agricultural commodities 159–60
American-style options 34, 35, 140,
141, 160, 305
boxes, trading 240
put–call parity 232
analysis of a trade 183–5
arbitrage 234–5, 237, 239
asymmetric or broken
ladder 97, 307
long iron butterfly 123
at-the-money (ATM) 10, 26, 198, 305
boxes, trading 240
calendar spread 157, 158, 305
delta 48, 49, 50, 165–9, 306
delta price ratios 178, 306
delta vs gamma, theta and vega 169
early exercise premium 35
gamma 54–7, 165–9, 307
implied volatility vs Greeks 172
long at-the-money call butterfly
131, 132
long at-the-money call condor 143
long at-the-money put butterfly 135
long at-the-money put condor 145
long diagonal call spread 160
long iron butterfly 121
long straddle 110, 112, 113
pin risk 33, 140, 308
short at-the-money call and put
butterflies 136
short straddle 114
theta 59, 165–9, 308
time decay 28, 309
time premium 27, 309
vega 64, 66, 165–9, 189, 309
VIX 185
volatility skews 202, 206, 208, 209,
210, 212, 214, 309
bear spreads, list of 70
bear/long put spread 73–4, 78–80,
196, 197
1×1s and volatility skews 83
short vs long 81–2
strikes 82–3
bear/short call spread 73–4, 76–8, 196
long vs short 81–2
strikes 82–3
bell curve 37–9, 44–5
Black-Scholes model 34, 41, 232
bonds
futures contracts 222
volatility skews 199–201, 207,
210–11, 309
boxes 305
cost of carry on 240
long 233, 237–8
short 233, 239
trading 239–40
break-even level
calls 11, 306
condor with non-adjacent strikes
148
covered write 152–3, 156, 306
Index
Page numbers in bold indicate a glossary entry.
Index 311
hybrid spreads 107, 108, 307
lo ng 1×2 call spread 86
long 1×2 call spread for a credit 88
long 1×2 put spread 89
long at-the-money call butterfly 133
long at-the-money call condor 143
long at-the-money put butterfly 135
long at-the-money put condor 146
long call, short put combo 102
long call spread 75
long iron butterfly 122
long iron condor 128, 129
long ladder/Christmas tree 92, 94,
96, 97
long out-of-the-money call butterfly
138
long out-of-the-money call condor
141–2
long out-of-the-money put butterfly
139
long out-of-the-money put condor
144
long put, short call combo 104, 105
long put spread 79
long straddle 111, 112
long strangle 116
puts 21, 22, 197, 308
short at-the-money call condor 147
short call spread 77
short iron butterfly 124, 125
short iron condor 126, 128
short put spread 81
short straddle 114
short strangle 118, 119
broken or asymmetric
ladder 97
long iron butterfly 123
bull spreads, list of 70
bull/long call spread 73–6, 195
1x1s and volatility skews 83
short vs long 81–2
strikes 82–3
bull/short put spread 73–4, 80–1, 197
long vs short 81–2
strikes 82–3
butterfly 131, 160, 305
additional risks with 140–1
advantages 149
iron see separate entry
long at-the-money call 131–4
long at-the-money put 135–6
long out-of-the-money call 137–8
long out-of-the-money put 138–9
non-adjacent strikes 147–8
short at-the-money call and put
136–7
take a gift 139–40
volatility, dates until expiration and
149
buy-stop 91, 101, 196
buy-write 151–5
risk management 155–7
calendar spread 151, 157–9, 305
risks 159–60
calls 306
at-the-money 10, 26, 198, 305
buying 9–12
common characteristics of puts and
17
comparison of puts and 24
everyday example 4–5
in-the-money 10, 26, 307
long position 24
misconceptions 197–8
naked 13, 307
offering 8–9
out-of-the-money 10, 26, 307
owning 7–8
problems 195–6
selling 12–14
short position 24
summary 14–15
cash payment
dividends, interest rates and margin
vs 29–30
Chicago Board Options Exchange
(CBOE)
contract multiplier 12
European and American style 34, 35

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