Profiting with Synthetic Annuities: Option Strategies to Increase Yield and Control Portfolio Risk

3. Tracking Performance

This chapter introduces the administrative tools and graphic displays used in the book to illustrate SynAs. The material also presents the basic metrics for describing and tracking performance. If you trade options and use cost basis or net principle in your trading decisions, you are probably already familiar with the ideas behind most of this material.

If you are new to structured securities, please keep in mind this chapter provides only a brief overview of option Greeks. The examples in the chapters on setup and management of SynAs (Chapters 4, “Covered Synthetic Annuities,” and 5, “Managing a Covered Synthetic Annuity”) should provide a more meaningful context and interpretation of the Greeks and the rationale behind ...