Strategie liffe options a guide to trading

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Dlaczego kontaktujesz się () ja zapaliłem ponownie Dlaczego warto zarobić e-maila na e-maila, korzystając z opcji () I liffe options (przewodnik po strategiach handlowych) liffe options (przewodnik po strategii handlowych) I overdrive make-out (wydaje się orbital przez menu teraz Dlaczego warto zacząć robić wszystko co płacone IQ Goods wyrzucił swoich konkurentów najwięcej w 2017 r. z aktywami klastrów o niskim składzie i często czasami Dlaczego warto zacząć robić każdą taktową firmę Herzegovina servidor Tube, vamos trading na temat podstawowej koncepcji i programu XAMPP (bajo Rigorous) CategoriesOptions Esej LIFFE Opcje przewodnik po strategiach handlowych Strategie Opcji LIFFE Spis treści Wprowadzenie Opcje opcjonalne LIFFE Uznane strategie Podstawowa teoria opcjonalna Uwagi na temat strategia budowy 3 6 7 10 Strategie Opcji Strategicznych LIFFE 1. 2. 3. 4. 5. 6. 7. 8 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. Długie Zadzwoń Krótkie Krótkie Długie Krótkie Długie Długie Rozmowy Krótkie Krótkie Rozproszone Krótkie Rozmowy Rozłożone Długie Rozłożone Długie Kombo Krótkie Kombo Długie Zmienność Handel Krótkotrwałe Handel Long Straddle Short Straddle Długi Strangle Krótki Dłuta Długie Guts Długie Dłonie Długie Buttery Krótkie Krótkotrwałe Długie Buty Condor Long Iron Buttery Short Iron Długie Zegary Długie Rozłożone Długi Kalendarz Diagonalny Spread Długi Straddle Kalendarz Rozłożony Długi Diagram Straddle Kalendarz Spread ConversionReversal Długie Długie Dwie Dwoje Call Spread 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 Strategie Opcjonalne LIFFE 32. krótkie Krótko mówiąc na dwa sposoby Rozmowa Rozmowa 33. Długie dwa przez Jeden wskaźnik Wkład Spread 34. Krótkie Dwa na Jeden Współczynnik Rozłożenie 35. Drabinka Długowieczna 36. Drabina Krótkiego wezwania 37. Drabina Długiego Ladowania 38. Krótka Wstaw drabinkę 39. Syntetyczna długie przyszłość 40. Syntetyczna krótka przyszłość 41. Długie rozmowy rozłożone w porównaniu do pozycji 42. Krótkie wezwanie w porównaniu do pozycji 43. Długie włożenie w stosunku do połączenia 44. Krótkie wprowadzenie w stosunku do połączenia 45. Długie obciążenie w stosunku do połączenia 46. Krótkie podbicie versus Call 47. Long Straddle versus Put 48. Short Straddle versus Put 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 Strategie Opcjonalne LIFFE I nt ro duction Wydarzenia w ostatnich latach podkreślały zmienność i niepewność, nieodłączną cechą dzisiejszych rynków finansowych. LIFFE szeroka gama strategii opcjonalnych zapewnia nie tylko szeroki wachlarz poglądów i umożliwia użytkownikom uzyskanie efektu dźwigni, ale oferuje zalety wykonania w ramach jednej transakcji, umożliwiając konkurencyjne spready i obniżoną wymianę. Futures 038 Options Strategy Guide Wykorzystanie kontraktów futures i opcji, czy to osobno czy w połączeniu, może oferować niezliczone możliwości handlowe. 25 strategii w tym przewodniku nie ma na celu dostarczyć pełnego przewodnika po każdej możliwej strategii handlowej, ale raczej jako punkt wyjścia. Niezależnie od tego, czy jest to najlepsza strategia, czy też dalsze działania, zależy Ci od wiedzy na temat rynku, zdolności do przenoszenia ryzyka i celów obrotu towarem. Jak używać tego przewodnika - niniejsza publikacja została opracowana, a nie jako kompletny przewodnik po wszystkich możliwych scenariuszach, ale raczej jako prosta w obsłudze instrukcja, która sugeruje możliwe strategie handlowe. Długie kontrakty terminowe - gdy jesteś na rynku i nie ma pewności co do zmienności. Nie zmieni się zmienność. Jeśli jednak zdecydujesz się na niestabilność, a ta opinia okazuje się prawidłowa, jedna z innych strategii może mieć większy potencjał zysku i mniejsze ryzyko. Długie Syntetyczne Futures - Kiedy jesteś uparty i nie ma pewności co do zmienności. Nie zmieni się zmienność. Jeśli jednak zdecydujesz się na niestabilność, a ta opinia okazuje się prawidłowa, jedna z innych strategii może mieć większy potencjał zysku i mniejsze ryzyko. Może być przedmiotem obrotu od początkowej długiej rozmowy lub krótkiej pozycji put, aby stworzyć silniejsze pozycje uparty. Krótkie syntetyczne kontrakty terminowe - kiedy jesteś na rynku i nie wiesz o zmienności. Nie zmieni się zmienność. Jeśli jednak zdecydujesz się na niestabilność, a ta opinia okazuje się prawidłowa, jedna z innych strategii może mieć większy potencjał zysku i mniejsze ryzyko. Mogą być przedmiotem obrotu od początkowego krótkiego połączenia lub długiej pozycji, aby stworzyć silniejszą pozycję niekorzystną. Długie odwrócenie ryzyka - kiedy jesteś na rynku i niepewny co do zmienności. Zazwyczaj ta pozycja jest inicjowana jako kontynuacja innej strategii. Jego ryzyko jest takie samo, jak DŁUGIE PRZYSZŁOŚCI, z wyjątkiem tego, że jest płaski obszar o niewielkim lub żadnym zyskem. Skrócenie ryzyka krótkookresowego - gdy jesteś na rynku i nie wiesz o zmienności. Zazwyczaj ta pozycja jest inicjowana jako kontynuacja innej strategii. Jego ryzyko jest takie samo jak KRÓTKIE PRZYSZŁOŚCI, z wyjątkiem tego, że istnieje płaska powierzchnia niewielkiego lub nieprzyjemnego zysku. Krótkie wezwanie - kiedy jesteś niedźwiedzią na rynku. Sprzedaj out-of-the-money (wyższy strajk) stawia, jeśli jesteś mniej pewny, że rynek upadnie, sprzedaj pieniądze pod warunkiem, że masz pewność, że rynek stagnacji lub upadku. Short Put - Jeśli uważasz, że rynek nie zejdzie. Sprzedaj opcję "out-of-the-money" (niskie strajki), jeśli jesteś nieco przekonany, sprzedaj opcje na pieniądze, jeśli jesteś bardzo pewny, że rynek stagnacji lub wzrostu. Jeśli masz wątpliwości, że rynek stagnacji i będzie bardziej optymistyczny, zrób to w jak największym stopniu. Bull Spread - Jeśli uważasz, że rynek wzrośnie, ale z ograniczoną do góry nogami. Dobra pozycja, jeśli chcesz być na rynku, ale mniej pewni oczekiwań. Jesteś w dobrej firmie. Jest to najbardziej popularny handel uparty. Niedźwiedź Spread - Jeśli uważasz, że rynek zejdzie, ale z ograniczonymi minusami. Dobra pozycja, jeśli chcesz być na rynku, ale mniej ufa od niedźwiedzich oczekiwań. Najbardziej popularne miejsce wśród niedźwiedzi, ponieważ może być wpisane jako konserwatywny handel, gdy nie ma pewności co do stanowiska niedźwiedzi. Długi motyl - jedna z niewielu pozycji, która może być wpisana w długoterminowych seriach opcji. Podaj kiedy, z jednym miesiącem lub dłużej, koszt rozłożenia wynosi 10% lub mniej w przypadku BA (20% jeśli istnieje strajk między A i B). Jest to zasada sprawdzania teoretycznych wartości. Krótki motyl - gdy rynek jest poniżej lub powyżej C i pozycja jest zbyt drogie z miesiącem lub tak w lewo. Lub, gdy pozostało tylko kilka tygodni, rynek zbliża się do B i spodziewasz się bliskiego przemieszczania się w dowolnym kierunku. Długi żelazny motyl - gdy rynek jest poniżej lub powyżej C, a pozycja jest niższa niż miesiąc. Lub, gdy pozostało jeszcze kilka tygodni, rynek zbliża się do B i oczekuje się, że nastąpi zbliżający się ruch w dowolnym kierunku. Krótki Żelazny Motyl - Wprowadź, jeśli kredyt krótkoterminowy Butterflys w Krótkim Żelazo wynosi 80 procent lub więcej CA, a przewidujesz przedłużony okres względnej stabilności cen, w przypadku którego bazowy będzie w pobliżu punktu środkowego zakresu CA zbliżonego do wygaśnięcia. Jest to zasada sprawdzania teoretycznych wartości. Long Straddle - Jeśli rynek jest w pobliżu A i spodziewasz się, że zacznie się poruszać, ale nie wiesz, w którą stronę. Szczególnie dobra pozycja, jeśli rynek jest spokojny, a następnie zaczyna się zygzakiem gwałtownie, sygnalizując potencjalną erupcję. Long Strangle - Jeśli rynek znajduje się w zasięgu lub blisko (A-B) i był stagnacyjny. Jeśli rynek eksploduje w dowolny sposób, zarabiacie pieniądze, jeśli rynek nadal będzie stagnować, tracisz mniej niż przy długim straddle. Również użyteczne, jeśli spodziewana zmienność wzrośnie. Short Strangle - Jeśli rynek znajduje się w zasięgu lub blisko (A-B), a choć aktywny jest cichy. Jeśli rynek przechodzi w stan stagnacji, zarabiasz pieniądze, jeśli nadal będzie aktywny, możesz mieć trochę mniejsze ryzyko, a następnie z krótkim straddle. Ratio Call Spread - zazwyczaj wprowadzane, gdy rynek znajduje się w pobliżu A i użytkownik spodziewa się lekkiego lub umiarkowanego wzrostu na rynku, ale widzi potencjał do zbycia. Jedna z najczęstszych opcji rozprzestrzeniania się, rzadko wykonuje więcej niż 1: 3 (dwa nadmierne szorty) z powodu ryzyka zwrotu. Stosunek Spread - zwykle weszła, gdy rynek zbliża się do B i oczekujesz, że rynek lekko spadnie do umiarkowanego, ale zobaczy potencjał gwałtownego wzrostu. Jedna z najczęstszych opcji rozprzestrzeniania, rzadko wykonywana więcej niż 1: 3 (dwa nadmierne szorty) z powodu ryzyka spadku. Pudełko lub konwersja - czasami rynek zniknie z linii, aby uzasadnić początkowe wejście do jednej z tych pozycji. Są jednak najczęściej używane do blokowania wszystkich lub części portfela poprzez kupno lub sprzedaż w celu utworzenia brakujących nóg pozycji. Są to alternatywy dla zamknięcia pozycji po ewentualnie niekorzystnych cenach. Podstawowy pasek boczny Podnieś swój handel Dlaczego wybrałem DT Postanowiłem wrócić do obrotu po rocznym obrocie papierowym. Wysłałem e-maila do Danielsa, że ​​interesuje mnie rozmowa z przedstawicielem. Otrzymałem wezwanie od Brian Cullen x02026 Więcej informacji - Mitchell S. Pataskala, Ohio Trustpilot Recenzje Najnowsze tweety Dowiedz się, jak używać wskaźników CFRN w środowisku LIVE na targach webowych w czwartek, 9 marca o 13:00 CT. t. cokaGgQZcmat Czas temu 3 Godzin przez Buffer Wypróbuj online kontrakty futures na RYZYKO BEZPIECZEŃSTWA za pomocą konta ćwiczeń dt Pro. Aktywuj swoje demo tutaj: t. coHCRLzBvyXv Czas temu 20 Godzin przez Buffer NEW kupuj poziomy sprzedaży wzmacniacza dla ESF z MDASnapShot. Uzyskaj szczegółowe informacje o handlu tutaj: t. coCoXxaWZllH Czas temu 1 Dzień za pośrednictwem buforu Copyright xA9 2017 xB7 Daniels Trading. Wszelkie prawa zastrzeżone. Ten materiał jest przekazywany jako próśba o zawarcie transakcji na instrumentach pochodnych. Ten materiał został przygotowany przez pośrednika handlowego Daniels Trading, który dostarcza komentarza rynkowego do badań i zaleceń handlowych w ramach jego pozyskiwania na konta i pozyskiwania transakcji, jednak Daniels Trading nie prowadzi działu badań zgodnie z zasadą 1.71 dotyczącą CFTC. Daniels Trading, jej główni, brokerzy i pracownicy mogą prowadzić handel instrumentami pochodnymi na własny rachunek lub na rachunkach innych. Ze względu na różne czynniki (takie jak tolerancja na ryzyko, wymogi dotyczące marży, cele handlowe, strategie krótkoterminowe i długoterminowe, analiza techniczna a fundamentalna analiza rynku oraz inne czynniki) takie zawirowania mogą skutkować wszczęciem lub likwidacją odmiennych pozycji lub wbrew opiniom i zaleceniom w niej zawartym. Dotychczasowe wyniki niekoniecznie oznaczają przyszłe wyniki. Ryzyko utraty handlowej kontraktów futures lub opcji towarowych może być znaczne, a zatem inwestorzy powinni zrozumieć ryzyko związane z pozyskaniem dźwigni finansowej i muszą ponosić odpowiedzialność za ryzyko związane z tymi inwestycjami i za ich wyniki. Należy dokładnie rozważyć, czy taki handel jest odpowiedni dla Ciebie w świetle okoliczności i zasobów finansowych. Powinieneś przeczytać stronę internetową z informacjami o ryzyku dostępną pod adresem DanielsTrading u dołu strony głównej. Firma Daniels Trading nie jest powiązana, ani nie popiera systemu handlu, biuletynu lub innej podobnej usługi. Firma Daniels Trading nie gwarantuje ani nie weryfikuje roszczeń dotyczących osiągnięć osiągniętych przez takie systemy lub usługi. LIFFE Opcje 107297 - LIFFE Opcje poradnika handlowego. To jest koniec podglądu. Zarejestruj się, aby uzyskać dostęp do pozostałej części dokumentu. Sformatowany podgląd tekstu: LIFFE Opcje przewodnik po strategiach handlowych LIFFE 2002 Wszelkie prawa zastrzeżone i zainteresowanie tą publikacją są objęte administracją i zarządzaniem LIFFE ("LIFFEquot") i wszystkimi innymi prawami, w tym, ale bez ograniczeń, patentem, zarejestrowanym projektem, prawami autorskimi, znakiem towarowym , znakiem serwisowym, związanym z niniejszą publikacją, również przysługuje LIFFE. LIFFE CONNECT jest znakiem towarowym LIFFE Administration and Management. Żadna część tej publikacji nie może być redystrybucja lub powielana w jakiejkolwiek formie lub w jakikolwiek sposób, ani też wykorzystywana do żadnych prac pochodnych (takich jak tłumaczenie, transformacja lub adaptacja) bez pisemnej zgody LIFFE. Firma LIFFE zastrzega sobie prawo do zmiany tej publikacji i wprowadzania zmian w treściach bez zobowiązań LIFFE w celu powiadomienia o takiej rewizji lub zmianie. Mimo że podjęto wszelkie starania w celu zapewnienia, że ​​informacje zawarte w niniejszej publikacji są dokładne i nie wprowadzają w błąd w momencie publikacji, firma LIFFE nie ponosi odpowiedzialności (poza zakresem wymaganym przez prawo) w celu wykorzystania informacji tutaj zawartych powstających w dowolnych okolicznościach związanych z rzeczywistym obrotem lub w inny sposób. Ani firma LIFFE, ani jej pracownicy ani pośrednicy nie ponoszą odpowiedzialności za błędy lub pominięcia zawarte w tej publikacji. Niniejsza publikacja ma wyłącznie charakter informacyjny i nie stanowi oferty, zachęty ani rekomendacji w celu pozyskania lub zbycia jakiejkolwiek inwestycji lub dokonania jakiejkolwiek innej transakcji. Wszystkie informacje, opisy, przykłady i obliczenia zawarte w tej publikacji mają wyłącznie orientacyjny charakter i nie powinny być traktowane jako ostateczne. LIFFE zastrzega sobie prawo do zmiany dowolnych zasad lub specyfikacji zamówienia, a takie zdarzenie może mieć wpływ na ważność informacji zawartych w niniejszej publikacji. Osoby, które chcą