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Liquidating Option Positions
Changes in Volatility
MAJOR STRATEGIES 45
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11 days 34 Expected 500 March futures 53 Expected volatility 851.5 Interest rate Bear Call Spread Bear Put Spread bearish Break-even Bull Call Spread bullish Buy futures buying calls calendar spread calls and puts Cumulative Probability Deviations Days to expiration debit Delta Gamma delta neutral Equivalent Strategy expiration Standard Price Figure ﬁrst futures contract Futures fell futures position futures price Futures rose Gain Cumulative Probability high volatility higher strike calls implied volatility in-the-money increased volatility Initial Premium Premium intrinsic value Keep futures Less than Price Liquidate low volatility lower strike call Move Gain Cumulative moving average out-of-the Premium Premium Proﬁt Premium Proﬁt Loss Price Level 3.0 Price Level Loss Price Move Gain Profit/(Loss proﬁtable Results at expiration Risk/Reward Profile short futures Soybean November futures standard deviation Standard Price Move straddle strangle Strike Initial Premium strike price underlying futures V V V vega VVVV VVVVV