1: The Basics -- Contractual Rights and Obligations -- Opening and Closing -- Open Interest and Volume -- The Options Clearing Corporation -- Standardized Contracts -- ETFs, Indexes, and HOLDRs -- ETF Options -- Index Options -- HOLDR Options -- Strategies and At-Expiration Diagrams -- Buy Call -- Sell Call -- Sell Put -- Buy Put -- Measuring Incremental Changes in Factors Affecting Option Prices -- Chapter 2: Greek Philosophy -- Price vs. Value: How Traders Use Option-Pricing Models -- Delta -- Dynamic Inputs -- Moneyness and Delta -- Effect of Time on Delta -- Effect of Volatility on Delta -- Effect of Stock Price on Delta -- Gamma -- Dynamic Gamma -- Theta -- Taking the Day Out -- Friend or Foe? -- The Effect of Moneyness and Stock Price on Theta -- The Effects of Volatility and Time on Theta -- Vega -- Implied Volatility (IV) and Vega -- The Effect of Moneyness on Vega -- The Effect of Implied Volatility on Vega -- The Effect of Time on Vega -- Rho -- Put-Call Parity -- The Effect of Time on Rho -- Why the Numbers Don't Don't Always Add Up -- Where to Find Option Greeks -- Caveats with Regard to Online Greeks -- Thinking Greek -- Notes -- Chapter 3: Understanding Volatility -- Historical Volatility -- Standard Deviation -- Standard Deviation and Historical Volatility -- Implied Volatility -- Supply and Demand: Not Just a Good Idea, It's the Law! -- Should HV and IV Be the Same? -- Expected Volatility -- Expected Stock Volatility -- Expected Implied Volatility -- CBOE Volatility Index -- Implied Volatility and Direction -- Calculating Volatility Data -- Volatility Skew -- Term Structure of Volatility.. - 8. Realized Volatility Falls, Implied Volatility Remains Constant -- 9. Realized Volatility Falls, Implied Volatility Falls -- Note -- Part IV: Advanced Option Trading -- Chapter 15: Straddles and Strangles -- Long Straddle -- The Basic Long Straddle -- Trading the Long Straddle -- Short Straddle -- The Risks with Short Straddles -- Trading the Short Straddle -- Short-Straddle Example -- Synthetic Straddles -- Long Strangle -- Long-Strangle Example -- Short Strangle -- Short-Strangle Example -- Limiting Risk -- How Cheap Is Too Cheap? -- Note -- Chapter 16: Ratio Spreads and Complex Spreads -- Ratio Spreads -- Backspreads -- Ratio Vertical Spreads -- How Market Makers Manage Delta-Neutral Positions -- Through Your Longs to Your Shorts -- Trading Flat -- Hedging the Risk -- Trading Skew -- When Delta Neutral Isn't Direction Indifferent -- Managing Multiple-Class Risk -- Chapter 17: Putting the Greeks into Action -- Trading Option Greeks -- Choosing between Strategies -- Example 1 -- Example 2 -- Managing Trades -- The HAPI: The Hope and Pray Index -- Adjusting -- About the Author -- Index.. - Keys to Success -- Greeks and Wing Spreads -- Directional Butterflies -- Constructing Trades to Maximize Profit -- Three Looks at the Condor -- The Retail Trader versus the Pro -- Notes -- Chapter 11: Calendar and Diagonal Spreads -- Calendar Spreads -- Buying the Calendar -- Managing an Income-Generating Calendar -- Rolling and Earning a "Free" Call -- Trading Volatility Term Structure -- Selling the Front, Buying the Back -- Buying the Front, Selling the Back -- A Directional Approach -- The In-or-Out Crowd -- Double Calendars -- Diagonals -- A Good Ex-Skews -- Making the Most of Your Options -- Double Diagonals -- The Strength of the Calendar -- Note -- Part III: Volatility -- Chapter 12: Delta-Neutral Trading: Trading Implied Volatility -- Direction Neutral versus Direction Indifferent -- Delta Neutral -- Why Trade Delta Neutral? -- Portfolio Margining -- Trading Implied Volatility -- The Rush and the Crush -- The Inertia of Volatility -- Volatility Selling -- Conclusions -- Chapter 13: Delta-Neutral Trading: Trading Realized Volatility -- Gamma Scalping -- Day One -- Day Two -- Day Three -- Day Four -- Days Five and Six -- Day Seven -- Art and Science -- Gamma, Theta, and Volatility -- Gamma Hedging -- Day One -- Day Two -- Day Three -- Day Four -- Days Five and Six -- Day Seven -- Conclusions -- Smileys