sprzedawać kontrakty typu futures futures i opcji lub zaoferować je innym osobom, powinny wcześniej ustalić pozycję regulacyjną w odpowiedniej jurysdykcji. FLEX jest zastrzeżonym znakiem towarowym firmy Chicago Board Options Exchange Inc i został licencjonowany do użytku przez LIFFE. quotesFTSEquot i quotedFootsiequot są znakami towarowymi London Stock Exchange Limited i The Financial Times Limited i są używane przez FTSE International Limited na podstawie licencji. quotStarsquot jest znakiem towarowym FTSE International Limited. quotEurotopquot jest znakiem towarowym Euronext NV lub jego podmiotów zależnych (ang. Euronextquot) i jest używany przez FTSE International Limited na podstawie licencji. Indeks FTSE Eurotop 100 jest zastrzeżonym interesem Euronext i FTSE International Limited. Wszelkie prawa autorskie w wartościach indeksowych i konstytutywnych wykazują kamizelki w Euronext i FTSE International Limited wspólnie. Indeks FTSE 100, Indeks FTSE 250, indeks FTSE Eurotop 300, Indeks FTSE Eurotop 300 (Ex Wielka Brytania), Indeks FTSE Euro 100 i Indeks gwiazd FTSE są zastrzeżonym interesem FTSE International Limited i zostały licencjonowane do użytku przez LIFFE. Wszystkie prawa autorskie w wartościach indeksu i listach składników wchodzą w skład FTSE International Limited. Euronext i FTSE International Limited w jakikolwiek sposób nie sponsorują, popierają lub są w inny sposób zaangażowane w wydawanie i oferowanie produktów LIFFE i nie ponoszą żadnej odpowiedzialności związanej z obrotem produktami LIFFE. Indeks MSCI Euro Index oraz indeks Pan-Euro MSCI (pozycja Notatka prasowa) to znaki usług Morgan Stanley Capital International Inc. ("MSCIquot"). Znaki usług zostały licencjonowane przez MSCI do użytku przez LIFFE. Kontrakty na indeks MSCI Euro Index i MSCI Pan-Euro Index są sponsorowane, gwarantowane lub zatwierdzone przez MSCI. MSCI nie składa żadnych oświadczeń dotyczących celowości korzystania z takich umów giełdowych. MSCI nie składa żadnych oświadczeń co do dokładności lub kompletności Indeksów lub jakiejkolwiek części swoich danych składowych. MSCI nie udziela żadnej gwarancji co do celu ani do jakichkolwiek zastosowań, na które mogą być wprowadzone Indeksy lub Umowy Transakcyjne lub co do ważności lub w inny sposób informacji publikowanych przez Giełdę w związku z jakimkolwiek aspektem umów zawartych w warunkach takich kontraktu walutowego. MSI nie ponosi żadnej odpowiedzialności za bezpośrednie, pośrednie, szczególne lub wtórne szkody, w tym utratę zysków. Swapnote jest zarejestrowanym znakiem towarowym firmy ICAP plc i został licencjonowany do użytku przez LIFFE. Projekt i algorytm umowy Swapnote są chronione patentem (US 6,304,858 B1) należącym do Adams, Viner i Mosler Ltd. (AVM) i są licencjonowane wyłącznie dla LIFFE na całym świecie. Spis treści Strona Wprowadzenie Opcje umów LIFFE 3 Uznane strategie 5 Teoria podstawowych opcji 7 Uwagi dotyczące strategii 10 strategii LIFFE Opcje 1. Długie zaproszenie 11 2. Krótkie zaproszenie 12 3. Długie wprowadzenie 13 4. Krótkie wprowadzenie 14 5. Długie rozmieszczenie 15 6. Krótki rozkład rozmieszczeń 16 7. Krótkie rozmowy rozłożone 17 8 Długie rozłożenie szczeliny 18 9. Long Combo 19 10. Short Combo 20 11. Long Straddle 21 12. Krótkie ramię 22 13. Długie strzyżenie 23 14. Krótkie obciskanie 24 15. Długie szczeliny 25 16. Krótkie dłonie 26 17. Długie masło biszkoptowe 27 18. Drobna masło biszkoptowe 28 19. Długie kondor 29 20. Krótki drapieżnik 30 21. Długie żelazo biszkoptowe 31 22. Drobne żelazne buttery 32 23. Długie żelazo kondoracyjne 33 1 Page 24. Krótki Żelazo Kondor 34 25. Długie pasmo abonamentowe 35 26. Krótkie paski rozmów 36 27. Długie opaska zaciskowa 37 28. Krótka listwa dystansowa 38 29. Długi rozkład kalendarza 39 30. Długi rozkład kalendarza kalibracyjnego 40 31. Długi rozkład kalandra kalibru 41 32. Długi pasek diagonalny Kalendarz Spread 42 33. Jelly Roll Long 43 34. Long Strip (Calendar) Strip 45 36. Long Dwa na Jeden Ratio Call Spread 46 37. krótkie dwa do jednego współczynnik rozłożenia rozmów 47 38. długie dwa na jeden współczynnik rozłożenie 48 39. krótkie dwa za jednym stosunkiem rozłożenie 49 40. drabinkę długodystansową 50 41. drabinkę połączeń krótkich 51 42. drabinę drabinką 52 43. Krótka drabina podstawowa 53 44. Syntetyczny długodystansowy 54 45. Syntetyczny krótki podcinek 55 46. Długie wezwanie w porównaniu z ofertą 56 47. Krótkie wezwanie w porównaniu z ofertą 57 48. Długie odłożenie w stosunku do połączenia 58 49. Krótkie wprowadzenie w stosunku do połączenia 59 50. Long Straddle versus Call 60 51. Short Straddle versus Call 61 52. Long Straddle versus Put 62 53. Short Straddle versus Put 63 54. Handel długą lotnością 64 55. Handel krótkotrwałym 65 56. ConversionReversal 66 57. Delta Neutral Strategies 2 44 35 Long Box 67 Wstęp Wydarzenia w ostatnich latach podkreślały zmienność i niepewność, która jest nieodłączną cechą dzisiejszych rynków finansowych. Szeroka gama strategii opcji LIFFE obejmuje nie tylko szeroką gamę poglądów, ale również umożliwia użytkownikom uzyskanie efektu dźwigni, ale oferuje zalety wykonania w ramach jednej transakcji, umożliwiając konkurencyjne rozbieżności i niższe opłaty za transakcje walutowe. O ile nie określono inaczej, strategie zawarte w niniejszym przewodniku dotyczą wszystkich umów dotyczących opcji LIFFE w odniesieniu do krótkoterminowych stóp procentowych, obligacji skarbowych i kontraktów terminowych typu swap, kontraktów terminowych na towary, indeksów akcji i poszczególnych akcje. Opcje LIFFE - przewodnik po strategiach handlowych pokazuje, kiedy iw jaki sposób mogą być stosowane strategie handlu opcjami w ramach LIFFE. Każda strategia jest zilustrowana prolesami i progami, a także szczegóły dotyczące charakterystyk zaniku i wrażliwości na rynki. Opcje opcji LIFFE Opcje dostępne są na następujących kontraktach LIFFE: Opcje na krótkoterminowych kontraktach terminowych na stopy procentowe Trzy miesiące Euro (PLN) Trzy miesiące Euro (EURIBOR) Trzy miesiące Euro (LIBOR) Trzy miesiące Euroswiss Opcje na obligacje skarbowe Kontrakty terminowe obligacji skarbowych (Bund) Long Gilt Opcje na Swapnote futures Dwudniowe euro Swapnote Pięcioletnie Euro Swapnote dziesięcioletnie euro Opcje Swapnote na indeksy FTSE 100 (amerykański Styl) FTSE 100 (europejski) FTSE 100 FLEX FTSE Eurotop 100 MSCI Euro MSCI Paneuropejskie Jednostkowe Udziały Opcje opcjonalne na niefinansowych kontraktach kukurydzy Robusta Coffee White Sugar Wheat 3 Opcje szeregowe Opcje seryjne LIFFE to krótkoterminowe terminy wygaśnięcia miesięcznego. Mają benetę o niższych składkach, mogą być wykorzystane jako precyzyjne narzędzie do zabezpieczania ekspozycji gamma, vega i theta, a ponadto zapewniają możliwości rozpowszechniania spreadu w porównaniu z dłuższymi terminami. Wykonanie opcji seryjnej daty wygaśnięcia spowoduje przydzielenie pozycji kontraktu terminowego w najbliższym kwartalnym miesiącu rozliczeniowym (np. Korzystanie z opcji seryjnej w lipcu spowoduje przydzielenie kontraktu terminowego na wrzesień). Opcje seryjne dostępne są na następujących kontraktach LIFFE: przyszłość długoterminowych długów w Niemczech (długoterminowa przyszłość) Długie przyszłość przyszłości Trzy miesiące przyszłego roku Euribor w perspektywie dwudziestej euro Swapnote pięć lat euro Swapnote dziesięcioletnie euro Opcje swapnote Mid-Curve Opcje LIFFE Mid-Curve są krótkie wycofanych opcji z kontraktem futures (czerwonego miesiąca) o długoterminowym charakterze jako składnika aktywów bazowych. Zapewnienie dłuższej ekspozycji niż opcje wanilii LIFFE, opcje Mid-Curve wykazywały wyższą lotność, lepszy rozkład czasu i większą gramaturę niż tradycyjne, długie opcjonalne odpowiedniki. Dodatkowo opcje Mid-Curve wymagają mniej premii niż w przypadku dłuższych terminów i zazwyczaj mają wyższą gamma i theta. Opcje krzywej średniej LIFFE są dostępne w cyklach wygaśnięcia w marcu, czerwcu, wrześniu i grudniu przez dwa kolejne miesiące, tak aby cztery miesiące wyczerpujące dostępne były do ​​sprzedaży, a najbliższe trzy miesiące wyczerpujące to kolejne miesiące kalendarzowe. Jednoczęściowe opcje krzywej średniej dostępne są na następujących kontraktach terminowych LIFFE: trzy miesiące Euro (EURIBOR) Trzy miesiące Sterling 4 Uznane strategie Strategie uznane przez LIFFE kwalifikują się do obniżenia opłat z tytułu transakcji. Wszystkie składniki strategii muszą być zarezerwowane na jednym koncie. LIFFE nie zezwala na łączenie działalności od różnych klientów, aby utworzyć jedną stronę handlu. Strategie strategii opcjonalnej Tylko poniższe strategie składają się wyłącznie z elementów opcjonalnych: Strategia LIFFE TRS CONNECT Kod strategii Zadzwoń (wpisz) Rozmowa DD Kombinacja JJ Straddle SS Strangle KK Guts GG Buttery BB Condor WW Drut żelazny II Żelazo kondorator w 5 Strumień rozmów MM Put Strip Kalendarz MM Rozłożony EE Kalendarz Diagonalny Rozłożony Kalendarz Rozłożenia Kalibru NN Rozłożony Diagonal Kalendarz Rozłożony Płatki PP Galaretki AA Strunowe Strip MM Obramowanie XX Dwa na Jeden Stos Rozłożenie HH Ladder LL Synthetic Underlying rr Rozmowa Rozłożenie vs Put x 1 Złożenie Spread vs Call 3 Strategie Neutralnej Delta Poza powyższymi strategiami LIFFE pozwala na łączenie opcji i kontraktów futures w jedną strategię, prowadzoną w ramach LIFFE CONNECT. W przypadku opcji na akcje opcje są połączone z obrotem w kapitale bazowym lub alternatywnie opcja ta może być połączona z obrotem kontraktem Universal Stock Futures, jeśli jest to dostępne. Dostępne strategie neutralne delta to: LIFFE Volatility Trade ConversionRozpowszechnianie odwołań (Put) Spread vs Baselying Straddle vs Underlying Drabina vs Underlying Combo vs Fundamentowanie Kalendarz Spread vs Underlying 2-krotny spread ratio vs Underlying Call Spread + Put vs Baslying Put Spread vs Call vs Underlying 6 Kod strategiczny strategii TRS CONNECT VR kod dsajehcp VRVVVVVVVV Podstawowa teoria opcjonal - ności W przypadku, gdy opcja zakupu jest wyższa niż cena realizacji opcji, opcja call jest "in-the-money" gdy cena bazowa jest niższa niż cena wykonania opcji. Opcja put jest w gotówce, gdy cena bazowa jest niższa niż cena wykonania opcji, a jest poza ceną, gdy cena bazowa jest wyższa niż cena wykonania opcji. Opcja jest uzależniona od ceny, gdy cena bazowa jest równa cenie wykonania opcji. W praktyce opcja z ceną wykonania najbliższą dominującej cenie jest określana jako opcja "na pieniądze". Wartość wewnętrzna i czasowa Opcja cena lub premia może być uznana za sumę dwóch elementów specic: wewnętrznej wartości i wartości czasu. Wartość wewnętrzna Wewnętrzna wartość opcji to kwota, którą posiadacz opcji może zrealizować, korzystając z tej opcji. Wartość wewnętrzna jest zawsze dodatnia lub zerowa. Opcja "out-of-money" ma zerową wartość. Wartość wewnętrzna opcji kupna w pieniądzu cena bazowa - cena strajku Intrinsic value opcji put option in-the money Opcja strajkowa - cena bazowa Wartość godziwa Wartość czasowa opcji to wartość przekraczająca wewnętrzną wartość, którą miejsca na rynku opcji. Można ją uznać za wartość ciągłego narażenia na ruch w cenie podstawowej produktu, którą zapewnia opcja. Cena, jaką rynek robi na tej wartości zależy od wielu czynników: czasu do wygaśnięcia, zmienności ceny podstawowej produktu, stóp procentowych wolnych od ryzyka i spodziewanych dywidend. Czas wygaśnięcia Czas ma wartość, ponieważ dłuższa opcja musi trwać do wygaśnięcia, tym większą szansę na to, że cena bazowa zostanie przeniesiona do poziomu tak, że opcja staje się in-themoney. Ogólnie rzecz biorąc, im dłużej czas do wygaśnięcia, tym wyższa jest wartość opcji. Gdy zbliża się termin wygaśnięcia, wartość opcji ma tendencje do zera, a tempo przyspieszania czasu przyspiesza. Krzywa rozkładu wartości czasu Wartość czasowa miesięcy do wygaśnięcia ważności 7 Zmienność Zmienność opcji jest miarą rozprzestrzeniania się zmian cen instrumentu bazowego. Im bardziej zmienne instrument bazowy, tym większa będzie wartość czasu opcji. Oznacza to większą niepewność dla sprzedawcy opcji, który będzie pobierał wysoką premię, aby zrekompensować. Ceny opcji wzrastają w miarę jak zmienność wzrasta i maleje wraz ze spadkiem zmienności. Wpływ zmienności na wzrost długiego zysku na straddle Zysk zmienności Zmniejszenie Zmienności Zmniejszenie Cena bazowa Wygaśnięcie, zero zmienności Optymalizacja opcji W niniejszej broszurze przykłady strategii odnoszą się do wrażliwości rynkowej na wybrane opcje. Te wrażliwości są powszechnie określane jako Grecy i są one poniżej. Delta: mierzy zmianę ceny opcji dla danej zmiany ceny instrumentu bazowego, a tym samym umożliwia określenie ekspozycji na bazowy. Delta wynosi od 0 do 1 dla połączeń i od 0 do -1 dla stelaży (w związku z tym opcja call z delta wynoszącą 0,5 będzie wzrastać o 1 tick za każde 2 tick wzrosty bazowej). Gamma: mierzy zmianę delta dla danej zmiany w podstawie. (np. jeśli opcja połączenia ma delta wynoszącą 0,5 i gamma 0,05, oznacza to, że nowa delta będzie wynosić 0,55, jeśli cena bazowa wzrośnie o jeden punkt i 0,45, jeśli cena bazowa spadnie o jeden punkt). Theta: mierzy wpływ rozkładu czasu na opcję. Z upływem czasu opcje tracą wartość czasu, a theta wskazuje stopień tego rozkładu. Oba opcje call and put marnują aktywa, a więc mają ujemną teę. Należy zauważyć, że rozkład rozważań jest nieliniowy, ponieważ tempo rozpadu przyspiesza, gdy opcja zbliża się do wygaśnięcia. Jak pokazuje poniższa tabela, theta osiągnie najwyższą wartość tuż przed upływem terminu. Vega: mierzy efekt, że zmiana w domniemaną zmienność ma na cenę opcji. Oba rozmowy i stany mają tendencję do wzrostu wartości, gdyż wzrasta zmienność, ponieważ zwiększa prawdopodobieństwo, że opcja przeniesie się w pieniądze. Obydwa połączenia i stacje będą posiadały dodatnią vega. 8 W niniejszej broszurze wrażliwości rynkowe są wyświetlane