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Options Math for Traders: How To Pick the Best Option Strategies for Your Market Outlook, + Website by Scott Nations

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INDEX

A

Annualizing yield

Ask price. See also Bid-ask spread

Asymmetry, volatility

At-the-money

covered calls

selling

puts, selling

B

Behavioral theory of volatility slope

Bid-ask spread

and calendar spreads

and competition

and covered calls

delta’s impact on

equity options

Google (GOOG) option bids and offers

by implied volatility

fair value of option based on

market makers

market participants

of multi-legged spreads

for option spreads

and selling puts

SPX option bids and offers

by implied volatility

SPY option bids and offers

by implied volatility

Black-Scholes formula

for value of call option

for value of put option

Black-Scholes option pricing model

assumptions

example

inputs to

sensitivity of option prices to changes in

Bondarenko, Oleg

Breakeven points

for covered call

downside

upside (regret)

put and call vertical spread

Buywrite

C

Calendar spreads

catalysts

follow-up

after being assigned

after getting it wrong

for successful directional calendar

super calendar

taking a small loss

long, and implied volatility

impact of changes in

maximum profit and loss

neutral, bullish, and bearish

bullish becomes bearish

profitability by moneyness

payoff at front-month expiration

Calendar spreads

the phenomena and

bid/ask spread

daily erosion

implied volatility

skew

time decay

volatility risk premium

profitability without movement

sensitivities

Call option

breakeven level for

covered. See Covered calls

price components

Chicago Board Options Exchange (CBOE)

Competitive Market Makers (CMMs) ...

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