and Frowns -- Chapter 14: Studying Volatility Charts -- Nine Volatility Chart Patterns -- 1. Realized Volatility Rises, Implied Volatility Rises -- 2. Realized Volatility Rises, Implied Volatility Remains Constant -- 3. Realized Volatility Rises, Implied Volatility Falls -- 4. Realized Volatility Remains Constant, Implied Volatility Rises -- 5. Realized Volatility Remains Constant, Implied Volatility Remains Constant -- 6. Realized Volatility Remains Constant, Implied Volatility Falls -- 7. Realized Volatility Falls, Implied Volatility Rises.. - Vertical Skew -- Note -- Chapter 4: Option-Specific Risk and Opportunity -- Long ATM Call -- Delta -- Gamma -- Theta -- Vega -- Rho -- Tweaking Greeks -- Long OTM Call -- Long ITM Call -- Long ATM Put -- Finding the Right Risk -- It's All About Volatility -- Direction Neutral, Direction Biased, and Direction Indifferent -- Are You a Buyer or a Seller? -- Options and the Fair Game -- Note -- Chapter 5: An Introduction to Volatility-Selling Strategies -- Profit Potential -- Gamma-Theta Relationship -- Greeks and Income Generation -- Naked Call -- Would I Do It Now? Rule -- Short Naked Puts -- Covered Call -- Covered Put -- Curious Similarities -- Chapter 6: Put-Call Parity and Synthetics -- Put-Call Parity Essentials -- Dividends -- Comparing Synthetic Calls and Puts -- American-Exercise Options -- Synthetic Stock -- Synthetic Stock Strategies -- Conversions and Reversals -- Pin Risk -- Theoretical Value and the Interest Rate -- A Call Is a Put -- Note -- Chapter 7: Rho -- Rho and Interest Rates -- Rho and Time -- Considering Rho When Planning Trades -- LEAPS -- Pricing in Interest Rate Moves -- Trading Rho -- Notes -- Chapter 8: Dividends and Option Pricing -- Dividend Basics -- Dividends and Option Pricing -- Dividends and Early Exercise -- Dividend Plays -- Strange Deltas -- Inputting Dividend Data into the Pricing Model -- Good and Bad Dates with Models -- Dividend Size -- Part II: Spreads -- Chapter 9: Vertical Spreads -- Vertical Spreads -- Bull Call Spread -- Bear Call Spread -- Credit and Debit Spread Similarities -- Bear Put Spread -- Bull Put Spread -- Verticals and Volatility -- The Interrelations of Credit Spreads and Debit Spreads -- Building a Box -- Verticals and Beyond -- Note -- Chapter 10: Wing Spreads -- Condors and Butterflies -- Taking Flight -- Condor -- Iron Condor -- Butterflies -- Iron Butterflies -- Long Butterfly Example.. - A top options trader details a practical approach for pricing and trading options in any market condition The options market is always changing, and in order to keep up with it you need the greeks-delta, gamma, theta, vega, and rho-which are the best techniques for valuing options and executing trades regardless of market conditions. In the Second Edition of Trading Options Greeks, veteran options trader Dan Pasarelli puts these tools in perspective by offering fresh insights on option trading and valuation. An essential guide for both professional and aspiring traders, this book explains the greeks in a straightforward and accessible style. It skillfully shows how they can be used to facilitate trading strategies that seek to profit from volatility, time decay, or changes in interest rates. Along the way, it makes use of new charts and examples, and discusses how the proper application of the greeks can lead to more accurate pricing and trading as well as alert you to a range of other opportunities. Completely updated with new material Information on spreads, put-call parity and synthetic options, trading volatility, and advanced option trading is also included Explores how to exploit the dynamics of option pricing to improve your trading Having a comprehensive understanding of the greeks is essential to long-term options trading success. Trading Options Greeks, Second Edition shows you how to use the greeks to find better trades, effectively manage them, and ultimately, become more profitable.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781118225127
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