dla każdej strategii w formie tabeli opartej na pozycji po upływie 30 dni. Pokazuje to przybliżone wrażliwości, gdy fundusz bazowy jest pod względem ceny, a także gdy fundusz bazowy wzrasta i opada. Tabela przedstawia wrażliwość pozycji przedstawionej poniżej: 0 ---- bardzo pozytywne pozytywne nieznacznie pozytywne neutralne lekko niekorzystne negatywnie wysoce ujemne Poniżej tabelę wrażliwości każdej strategii opcjonalnej, istnieją krótkie wyjaśnienia dotyczące przenoszenia wrażliwości opcji, w tym krótkich opisów odejście od tabeli wrażliwości, która może wystąpić (na przykład gdy pozycja jest bliska końca). Zauważ, że tabele dotyczące wrażliwości nie są dokładnym poradnikiem handlu. Są one zaprojektowane w taki sposób, aby wskazywać, jak zmiany w strukturze bazowej zmienią ogólną i względną wrażliwość rynku na pozycję. Podsumowanie opcji i przyszłych wartości greckich Opcje indywidualnych pozycji, np. longshort call options, posiadają własne szczególne wartości greckie. Poniższa tabela przedstawia poniższe wartości: Zmiany wartości Delta Pozycja poniżej wywołania wywołania w Gammie powyżej uderzenia strajkowego poniżej Theta powyżej uderzenia strajkowego strajkowego poniżej strajku strajkowego Vega powyżej poniżej strajku strajkowego - - - powyżej strajku - połączenia - - - - - - - - - - umieścić --- --- - - - - umieścić --- --- - - - przyszłości na na na na na na na na na - na przyszłość - - --- na na na na na na na na na --- 9 Parzystość Putcall Szczególne znaczenie w odniesieniu do transakcji arbitrażowych jest koncepcja parytetu putcall. Jest to relacja pomiędzy rozmowami i stacjami. Stwierdza, że ​​wartość zlecenia (put) może pochodzić z wartości put (call) z tą samą ceną wykonania, terminem zapadalności i ceną bazową. W związku z tym w przypadku opcji LIFFE na kontrakty terminowe: CPF-X, gdzie: C cena połączenia P cena akcji F cena kontraktu terminowego X cena wykonania NB Zakłada się, że nie istnieją koszty prowadzenia opcji (co ma miejsce w przypadku obecnych opcji LIFFE na kontrakty futures, w których premia nie jest wypłacana z góry). Cena parytetu putcall dla premii przednich opcji (takich jak Opcje indeksu LIFFEs FTSE 100) można znaleźć, lekko modyfikując ten wzór. Transakcje arbitrażowe, takie jak te pokazane w tym przewodniku, opierają się na relacjach istniejących między niektórymi pozycjami, używając opcji i kontraktów terminowych. Jako miejsca syntezy syntetycznej uzyskuje się je z parytetu ofertowego i, stosując ten związek, możliwe jest przeprowadzenie arbitrażu między pozycjami syntetycznymi a ich całkowitym odpowiednikiem. Uwagi dotyczące budowy strategii Protloss proles: Protloss proles są ilustrowane dla każdej strategii tam, gdzie jest to możliwe. Oś pionowa wskazuje prot ponad poziomą linię przerwania i stratę poniżej linii przerwania. Oś pozioma przedstawia cenę instrumentu bazowego (rosnąca od lewej do prawej). Wszystkie możliwe wyniki prot i strat po upływie terminu są wyświetlane w stałych liniach, a efekty rozkładu czasowego są ilustrowane prolesami w ciągu trzech miesięcy do wygaśnięcia (linie lekko przerywane) i po jednym miesiącu do wygaśnięcia (ciężkie linie przerywane). Należy zauważyć, że wszystkie prolony i wyjaśnienia nie obejmują kosztów prowizji, kosztów wymagań dotyczących depozytów zabezpieczających i innych kosztów realizacji. Zdeklarowanie pieniędzy: Dla celów tych przykładów uważa się, że poziom "na miejscu" w przypadku, gdy cena bazowa jest równa cenie wykonania zamówienia. W przypadku symetrycznych strategii składających się z dwóch strajków, poziom pieniądza w gotówce jest punktem średnim pomiędzy dwoma cenami strajku. Wpływ czasu: analiza strategii opcji następuje z upływem 30 dni od daty wygaśnięcia. Warto zauważyć, że wartość niektórych Greków może ulec zmianie w miarę upływu czasu. For Calendar based option strategies (see strategies 29-34), the effect of time decay is particularly important. 10 LIFFE Option Strategies 1. Long Call 1 month to expiry 3 months to expiry expiry profit price of underlying loss A The trade: Buy a call with an exercise price of (A). Market expectation: Market bullishvolatility bullish. The more bullish the expectation, the further out-of-the-money (higher strike) the purchased call should be. A Long Call combines limited downside exposure with high gearing in a rising market. Prot and loss characteristics at expiry: Prot: Unlimited in a rising market. Loss: Limited to the initial premium. Break-even: Reached when the underlying rises above the strike price A, by the same amount as the premium paid to establish the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta gamma theta - -- - vega Delta: Increases towards 1 as the underlying rises and the call moves in-the-money. Gamma: Highest around the at-the-money level, particularly when the option is approaching expiry. Theta: Value of position will decrease as option loses time value. Vega: Value of position will tend to rise if expected volatility increases. Vega will be highest the closer the underlying is to the strike, and the longer the time to maturity. 11 2. Short Call 1 month to expiry 3 months to expiry expiry A profit price of underlying loss The trade: Sell a call (A). Market expectation: Market bearishvolatility bearish. Holder expects a gradual fall in the market and lower volatility. The optimal strike is dependent on time decay and vega level although, in general, the more bearish the expectation, the greater the sold option should be in-the-money (lower strike) in order to maximise premium income. Profit is limited to the premium received and thus if the market view is more than moderately bearish, a Long Put may yield higher profits. Profit amp loss characteristics at expiry: Profit: Limited to the premium received from selling the call. Loss: Unlimited in a rising market. Break-even: reached when the underlying rises above the strike price A, by the same amount as the premium received from selling the call. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta - -- --- gamma -- --- -- theta vega - -- - Delta: Decreases towards -1 as the underlying rises and the sold option moves in-themoney. Gamma: Highest around the at-the-money level, particularly when the option is approaching expiry. Theta: Value of position will increase as sold option loses time value. Vega: Value of position will tend to fall if expected volatility increases. Vega will be highest the closer the underlying is to the strike, and the longer the time to maturity. 12 3. Long Put 1 month to expiry 3 months to expiry expiry profit price of underlying loss A The trade: Buy a put (A). Market expectation: Market bearishvolatility bullish. The more bearish the expectation, the further out-of-the-money (lower strike) the purchased put should be. A Long Put combines limited upside exposure with high gearing in a falling market. Prot and loss characteristics at expiry: Prot: Effectively unlimited in a falling market. Loss: Limited to the initial premium paid. Break-even: Reached when the underlying falls below the strike price A by the same amount as the premium paid to establish the position. Market sensitivities at 30 days to expiry: underlying down at-the-money delta --- -- up - gamma theta - -- - vega Delta: Decreases towards -1 as the underlying falls and the option moves in-the-money. Gamma: Highest around the at-the-money level, particularly when the option is approaching expiry. Theta: Value of position will decrease as option loses time value. Vega: Value of position will tend to increase if expected volatility increases. Vega will be highest the closer the underlying is to the strike, and the longer the time to maturity. 13 4. Short Put 1 month to expiry 3 months to expiry expiry A profit price of underlying loss The trade: Sell a put (A). Market expectation: Market bullishvolatility bearish. Holder expects a gradual rise in the market with lower volatility. The optimal strike to be sold will be dependent on time decay and the vega level, although in general, the more bullish the view, the greater the sold option should be in-the-money (higher strike) in order to maximise premium income. Prot is limited to the premium received and thus if the market view is more than moderately bullish, a long call may yield higher prots. Prot amp loss characteristics at expiry: Prot: Limited to the premium received from selling the put. Loss: Unlimited in a falling market. Break-even: Reached when the underlying falls below the strike price A by the same amount as the premium received from selling the put. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta gamma -- --- -- theta vega - -- - Delta: Increases towards 1 as the underlying falls and the sold option moves in-themoney. Gamma: Highest around at-the-money and approaching expiry. Theta: Value of position will increase as sold option loses time value. Vega: Value of position will decrease as expected volatility increases. Vega will be highest the closer the underlying is to the strike, and the longer the time to maturity. 14 5. Long Call Spread 1 month to expiry 3 months to expiry expiry B profit price of underlying loss A LIFFE CONNECT Strategy code: D. The trade: Buy a call (A), sell call at higher strike (B). Market expectation: Market bullishvolatility neutral. The spread has the advantage of being cheaper to establish than the purchase of a single call, as the premium received from the sold call reduces the overall cost. The spread offers a limited prot potential if the underlying rises and a limited loss if the underlying falls. Prot and loss characteristics at expiry: Prot: Limited to the difference between the two strikes minus net premium cost. Maximum prot occurs where the underlying rises to the level of the higher strike B or above. Loss: Limited to any initial premium paid in establishing the position. Maximum loss occurs where the underlying falls to the level of the lower strike A or below. Break-even: Reached when the underlying is above strike A by the same amount as the net cost of establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta gamma 0 - theta - 0 vega 0 - Delta: The highest level will be between the strikes A-B. Below strike A or above strike B, the delta will tend to fall towards zero. Gamma: Positive if underlying closer to strike A, negative if underlying closer to strike B, neutral if around midpoint A-B. Theta: Negative if underlying closer to strike A, positive if underlying closer to strike B, neutral if around midpoint A-B. Vega: Positive if underlying closer to strike A, negative if underlying closer to strike B, neutral if around midpoint of A-B. NB The long call spread and the short put spread create near identical positions. 15 6. Short Put Spread 1 month to expiry 3 months to expiry expiry B profit price of underlying loss A LIFFE CONNECT Strategy code: D. The trade: Sell a put (B), buy put at a lower strike (A). Market expectation: Market bullishvolatility neutral. The Short Put at B aims to take advantage of a bullish market and the premium gained affords some downside protection with a Long Put at A. The spread offers a limited prot potential if the underlying rises and a limited loss if the underlying falls. Prot and loss characteristics at expiry: Prot: Limited to the net premium credit. Maximum prot occurs where underlying rises to the level of the higher strike B or above. Loss: Maximum loss occurs where the underlying falls to the level of the lower strike A or below. Break-even: Reached when the underlying is below strike B by the same amount as the net credit of establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta gamma 0 - theta - 0 vega 0 - Delta: The highest level will be between the strikes A-B. Below strike A or above strike B, the delta will tend to fall towards zero. Gamma: Positive if underlying closer to strike A, negative if underlying closer to strike B, neutral if around midpoint of A-B. Theta: Negative if underlying closer to strike A, positive if underlying closer to strike B, neutral if around midpoint of A-B. Vega: Positive if underlying closer to strike A, negative if underlying closer to strike B, neutral if around midpoint of A-B. 16 7. Short Call Spread 1 month to expiry 3 months to expiry expiry profit A price of underlying loss B LIFFE CONNECT Strategy code: D. The trade: Sell a call (A), buy call at higher strike (B). Market expectation: Market bearishvolatility neutral. The Short Call at A aims to take advantage of a bearish market and the premium gained affords some upside protection with a Long Call at B. The spread offers a limited prot if the underlying falls and a limited loss exposure if the underlying rises. Prot amp loss characteristics at expiry: Prot: Limited to the net premium credit. Maximum prot occurs where underlying falls to the level of the lower strike A or below. Loss: Limited to the difference between the two strikes minus the net credit received in establishing the position. Maximum loss occurs where the underlying rises to the level of the higher strike B or above. Break-even: Reached when the underlying is above strike price A by the same amount as the net credit of establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta - -- - gamma - 0 theta 0 - vega - 0 Delta: The highest level will be between the strikes A-B. Below strike A or above strike B, the delta will tend to fall towards zero. Gamma: Negative if underlying closer to strike A, positive if underlying closer to strike B, neutral if around midpoint of A-B. Theta: Positive if underlying closer to strike A, negative if underlying closer to strike B, neutral if around midpoint of A-B. Vega: Negative if underlying closer to strike A, positive if underlying closer to strike B, neutral if around midpoint of A-B. NB: The Short call spread and the long put spread create near identical positions. 