Jeff Augen’s Options Trading Strategies (Collection)

Index

A

absolute values, 220

Amazon.com (AMZN), 19

analysis

statistical analysis facility, 258–264

tools, 16–21

“A New Method to Determine the Value of Derivatives,” 23

announcements, exploiting, 207–209, 212–216

annualizing volatility

calculations, 51

Apple Computer (AAPL), 93, 214

covered calls and puts, 142

differential volatility, 67

price spike chart for, 104

ratio calls

backspread, 167

spreads, 164

volatility smiles, 72

arbitrages, 25

Black-Scholes model, 32

Asia, market collapse in(1997), 2

ask, assumptions of stock rise and fall, 6

assessing volatility, 47–48

calculating historical, 50–60

profiling price change behavior, 61–75

standard deviations and, 48–50

at-the-money straddle, 238

B

Bachelier, Louis, 24

backspread, ratio call, 167 ...