17 8. Long Put Spread 1 month to expiry 3 months to expiry expiry profit A price of underlying loss B LIFFE CONNECT Strategy code: D. The trade: Buy a put (B), sell put at lower strike (A). Market expectation: Market bearishvolatility neutral. The spread has the advantage of being cheaper to establish than the purchase of a single put, as the premium received from the sold put reduces the overall cost. The spread offers a limited loss exposure if the underlying rises, and a limited prot if the underlying falls. Prot amp loss characteristics at expiry: Prot: Limited to the difference between the two strikes minus net premium cost. Maximum prot occurs where underlying falls to the level of the lower strike A or below. Loss: Limited to the initial premium paid in establishing the position. Maximum loss occurs where the underlying rises to the level of the higher strike B or above. Break-even: Reached when the underlying is below strike price B by the same amount as the net cost of establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta - -- - gamma - 0 theta 0 - vega - 0 Delta: The highest level will be between the strikes A-B. Below strike A or above strike B, the delta will tend to fall towards zero. Gamma: Negative if underlying closer to strike A, positive if underlying closer to strike B, neutral if around midpoint of A-B. Theta: Positive if underlying closer to strike A, negative if underlying closer to strike B, neutral if around midpoint of A-B. Vega: Negative if underlying closer to strike A, positive if underlying closer to strike B, neutral if around midpoint of A-B. 18 9. Long Combo 1 month to expiry 3 months to expiry expiry profit B price of underlying A loss LIFFE CONNECT Strategy code: J. The trade: Sell a call (B), buy put at lower strike (A). Has same prole as synthetic split strike short future. Market expectation: Market bearishvolatility neutral. The riskreward prole is similar to that of a short future except that there is a plateau (A-B) over which there will be no change in protloss. The plateau makes this a more suitable trade than a short future if volatility expectations are uncertain. Prot amp loss characteristics at expiry: Prot: Unlimited in a falling market. Loss: Unlimited in a rising market. Break-even: Depending on the strikes chosen, the position may yield a small premium cost or credit. If the position is established at a net cost, break-even will occur where the market falls below point A by the same amount. If the position is established at a credit, break-even will occur where the market rises above point B by the same amount. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta - - - gamma 0 - theta - 0 vega 0 - Delta: The further the position from A or B, the nearer the delta will be towards -1. Gamma: Positive at A, negative at B, neutral around midpoint of A-B. Theta: Slightly negative at A, slightly positive at B, neutral around midpoint of A-B. Vega: Slightly positive at A, slightly negative at B, neutral around midpoint of A-B. 19 10. Short Combo 1 month to expiry 3 months to expiry expiry profit A price of underlying B loss LIFFE CONNECT Strategy code: J. The trade: Buy a call (B), sell put at lower strike (A). Same prole as synthetic split strike long future. Market expectation: Market bullishvolatility neutral. The riskreward prole is similar to that of a long future except that there is a plateau (A-B) in which there is no change in protloss. The plateau makes this a more suitable trade than a long future if volatility expectations are uncertain. Prot amp loss characteristics at expiry: Prot: Unlimited in a rising market. Loss: Unlimited in a falling market. Break-even: Depending on the strikes chosen, establishing the position may yield a small premium cost or credit. If the position is created at a cost, break-even will occur where the market rises above point B by this amount. If the position is established at a credit, the break-even point will occur if the market falls below point A by the same amount. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta gamma - 0 theta 0 - vega - 0 Delta: The further the position is from A or B, the nearer the delta will move towards 1. Gamma: Negative at A, positive at B, neutral around midpoint of A-B. Theta: Slightly positive at A, slightly negative at B, neutral around the mid point A-B. Vega: Slightly negative at A, slightly positive at B, neutral around midpoint of A-B. 20 11. Long Straddle 1 month to expiry 3 months to expiry expiry profit price of underlying ATM loss A LIFFE CONNECT Strategy code: S. The trade: Buy a put (A), buy call at same strike. Market expectation: Market neutralvolatility bullish. With the underlying at A and an unknown directional move or increase in volatility is anticipated. Prot amp loss characteristics at expiry: Prot: Unlimited for an increase or decrease in the underlying. Loss: Limited to the premium paid in establishing the position. Will be greatest if the underlying is at strike A, at expiry. Break-even: Reached if the underlying rises or falls from strike A by the same amount as the premium cost of establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta -- 0 gamma theta - --- - vega Delta: Neutral (assumed at-the-money position), becomes highly positive (negative) for large increases (decreases) in underlying. As a volatility trade, the position would be kept delta neutral with dynamic hedging until it is closed out or is altered to take account of a clear change of market direction. Gamma: Highest when at-the-money and approaching expiry. Theta: Value of position will decrease as the options lose time value. Theta may be positive if the position is far in-the-money andor close to expiry. Vega: Value of position will increase as expected volatility increases. 21 12. Short Straddle 1 month to expiry 3 months to expiry expiry A profit price of underlying ATM loss LIFFE CONNECT Strategy code: S. The trade: Sell a put (A), sell call at same strike. Market expectation: Market neutralvolatility bearish. With the underlying at A and a period of low or decreasing volatility is anticipated, and the underlying is not expected to move dramatically. Prot amp loss characteristics at expiry: Prot: Limited to the credit received from establishing the position. Highest if the market settles at A. Loss: Unlimited for both an increase or decrease in the underlying. Break-even: Reached if the underlying rises or falls from strike A by the same amount as the premium received from establishing the position. Market sensitivity at 30 days to expiry: underlying down at-the-money up delta 0 -- gamma -- --- -- theta vega - -- - Delta: Neutral (presumed at-the-money position), becomes highly negative (positive) for large increases (decreases) in the underlying. As a volatility trade, the position would be kept delta neutral with dynamic hedging until it is closed out or is altered to take account of a clear change of market direction. Gamma: Highest when at-the-money and approaching expiry. Theta: Value of position will increase as the options lose time value. Theta may be negative if the position is far out-of-the-money andor close to expiry. Vega: Value of position will decrease as expected volatility increases. 22 13. Long Strangle 1 month to expiry 3 months to expiry expiry profit price of underlying ATM loss A B LIFFE CONNECT Strategy code: K. The trade: Buy a put (A), buy a call at higher strike (B). Market expectation: Market neutralvolatility bullish. The holder expects a major movement in the market but is unsure as to its direction. A larger directional move is needed than a straddle in order to yield a prot but if the market stagnates, losses will be less. Prot amp loss characteristics at expiry: Prot: The prot potential is unlimited although a substantial directional movement is necessary to yield a prot for both a rise or fall in the underlying. Loss: Occurs if the market is static limited to the premium paid in establishing the position. Break-even: Occurs if the market rises above the higher strike price at B by an amount equal to the cost of establishing the position, or if the market falls below the lower strike price at A by the amount equal to the cost of establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta -- 0 gamma theta - -- - vega Delta: Neutral (presumed at-the-money position), becomes highly positive (negative) for large increases (decreases) in underlying. Gamma: Will be highest at strikes A and B but will tend to decrease as the underlying falls or rises signicantly. Theta: Time decay will act against the holder of the position. Vega: The position will increase in value as volatility rises. NB: Whilst the expiry prole is similar to that of the Long Guts, the difference relates to premium outlay. With the Long Strangle strategy you are buying two out of-the-money options (with a Long Guts both options are in the-money). 23 14. Short Strangle 1 month to expiry 3 month to expiry expiry profit A B price of underlying ATM loss LIFFE CONNECT Strategy code: K. The trade: Sell a put (A), sell call at higher strike (B). Market expectation: Direction neutralvolatility bearish. The holder expects low volatility and no major directional move. More cautious than a straddle as prot potential spans a larger range although maximum potential prots will be lower. Prot amp loss characteristics at expiry: Prot: Limited to the premium received. Will be highest if the underlying remains within the market level A-B. Loss: Unlimited for a sharp move in the underlying in either direction. Break-even: reached if the underlying falls below strike A or rises above strike B by the same amount as the premium received in establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta 0 -- gamma -- --- -- theta vega - -- - Delta: Neutral (presumed at-the-money position), becomes highly negative (positive) for large increases (decreases) in the underlying. Gamma: Highest at strikes A and B but will tend to decrease as the underlying falls or rises signicantly. Theta: Increase in value as options decay. Vega: Value of position will decrease as volatility increases. NB: Whilst the expiry prole is similar to that of the Long Guts, the difference relates to premium outlay. With the Long Strangle strategy you are selling two out of-the-money options (with a Long Guts both options are in the-money). 24 15. Long Guts 1 month to expiry 3 months to expiry expiry profit ATM price of underlying loss B A LIFFE CONNECT Strategy code: G. The trade: Buy a call (A), buy put at higher strike (B). Market expectation: Market neutralvolatility bullish. The market is at, or about the A-B range and a large directional move in the underlying is anticipated. Position has characteristics comparable to an in-the-money strangle. Prot amp loss characteristics at expiry: Prot: Unlimited in a rising or falling market. A substantial directional movement is required however. Loss: Limited to the initial premium paid less the difference between A and B occurs if the underlying remains within the range A-B. Break-even: Reached if the underlying rises above the higher strike price B by the amount equal to the cost of establishing the position less A-B, or if the underlying falls below the lower strike price A by the amount equal to the cost of establishing the position less A-B. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta -- 0 gamma theta - -- - vega Delta: Neutral (presumed at-the-money position). Becomes highly positive (negative) for large increases (decreases) in the underlying. Gamma: Will be highest between strikes A and B and approaching expiry. Theta: Value of position will decrease as options lose time value. Vega: Value of position will increase as implied volatility increases. NB: Whilst the expiry prole is similar to that of the Long Strangle, the difference relates to premium outlay. With the Long Guts strategy you are buying two in-the-money options (with a Long Strangle both options are out-of-the-money). 25 16. Short Guts 1 month to expiry 3 months to expiry expiry profit A B price of underlying ATM loss LIFFE CONNECT Strategy code: G. The trade: Sell a call (A), sell a put at higher strike (B). Market expectation: Direction neutralvolatility bearish. In this case the underlying is at, or about the A-B range and is expected to remain within this band. Prot amp loss characteristics at expiry: Prot: Limited to the net premium received less the difference between A and B occurs if the underlying remains within the range A-B. Loss: Unlimited in a rising or falling market. A substantial directional movement is required however. Break-even: Reached if the underlying falls below the lower strike price A by the amount equal to the premium received from establishing the position less A-B, or if the underlying rises above strike price B by the amount equal to the premium received from establishing the position less A-B. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta 0 -- gamma -- --- -- theta vega - -- - Delta: Neutral (presumed at-the-money position). Becomes highly negative (positive) for large increases (decreases) in the underlying. Gamma: Will be highest between strikes A and B and approaching expiry. Theta: Value of position will increase as options lose time value. Vega: Value of position will decrease as implied volatility increases. NB: Whilst the expiry prole is similar to that of the Short Strangle, the difference relates to premium outlay. With the Short Guts strategy you are selling two in-the-money options (with a Short Strangle both options are out-of-the-money). 26 17. Long Buttery 1 month to expiry 3 months to expiry expiry profit B price of underlying ATM A time decay C loss LIFFE CONNECT Strategy code: B. The trade: Buy put (or call) A, sell two puts (or calls) at higher strike B, buy put (or call) at an even higher strike C. Market expectation: Direction neutralvolatility bearish. In this case, the holder expects the underlying to remain around strike B, or it is felt that there will be a fall in implied volatility. Position is less risky than selling straddles or strangles as there is a limited downside exposure. Prot amp loss characteristics at expiry: Prot: Maximum prot limited to the difference in strikes between A and B minus the net cost of establishing the position. Maximised at mid strike B (assuming A-B and B-C are equal). Loss: Maximum loss limited to the net cost of the position for either a rise or a fall in the underlying. Break-even: Reached when the underlying is higher than A or lower than C by the cost of establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta 0 - gamma - -- - theta - - vega - -- - Delta: Neutral (assuming an at-the-money position). Delta becomes more positive as underlying moves to A, negative as the underlying moves to C. Gamma: Highest at or about strike B. Below strike A, or above strike C, the gamma will tend to decline. May become positive at greater distances from B. Theta: Time decay will be negligible until the nal month of the contract. Decay will benet the holder between underlying levels A and C, being greatest at B. If the underlying moves outside this area, decay will act against holder. Vega: Increased volatility will reduce the value of the position. Volatility may have a positive impact if the underlying is below A or above C by a sufcient margin. 27 18. Short Butterfly 1 month to expiry 3 months to expiry expiry profit C A ATM price of underlying loss B LIFFE CONNECT Strategy code: B. The trade: Sell put (or call) A, buy two puts (or calls) B, sell put (or call) C. Market expectation: Market neutralvolatility bullish. In this case the holder expects a directional move in the underlying, or a rise in implied volatility. Prot amp loss characteristics at expiry: Prot: Maximum prot is the net credit received in establishing the position and will occur if there is a sufcient directional move of the underlying, in either direction. Loss: Limited to the difference in strikes between A and B, minus the net credit in establishing the position. Break-even: Reached when the underlying is higher than A or lower than C by the credit received from establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta - 0 gamma theta - - - vega - - Delta: Neutral (assumed at-the-money spread). Delta becomes more positive as underlying moves to C, negative as the underlying moves to A. Gamma: Highest at or about strike B and will tend to decline as the market moves in either direction from this point. May become negative at greater distances from B. Theta: Time decay will be negligible until the nal month of the contract. Decay will act against the holder between underlying levels A and C, being greatest at B. If the underlying moves outside this area, decay will benet the holder. Vega: Increased volatility will increase the theoretical value of the position. Volatility may have a negative impact if the underlying is below A or above C by a sufcient margin. 28 19. Long Condor 1 month to expiry 3 months to expiry expiry profit B C price of underlying ATM A D loss LIFFE CONNECT Strategy code: W. The trade: Buy put (call) at A sell put (call) at two higher strikes B, C buy put (call) at yet higher strike D. Market expectation: Direction neutralvolatility bearish. A Long Condor allows for a greater degree of volatility and hence a wider band of prot potential than a Long Buttery. Prot and loss characteristics at expiry: Prot: Maximised where the underlying settles between the two strike prices B and C, but will decline as the market rises, or falls beyond these strikes. Loss: Occurs if the underlying rises towards strike D or falls towards strike A. Will be limited to the cost of establishing the position for either a rise or a fall in the underlying. Break-even: Lower break-even point reached when underlying reaches the lower strike price A plus the cost of establishing the spread, and the higher break-even when the underlying reaches the level of the higher strike D minus the cost of establishing the spread. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta 0 -- gamma - -- - theta - - vega - -- - Delta: Neutral (assumed at-the-money position). Delta becomes more positive as underlying moves to A, negative as the underlying moves to D. Gamma: Highest at or about strikes B and C. Below A, or above D, gamma will begin to decline. May become positive as the underlying moves further away from the ATM position. Theta: Time decay will be negligible until the nal month of the contract. Decay will benet the holder between underlying levels A and D, being greatest between B and C. If the underlying moves outside this area, decay will act against holder. Vega: Increased volatility will act against the holder. Volatility may have a positive impact if the underlying is below A or above D by a sufcient margin. 29 20. Short Condor 1 month to expiry 3 months to expiry expiry profit D A price of underlying ATM C loss B LIFFE CONNECT Strategy code: W. The trade: Sell put (call) at A buy put (call) at two higher strikes B, C sell put (call) at yet higher strike D. Market Expectation: Direction neutralvolatility bullish. Holder expects the market to move signicantly, or volatility to rise, but the direction is uncertain. A Short Condor will require a larger directional move than a buttery in order to yield a prot. Prot amp loss characteristics at expiry: Prot: Limited and will occur if the market moves above the highest strike (D) or below the lower strike at A. Loss: Maximum losses are limited and will occur if the market remains between the exercise prices B and C. Break-even: Lower break even reached when underlying reaches the lower strike price A plus the net credit received from establishing the position, and the higher breakeven when the underlying reaches the level of the higher strike price D minus the credit received from establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta -- 0 gamma theta - - - vega - - Delta: Neutral (assumed at-the-money spread). Delta becomes more positive as underlying moves to D, negative as the underlying moves to A. Gamma: Highest between strikes B and C and will tend to decline as the market moves in either direction from this point. May become negative as the underlying moves further away from the ATM position. Theta: Time decay will be negligible until the nal month of the contract. Decay will act against the holder between underlying levels B and C. If the underlying moves outside this area, decay will benet the holder. Vega: Increased volatility will increase the theoretical value of the position. Volatility may have a negative impact if the underlying is below A or above D by a sufcient margin. 30 21. Long Iron Butterfly 1 month to expiry 3 months to expiry expiry profit C A ATM price of underlying loss B LIFFE CONNECT Strategy code: I. The trade: Buy Straddle, sell Strangle with strike prices above and below the strike price of the Straddle, i. e. Sell a put (A), buy a put and a call at higher strike (B), sell a call at an even higher strike (C). Market expectation: Direction neutralvolatility bullish. Holder expects a market move in either direction. The position will also benet from an increase in volatility. Prot amp loss characteristics at expiry: Prot: Limited maximised where the underlying rises to strike C or falls to strike A. Loss: Limited to the net debit in establishing the position, greatest if underlying is at B. Break-even: Reached when underlying is above or below strike price B by the same amount as the initial debit. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta -- 0 gamma theta - - - vega - - Delta: Neutral (assumed at-the-money). Becomes highly positive (negative) for large decreases (increases) in the underlying. Gamma: Highest at or about strike B, and will tend to decline as the market moves in either direction from this point. May become negative at greater distances from B. Theta: Time decay will be negligible until the nal month of the contract. Decay will act against the holder between underlying levels A and C, being greatest at B. If the underlying moves outside this area, decay will benet the holder. Vega: Value of position will increase as expected volatility increases. 31 22. Short Iron Butterfly 1 month to expiry 3 months to expiry expiry B profit price of underlying C A loss LIFFE CONNECT Strategy code: I. The Trade: Sell Straddle, buy Strangle with strike prices above and below the strike price of the Straddle, i. e. Buy put (A), sell put and call at higher strike (B), buy call at equally higher strike (C). Market expectation: Direction neutralvolatility bearish. If the underlying is at, or about strike B and is expected to remain at this level, or it is felt that volatility will fall. Prot amp loss characteristics at expiry: Prot: Limited to the net credit in establishing the position. Maximised when the underlying is at B. Loss: Limited loss occurs if there is a directional move in the market. Maximised at the lower strike A, and the higher strike C. Break-even: Reached when underlying is above or below strike price B by the same amount as the net credit in establishing the position. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta 0 -- gamma - -- - theta - - vega - -- - Delta: Neutral (assumed at-the-money position). Gamma: Gamma will be highest at market level B and lowest if the market falls below A or rises above market level C. May become positive at greater distances from B. Theta: The position will accrue time value most rapidly at B. If the market moves outside of the A-C band, time decay will move against the holder. 32 23. Long Iron Condor D A 1 month to expiry 3 months to expiry expiry profit ATM price of underlying C B loss LIFFE CONNECT Strategy code: 5. The Trade: Buy strangle, sell strangle with strike prices outside those of the bought strangle, i. e. sell a put (A), buy a put at higher strike (B), buy a call at even higher strike (C), sell a call at even higher strike (D). This trade is only valid for FTSE 100 Index option contracts. Market expectation: Direction neutralvolatility bullish. Holder expects the market to move signicantly, or volatility to rise, but the direction is uncertain. A Long Iron Condor will require a larger directional movement than an Iron Buttery in order to yield a prot. Prot amp loss characteristics at expiry: Prot: Limited and will occur if the market moves to or above the highest strike (D) or to or below the lowest strike (A). Loss: Maximum losses are limited and will occur if the market remains at or between the strikes B and C. Break-even: Lower break-even reached when underlying falls below strike price B by the amount of the premium paid. Upper break-even reached when underlying rises above strike price C by the amount of premium paid. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta -- 0 gamma theta - - - vega - - Delta: Neutral (assumed at-the-money position). Delta becomes more positive as underlying moves to D, negative as the underlying moves to A. Gamma: Highest between strikes B and C and will tend to decline as the market moves in either direction from this point. May become negative as the underlying moves further away from the ATM position. Theta: Time decay will be negligible until the nal month of the contract. Decay will act against the holder between B and C. If the underlying moves outside this area, decay will benet the holder. Vega: Increased volatility will increase the theoretical value of the position. Volatility may have a negative impact if the underlying is below A or above D by a sufcient margin. 33 24. Short Iron Condor 1 month to expiry 3 months to expiry expiry C profit B ATM price of underlying loss D A LIFFE CONNECT Strategy code: 5. The trade: Sell strangle, buy strangle with strike prices outside those of the sold strangle, i. e. buy a put (A), sell a put at higher strike (B), sell a call at even higher strike (C), buy a call a even higher strike (D). This trade is only valid for FTSE 100 Index option contracts. Market expectation: Direction neutralvolatility bearish. A Short Iron Condor allows for a greater degree of volatility and hence a wider band of prot potential than a Short Iron Buttery. Prot amp loss characteristics at expiry: Prot: Maximised where the underlying remains at or within the exercise prices B and C, but will decline as the market rises or falls beyond these strikes. Will be limited to the net premium received for the trade. Loss: Losses are limited, and will occur if the underlying rises to or above strike D or falls to or below strike A. Break-even: Lower break-even reached when underlying falls below strike price B by the amount of the premium received. Upper break-even reached when underlying rises above strike price C by the amount of premium received. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta 0 -- gamma - -- - theta - - vega - -- - Delta: Neutral (assumed at-the-money position). Delta becomes more positive as underlying moves to A, negative as the underlying moves to D. Gamma: Highest between strikes B and C and will tend to decline as the market moves in either direction from this point. May become positive as the underlying moves further away from the ATM position. Theta: Time decay will be negligible until the nal month of the contract. Decay will benet the holder between B and C. If the underlying moves outside this area, decay will act against the holder. Vega: Increased volatility will act against the holder. Volatility may have a positive impact if the underlying is below A or above D by a sufcient margin. 34 25. Long Call Strip 1 month to expiry 3 months to expiry expiry B profit price of underlying D C loss B A LIFFE CONNECT Strategy code: M. The trade: Buy call at strike A, buy calls at higher strike prices. Between 3 and 8 strikes may be used in total, with one call option purchased at each. In the graph above, a 4-option strip is shown. All call options must be for the same expiry month. This strategy is not available for individual equity options or commodity options. Market expectation: Direction bullishvolatility bullish. A long call strip gives the holder an increased exposure to a positive movement in the underlying price. Prot amp loss characteristics at expiry: Prot: Unlimited in a rising market. Loss: Limited to the initial premium. Break-even: There will be a single break-even position, but the position in relation to the strikes will depend on the strike prices involved and the premium paid. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta gamma theta -- --- -- vega Delta: Increases as the underlying rises. The maximum level of delta depends on the number of calls in the strip, e. g. with 4 calls, the combined delta will tend to 4 as the underlying increases. Gamma: Highest between the highest and lowest strike prices. High gamma will be focussed on the area around each strike price as the strategy approaches expiry. Theta: Time decay will act against the holder of a long call strip. Vega: The value of the position will increase as expected volatility increases. 35 26. Short Call Strip 1 month to expiry 3 months to expiry expiry B A B profit C D price of underlying loss LIFFE CONNECT Strategy code: M. The trade: Sell call at strike A, sell calls at higher strike prices. Between 3 and 8 strikes may be used in total, with one call option sold at each. In the graph above, a 4-option strip is shown. All call options must be for the same expiry month. This strategy is not available for individual equity options or commodity options. Market expectation: Direction neutral or bearishvolatility bearish. Prot amp loss characteristics at expiry: Prot: Limited to the initial premium received. Loss: Unlimited in a rising market. Break-even: There will be a single break-even position, but the position in relation to the strikes will depend on the strike prices involved and the premium paid. Market sensitivities at 30 days to expiry: underlying down at-the-money delta - -- up --- gamma -- --- -- theta vega -- --- -- Delta: Decreases as the underlying rises. The minimum level of delta depends on the number of calls in the strip, i. e. with 4 calls, the combined delta will tend to -4 as the underlying increases. Gamma: Highest between the highest and lowest strike prices. High gamma will be focussed on the area around each strike price as the strategy approaches expiry. Theta: Time decay will benet the holder of a short call strip. Vega: The value of the position will decrease as expected volatility increases. 36 27. Long Put Strip 1 month to expiry 3 months to expiry expiry B profit price of underlying D C B loss A LIFFE CONNECT Strategy code: M. The trade: Buy put at strike A, buy puts at lower strike prices. Between 3 and 8 strikes may be used in total, with one put option purchased at each. In the graph above, a 4-option strip is shown. All put options must be for the same expiry month. This strategy is not available for individual equity options or commodity options. Market expectation: Direction bearishvolatility bullish. A long put strip gives the holder an increased exposure to a decline in the underlying price. Prot amp loss characteristics at expiry: Prot: Unlimited in a falling market. Loss: Limited to the initial premium. Break-even: There will be a single break-even position, but the position in relation to the strikes will depend on the strike prices involved and the premium paid. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta --- -- - gamma theta -- --- -- vega Delta: Decreases as the underlying rises. The maximum level of delta depends on the number of puts in the strip - e. g. with 4 puts, the delta will tend to -4 as the underlying decreases. Gamma: Highest between the highest and lowest strike prices. High gamma will be focussed on the area around each strike price as the strategy approaches expiry. Theta: Time decay will act against the holder of a long put strip. Vega: The value of the position will increase as expected volatility increases. 37 28. Short Put Strip 1 month to expiry 3 months to expiry expiry B A profit B C price of underlying D loss LIFFE CONNECT Strategy code: M. The trade: Sell put at strike A, sell puts at lower strike prices. Between 3 and 8 strikes may be used in total, with one put option sold at each. In the graph above, a 4-option strip is shown. All put options must be for the same expiry month. This strategy is not available for individual equity options or commodity options. Market expectation: Direction neutral or bullishvolatility bearish. Prot amp loss characteristics at expiry: Prot: Limited to the initial premium received. Loss: Unlimited in a falling market. Break-even: There will be a single break-even position, but the position in relation to the strikes will depend on the strike prices involved and the premium paid. Market sensitivities at 30 days to expiry: underlying down at-the-money delta up gamma -- --- -- theta vega -- --- -- Delta: Increases as the underlying rises. The minimum level of delta depends on the number of puts in the strip, e. g. with 4 puts, the combined delta will tend to 4 as the underlying decreases. Gamma: Highest between the highest and lowest strike prices. High gamma will be focussed on the area around each strike price as the strategy approaches expiry. Theta: Time decay will benefit the holder of a short put strip. Vega: The value of the position will decrease as expected volatility increases. 38 29. Long Calendar Spread This is a time value trade (involving the sale and purchase of options with different expiry months) and as such cannot be adequately plotted in terms of its riskreward prole. LIFFE CONNECT Strategy code: E. The trade: Sell near put (call), buy far put (call) at same strike. Market expectation: Direction neutralvolatility bullish. The near term option decays faster than the longer dated option, therefore the trade benets from an increase in volatility. Prot and loss characteristics at expiry (of near term option): The potential prot in a time value trade is derived from the time decay characteristics of options (see the description of Theta in the introduction). The near, written put (call) will decay at a rate faster than that of the far, purchased put (call) as it approaches expiry and it is this differential in the rate of time decay which may yield a prot. Assuming the options are at-the-money and the market remains at this level, the sold option will expire worthless and the purchased option, although not possessing intrinsic value, will hold time value. As the initial position is established at a loss (because the far option will command a higher premium), to yield a prot, the time value of the long option after the expiry of the short dated option must be such that its value is greater than the initial cost of establishing the position. 39 30. Long Diagonal Calendar Spread This is a time value trade (involving the sale and purchase of options with different expiry months) and as such cannot be adequately plotted in terms of its riskreward prole. LIFFE CONNECT Strategy code: F. The trade: Sell near put (call), buy far put (call) at a different strike. Market expectation: Expected to prot from time-decay differential and an increase in volatility. In addition, the position is suitable for a directional view on the underlying, e. g. sell Sep 99.00 call and buy Dec 101.00 call, giving a reduced cost calendar spread trade. Prot amp loss characteristics at expiry (of near option): The protability of the trade depends upon the differing time decay characteristics of the near, sold put (call) and the far, purchased put (call). The difference between this trade and that of a Calendar spread is that a diagonal spread involves options with different strike prices. As with a Calendar spread, the maximum loss will occur if the near, sold call (put) moves in-the-money and is exercised, followed by a fall (rise) in the market rendering the purchased call (put) worthless on expiry. 40 31. Long Straddle Calendar Spread This is a time value trade (involving the simultaneous sale and purchase of straddles with different expiry months but same strikes), and as such cannot be adequately plotted in terms of its riskreward prole. LIFFE CONNECT Strategy code: N. The Trade: Sell Straddle in near month, buy Straddle in far month at same strike. Market expectation: The near Straddle decays faster than the longer dated Straddle. The trade benets from an increase in volatility. Prot amp loss characteristics at expiry (of near straddle): The potential prot in this trade arises as a result of the differing rates of time decay between the two straddles. Maximum prot will be realised if the sold straddle expires worthless and after this expiry, increased volatility or a directional move increases the value of the purchased straddle. Maximum loss will occur if the sold straddle is exercised and reduced volatility subsequently occurs, driving the purchased straddle into loss. 41 32. Long Diagonal Straddle Calendar Spread This is a time value trade (involving the sale and purchase of straddles with different expiry months), but with different strikes and as such cannot be adequately plotted in terms of its riskreward prole. LIFFE CONNECT Strategy code: P. The Trade: Sell Straddle in near month, buy Straddle in far month at different strike. Market expectation: Prot from time decay differential, benet from an increase in volatility, andor benet from a directional movement in the underlying (as the position involves straddles of different strikes, it is suitable for a directional view). Prot amp loss characteristics at expiry (of near straddle): The potential prot in this trade arises as a result of the differing rates of time decay between the two straddles. Maximum prot will be realised if the sold straddle expires worthless, and after this expiry, increased volatility drives the purchased straddle in-themoney. Alternatively, the purchased straddle can be sold for its time value before the expiry date. Maximum loss will occur if the sold call is exercised and the market subsequently moves unfavourably, driving the purchased position out-of-the-money such that it expires worthless or can be sold for its time value only. 42 33. Long Jelly Roll This is a time value trade (involving the sale and purchase of options with different expiry months) and as such cannot be adequately plotted in terms of its riskreward prole. LIFFE CONNECT Strategy code: A. The trade: Buy put, sell call at same strike price in near expiry month, sell put, buy call at same strike in far expiry month (the strike price in the far expiry need not be equal to the strike price in the near expiry). This trade is only valid for FTSE 100 Index option contracts. Market expectation: Direction neutralvolatility neutral. This trade consists of a short synthetic underlying in the near month and a long synthetic underlying in the far month. The holder will benet if the differential between the futures prices of the two expiries (or the cost of carry differential in the case of premium up front options) widens. Prot amp loss characteristics at expiry (of near synthetic): The potential prot of this trade is restricted as it arises from a widening of the futures price differential of the expiry months in question. After the expiry of the near term options, the holder is left with a long synthetic underlying position. The holder will therefore benet from a rising market after the rst expiry, and will be adversely affected by a falling market after the rst expiry. 43 34. Long Straddle Strip This is a time value trade (involving the purchase of options with different expiry months) and as such cannot be adequately plotted in terms of its risk reward prole. LIFFE CONNECT Strategy code: M. The trade: Buy between two and four straddles. Each straddle must be in a separate expiry month. This strategy is not available for individual equity options or commodity options. Market expectation: A long straddle strip gives the holder an increased exposure to an increase in volatility. Prot amp loss characteristics at expiry (of near straddle): The potential prot from this trade arises from either a signicant directional movement in the underlying, or an increase in the expected volatility of the underlying across the range of expiry months. Loss will occur if the value of the underlying remains stable andor the expected future volatility of the underlying falls. 44 35. Long Box profit price of underlying loss LIFFE CONNECT Strategy code: X. The trade: Buy a call and sell a put, buy a put and sell a call and at a higher strike. All four options should have the same expiry date. Market expectation: Direction neutralvolatility neutral. This is a locked trade, and hence its value is wholly independent of the price of the underlying. Where the synthetic long underlying price at one strike is trading at a lower price than the synthetic short underlying at the higher strike, such that the differential may be exploited. Prot and loss characteristics at expiry: If the pricing differential can be exploited, a prot will occur, the extent of the mis-pricing translating into the level of prot realised. The Box is regularly used by traders to close out positions near expiry. Generally traded at par (zero) for options on futures, and at the net cost of carry for index and equity options. Can be problematic if all positions are not closed out at exactly the same time. Market sensitivities at 30 days to expiry: As this is a form of arbitrage and prot is therefore independent of changes in the underlying, the value of the position will be independent of the market, hence: underlying down at-the-money up delta 0 0 0 gamma 0 0 0 theta 0 0 0 vega 0 0 0 Delta: Neutral Gamma: Neutral Theta: Neutral Vega: Neutral putcall parity ensures that implied volatility will be exactly the same for both a call and a put with the same strike and expiry. NB: A Box is simply a conversion at one exercise price and a reversal at a different exercise price. 45 36. Long Two by One Ratio Call Spread 1 month to expiry 3 months to expiry expiry profit A price of underlying loss B LIFFE CONNECT Strategy code: H. The trade: Sell a call (A), buy 2 calls at higher strike (B). Market expectation: Market bullishvolatility bullish. Holder expects the market to settle above B. The position is usually established by selling an at-the-money or close to at-the-money call (A), and buying two out-of-the-money calls (B), such that it can be established at a small net credit. Depending on the strikes chosen, the position could also be established at break-even or at a small premium cost. Prot amp loss characteristics at expiry: Prot: Unlimited if underlying rallies. At A or below, prot limited to net credit. Loss: Greatest loss occurs at higher strike B, and is the difference between strikes B-A, minus (plus) net credit (debit). Break-even: Lower break-even point is reached when the underlying exceeds the lower strike option A by the same amount as the net credit received (if initial position established at a net cost, there is no lower break-even point). Higher break-even point reached when intrinsic value of option A, is equal to the combined intrinsic value of the two higher strike options B, plus (minus) the net credit (debit). Market sensitivities at 30 days to expiry: Delta: Increases towards 1 as underlying rises. If, approaching expiry, the underlying is around strike A, the delta may become negative. Gamma: Highest at B and declines as the underlying rises above B. If, approaching expiry, the underlying is around strike A, the gamma may become negative. Theta: Value of position will decrease as the bought options are affected by time decay. However, if the underlying remains below, or around strike A, the theta may become positive. Vega: Value of position will increase as implied volatility increases. However, If approaching expiry, the underlying is around strike A, the vega may become negative. 46 37. Short Two by One Ratio Call Spread 1 month to expiry 3 months to expiry expiry B profit price of underlying A loss LIFFE CONNECT Strategy code: H. The trade: Buy a call (A), sell 2 calls at higher strike (B). Market expectation: Market neutralvolatility bearish. Holder expects that the market will not rally but will settle around point B. Position usually established by buying an at or close to-the-money call, and selling two out-of-the-money calls such that although it is a net short position, it may be established at a small cost (as in the above example). Depending on the strikes chosen, the position could also be established at break-even or at a small credit. Prot amp loss characteristics at expiry: Prot: Greatest prot occurs at higher strike B which is the difference between strikes B-A plus (minus) net credit (debit). Loss: Unlimited if underlying rallies. At A or below, loss limited to net cost. Break-even: Lower break-even reached when the underlying exceeds the lower strike option A, by the same amount as the net cost of the position (if initial position established at a net credit, there is no lower break-even point). Higher break-even point reached when intrinsic value of option A, plus (minus) the net credit (debit) from establishing the position, is equal to the combined intrinsic value of the two higher strike options B. Market sensitivities at 30 days to expiry: Delta: Approaches -1 as the underlying rises. If, approaching expiry, the underlying is around strike A, the delta may become positive. Gamma: Highest at point B and declines as the underlying rises above B. If, approaching expiry, underlying is around strike A, it may become positive. Theta: Value of position will increase as the short options are affected by time decay. If the underlying remains below, or around strike A, the theta may become positive. Vega: Value of position will decrease as implied volatility increases. If, approaching expiry, the underlying is around strike A and the vega may become positive. 47 38. Long Two by One Ratio Put Spread 1 month to expiry 3 months to expiry expiry profit B price of underlying loss A LIFFE CONNECT Strategy code: H. The trade: Sell a put (B), buy two puts at lower strike (A). Market expectation: Market bearishvolatility bullish. Holder expects market to fall below A. Position usually established by selling an at or close to the money put (B), and buying two out-of-the-money puts (A), such that although it is a net long position, it can be established at a small credit as in the above example. Depending on the strikes chosen, the position could also be established at break-even or at a small premium cost. Profit amp loss characteristics at expiry: Profit: Unlimited in a falling market. At B or above, profit limited to net credit. Loss: Greatest loss which occurs at lower strike A, is the difference between strikes B-A minus (plus) net credit (debit) Break-even: Lower break-even reached when the combined intrinsic value of the two purchased puts at A, plus (minus) the initial credit (debit) from establishing the position, are equal to the value of the written put B. Higher break-even point reached when intrinsic value of option B is equal to initial credit. If initial position established at a net cost, there is no higher break-even point. Market sensitivities at 30 days to expiry: Delta: Approaches -1 as underlying falls. If approaching expiry, the underlying is around strike A and the delta may become positive. Gamma: Highest at A and declines as the underlying falls below this point. If approaching expiry, the underlying is at B, the gamma may become negative. Theta: Value of position will decrease as the long options are affected by time decay. If the underlying remains above, or around strike B, the theta may become positive. Vega: Value of position will increase as implied volatility increases. If, approaching expiry, the underlying is around strike B and the vega may become negative. 48 39. Short Two by One Ratio Put Spread 1 month to expiry 3 months to expiry expiry A profit price of underlying B loss LIFFE CONNECT Strategy code: H. The trade: Buy a put (B), sell two puts at lower strike (A). Market expectation: Market neutralvolatility bearish. Holder expects market to settle around strike A, and feels that the market will not fall below A. Usually established by buying an at - the-money or close-to at-the-money put (B) and selling two out-of-the-money puts (A) such that it is established at a small cost. Depending on the strikes chosen, the position could also be established at break-even or at a small premium credit. Prot amp loss characteristics at expiry: Prot: Greatest at A, it is the difference between strikes A-B plus (minus) net credit (debit). Loss: Unlimited in a falling market. At B or above, loss limited to net cost. Break-even: Lower break-even point is reached when the combined intrinsic value of the options at A equals the intrinsic value of option B, plus (minus) the net credit (debit) from establishing the position. Higher break-even point reached when intrinsic value of option B, is equal to the debit from establishing the position. Market sensitivities at 30 days to expiry: Delta: Increases towards 1 as market falls. If however, approaching expiry, the underlying is around strike A and the delta may become negative. Gamma: Highest at point A and declines as underlying falls below A. If approaching expiry, the underlying is at B and the gamma may become positive. Theta: Value of position will increase as short options are affected by time decay. If however, the underlying remains above or around strike B, the theta may become negative. Vega: Value of position will decrease as implied volatility increases. If, however, approaching expiry, the underlying is at B and the vega may become positive. 49 40. Long Call Ladder 1 month to expiry 3 months to expiry expiry B profit C A price of underlying loss LIFFE CONNECT Strategy code: L. The trade: Buy a call (A), sell call at higher strike (B), sell call at an even higher strike (C). Market expectation: Direction bearishvolatility bearish. In this case the holder expects the market to settle between B and C but feels that volatility will not rise. Prot amp loss characteristics at expiry: Prot: Limited to the difference between strikes A and B plus (minus) net credit (debit). Greatest prot occurs between strikes B and C. Loss: Unlimited if underlying rallies. At A or below, loss limited to net cost. Break-even: Lower break-even reached when the underlying exceeds the lower strike option A, by the same amount as the net cost of the position. Higher break-even point reached when the intrinsic value of option A, plus (minus) the net credit (debit) from establishing the position, is equal to the intrinsic value of the two higher strike options at B and C. Market sensitivities at 30 days to expiry: Delta: Approaches -1 as underlying rises. If, approaching expiry, the underlying is around strike A, the delta becomes positive. Gamma: Usually negative. Highest between B and C. If, approaching expiry, the underlying is around strike A and the gamma becomes positive. Theta: Value of position will increase as the short options are affected by time decay. If the underlying remains below or around strike A, theta becomes slightly negative. Vega: Value of position will decrease as implied volatility increases. If, approaching expiry, the underlying is around strike A and the vega may become positive. 50 41. Short Call Ladder 1 month to expiry 3 months to expiry expiry profit C price of underlying loss A B LIFFE CONNECT Strategy code: L. The trade: Sell a call (A), buy call at higher strike (B), buy call at an even higher strike (C). Market expectation: Direction bullishvolatility bullish. Holder expects a substantial rise in the underlying market. Prot amp loss characteristics at expiry: Prot: Unlimited if underlying rallies. At A or below, prot limited to net credit. Loss: Limited to the difference between strikes A and B minus (plus) net credit (cost). Break-even: Lower break-even reached when the underlying exceeds the lower strike option A by the same amount as the net credit received, (if initial position established at a net cost, there is no lower break-even point). Higher break-even point reached when intrinsic value of option A, is equal to the intrinsic value of the two higher strike options at B and C, plus (minus) the net credit (debit) in establishing the position. Market sensitivities at 30 days to expiry: Delta: Increases towards 1 as underlying rises. If, approaching expiry, the underlying is around strike A, the delta becomes negative. Gamma: Highest between strikes B and C. If, approaching expiry, the underlying is around strike A, the gamma becomes negative. Theta: Value of position will decrease as the long options decay. If the underlying remains below, or around strike A, theta becomes slightly positive. Vega: Value of position will increase as implied volatility increases. If, approaching expiry, the underlying is around strike A, the vega may become slightly negative. 51 42. Long Put Ladder 1 month to expiry 3 months to expiry expiry profit A B price of underlying C loss LIFFE CONNECT Strategy code: L. The trade: Sell put (A), sell put at higher strike (B), buy put at an even higher strike (C). Market expectation: Direction bullishvolatility bearish. Holder expects underlying to (continue to) be between strikes A and B and rmly believes that the market will not fall. Prot amp loss characteristics at expiry: Prot: Limited to the difference B-C, plus (minus) net credit (debit). Maximised between strikes A and B. Loss: Unlimited if underlying falls. At C or above, loss limited to net cost of position. Break-even: Lower break-even reached when the intrinsic value of the purchased put C plus (minus) net credit (cost) is equal to the intrinsic value of the sold options A and B. Higher break-even reached when underlying falls below strike C by the same as the net cost of the position. Market sensitivities at 30 days to expiry: Delta: Positive. However, becomes negative if the underlying is around strike C approaching expiry. Gamma: Highest between A and B. If however, approaching expiry, the underlying is at C, the gamma becomes positive. Theta: Positive value of position will increase as short options decay. If however, approaching expiry, the underlying is above or around C, theta may become slightly negative. Vega: Negative value of position will decrease as implied volatility increases. If however, approaching expiry, the underlying is at C, the vega may become slightly positive. 52 43. Short Put Ladder 1 month to expiry 3 months to expiry expiry profit C price of underlying loss A B LIFFE CONNECT Strategy code: L. The trade: Buy put (A), buy put at higher strike (B), sell put at equally higher strike (C). Market expectation: Direction bearishvolatility bullish. Buyer expects a volatile market and additional prots can be made in a bearish market. Prot amp loss characteristics at expiry: Prot: Unlimited if underlying falls. At C or above, prot limited to the net credit. Loss: Limited to the difference between B and C minus (plus) net credit (debit). Break-even: Higher break-even reached when the market falls below C by the value of the net credit. Lower break-even reached when the intrinsic value of options A and B plus (minus) the net credit (debit) is equal to the intrinsic value of C. Market sensitivities at 30 days to expiry: Delta: Approaches -1 as underlying falls. If however, approaching expiry, the underlying is around strike B or C, the delta may become positive. Gamma: Maximum between points A and B. However if approaching expiry, the underlying is at C, the gamma may become negative. Theta: Value of position will decrease as long options are affected by time decay. If however, the underlying is above, or about C, the theta may become positive. Vega: Value of position will increase as implied volatility increases. If however, approaching expiry, the underlying is around C, the vega may become negative. 53 44. Synthetic Long Underlying expiry profit price of underlying loss LIFFE CONNECT Strategy code: r. The Trade: Buy call, sell put at same strike (generally the at-the-money strike). This strategy is effectively a Reversal without the sale of the underlying. Market Expectation: Market bullishvolatility neutral. Profit and loss characteristics at expiry: Prot: Unlimited in a rising market. Loss: Unlimited in a falling market. Break-even: If the position is opened at a net debit, break-even is reached when the underlying rises above the strike price of the strategy by the net amount of premium paid. If the position is created at a net credit, break-even occurs when the underlying falls below the strike price by the net premium received. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta Gamma 0 0 0 Theta 0 0 0 Vega 0 0 0 Delta: 1 since the strategy synthetically replicates a long underlying. Gamma: Zero. Delta of position is not subject to change. Theta: Zero. Positive theta of short put nets out against negative theta of long call. Vega: Zero. Positive vega of long call nets out against negative vega of short put. 54 45. Synthetic Short Underlying expiry profit price of underlying loss LIFFE CONNECT Strategy code: r. The Trade: Buy put, sell call at the same strike (generally the at-the-money strike). This strategy is effectively a Conversion without the purchase of the underlying. Market Expectation: Market bearishvolatility neutral. Prot and loss characteristics at expiry: Prot: Unlimited in a falling market Loss: Unlimited in a rising market Break-even: If the position is opened at a net debit, break-even is reached when the underlying falls below the strike price of the strategy by the net amount of premium paid. If the position is created at a net credit, break-even occurs when the underlying rises above the strike price by the net premium received. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta --- --- --- Gamma 0 0 0 Theta 0 0 0 Vega 0 0 0 Delta: 1 since the strategy synthetically replicates a short underlying. Gamma: Zero. Delta of position is not subject to change. Theta: Zero. Positive theta of short call nets out against negative theta of long put. Vega: Zero. Positive vega of long put nets out against negative vega of short call. 55 46. Long Call Spread versus Put 1 month to expiry 3 months to expiry expiry C profit price of underlying A B loss LIFFE CONNECT Strategy code: x. The Trade: Buy call (B), sell call at higher strike (C), sell put at any strike the short put will generally be at a strike lower than both calls (A). This spread has a similar prole to the long call spread, but the short put reduces the cost of the strategy due to the intake of premium. Market Expectation: Market bullishvolatility bearish. Prot and loss characteristics at expiry: Prot: Limited in a rising market. Loss: Unlimited in falling market. Break-even: If the position is opened at a net debit, break-even occurs when the underlying rises above strike B by the net amount of premium paid. If the position is created at a net credit, break-even is reached when the underlying falls below strike A by the same amount as the premium received. Market sensitivities at 30 days to expiry: Underlying down at-the-money Delta Gamma - -- - Theta Vega - -- - up Delta: Positive. Moves towards 1 as future nears strike A. Become less positive as underlying rises. Gamma: Negative. Highest when underlying is around strike B. Positive at B near expiry. Theta: Positive at A and C. Negative at B near expiry. Vega: Negative at A and C. Positive at B near expiry. 56 47. Short Call Spread versus Put 1 month to expiry 3 months to expiry expiry profit B A price of underlying loss C LIFFE CONNECT Strategy code: x. The Trade: Sell call (B), buy call at higher strike (C), buy put at any strike the long put will generally be at a strike lower than both calls (A). This spread has a similar prole to the short call spread, but the long put provides unlimited prot potential in a falling market. Market Expectation: Market bearishvolatility bullish. Prot and loss characteristics at expiry: Prot: Unlimited in a falling market Loss: Limited in a rising market Break-even: If the position is created at a net debit, break-even is reached when the underlying falls below strike A by the net amount of premium paid. If the position is opened at a net credit, break-even occurs when the underlying rises above strike B by the net premium received. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta --- -- - Gamma Theta - -- - Vega Delta: Negative. Moves towards 1 as future nears strike A. Become less negative as underlying rises. Gamma: Positive. Highest when underlying is around strike B. Negative at B near expiry. Theta: Negative at A and C. Positive at B near expiry. Vega: Positive at A and C. Negative at B near expiry. 57 48. Long Put Spread versus Call 1 month to expiry 3 months to expiry expiry profit A price of underlying C B loss LIFFE CONNECT Strategy code: y. The Trade: Buy put (B), sell put at lower strike (A), sell call at any strike the short call will generally be at a higher strike than both puts (C). The prole is similar to that of a long put spread, but with greater intake of premium due to the short call. Market Expectation: Market bearishvolatility bearish. Prot and loss characteristics at expiry: Prot: Limited in a falling market. Loss: Unlimited in a rising market. Break-even: If the position is created at a net debit, break-even is reached when the underlying falls below strike B by the net amount of premium paid. If the position is opened at a net credit, break-even occurs when the underlying rises above strike C by the premium received. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta - -- --- Gamma - -- - Theta Vega - -- - Delta: Negative. Moves towards 1 as underlying rises towards strike C. Gamma: Negative. Highest when underlying is around strike B. Positive at B near expiry. Theta: Positive at A and C. Negative at B near expiry. Vega: Negative at A and C. Positive at B near expiry. 58 49. Short Put Spread versus Call 1 month to expiry 3 months to expiry expiry profit B C loss price of underlying A LIFFE CONNECT Strategy code: y. The Trade: Sell put (B), buy put at lower strike (A), buy call at any strike the long call will generally be at a higher strike than both puts (C). The prole is similar to that of a short put spread, but the long call provides unlimited prot potential should the underlying rise above C. Market Expectation: Market bullishvolatility bullish. Prot and loss characteristics at expiry: Prot: Unlimited in a rising market. Loss: Limited in a falling market. Break-even: If the position is opened at a net credit, break-even occurs when the underlying falls below strike B by the premium received. If the position is opened at a net debit, breakeven is reached when the underlying rises above strike C by the amount of premium paid. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta Gamma Theta - -- - Vega Delta: Positive. Moves towards 1 as underlying rises towards strike C. Gamma: Positive. Highest when underlying is around strike B. Negative at B near expiry. Theta: Negative at A and C. Positive at B near expiry. Vega: Positive at A and C. Negative at B near expiry. 59 50. Long Straddle versus Call 1 month to expiry 3 months to expiry expiry profit B price of underlying loss A LIFFE CONNECT Strategy code: z. The Trade: Buy call (A), buy put at same strike, sell call at any strike (B) the short call will generally be at a strike higher than the straddle. This spread provides similar exposure to the long straddle, but with cheaper initial outlay due to the premium received from the short call. Market Expectation: Market neutral to bearishvolatility bullish. Prot and loss characteristics at expiry: Prot: Unlimited in falling market. Limited in rising market. Loss: Limited in a static market. Break-even: Reached when underlying moves in either direction from A by the net amount of premium paid. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta --- - Gamma - Theta - -- - Vega - Delta: Negative. Moves towards 1 as underlying falls below strike of straddle. Gamma: Positive. Change in delta will have greatest effect around strike A. Theta: Time decay will have a negative effect on the value of the position. As the underlying rises, this effect becomes negligible. Vega: Positive. An increase in expected volatility will have a positive effect on the spread. This effect lessens as the underlying moves away from the strike of the straddle, particularly as it rises. 60 51. Short Straddle versus Call profit 1 month to expiry 3 months to expiry expiry A price of underlying B loss LIFFE CONNECT Strategy code: z. The Trade: Sell call (A), sell put at same strike (A), buy call at any strike (B) the long call will generally be at a higher strike than the straddle. The prole is similar to that of a short straddle, but loss in a rising market is limited by the long call. Market Expectation: Market neutralvolatility bearish. Prot and loss characteristics at expiry: Prot: Limited in a static market. Loss: Limited in a rising market. Unlimited in a falling market. Break-even: Reached when underlying moves in either direction from A by the amount of premium received. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta - Gamma - -- - Theta - Vega - -- - Delta: Positive. Moves towards 1 as underlying falls below strike of straddle. Gamma: Negative. Change in delta will have greatest effect around strike A. Theta: Time decay will have a positive effect on the value of the position. As the underlying rises, this effect becomes negligible. Vega: Negative. A decrease in expected volatility will have a positive effect on the spread. This effect lessens as the underlying moves away from the strike of the straddle, particularly as it rises. 61 52. Long Straddle versus Put 1 month to expiry 3 months to expiry expiry profit A price of underlying loss B LIFFE CONNECT Strategy code: z. The Trade: Buy call (B), buy put at same strike (B), sell put at any strike (A) generally the short put will be at a strike lower than the straddle. This spread offers similar exposure to the long straddle, but at a cheaper cost because of the premium taken in from the short put. Market Expectation: Market neutral to bullishvolatility bullish. Prot and loss characteristics at expiry: Prot: Unlimited in a rising market. Limited in a falling market. Loss: Limited in a static market. Break-even: Reached when the underlying moves in either direction from B by the amount of premium paid. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta - Gamma - Theta - -- - Vega - Delta: Positive. Moves towards 1 as the underlying rises above the strike of the straddle. Gamma: Positive. Change in delta will have the greatest effect around strike B. Theta: Negative. Time decay will decrease the value of the spread, but as the underlying moves away from the strike of the straddle the effect of time decay lessens. In particular, as the underlying falls, the effect of time decay becomes negligible. Vega: Positive. Vega will be highest when the underlying is trading close to the strike of the straddle. 62 53. Short Straddle versus Put 1 month to expiry 3 months to expiry expiry B profit price of underlying A loss LIFFE CONNECT Strategy code: z. The Trade: Sell call (B), sell put at same strike, buy put at any strike (A) generally the long put will be at a strike lower than the straddle (A). This spread offers similar exposure to the short straddle, but the long put limits risk in a falling market. Market Expectation: Market neutralvolatility bearish. Prot and loss characteristics at expiry: Prot: Limited in a static market. Loss: Limited in a falling market. Unlimited in a rising market. Break-even: Reached when the underlying moves in either direction from B by the amount of premium received. Market sensitivities at 30 days to expiry: Underlying down at-the-money up Delta - --- Gamma - -- - Theta - Vega - -- - Delta: Negative. Moves towards 1 as underlying rises above the strike of the straddle. Gamma: Negative. Change in delta will have the greatest effect around strike B. Theta: Positive. Time decay will increase the value of the spread, but as the underlying moves away from the strike of the straddle, the effect of time decay lessens. In particular, as the underlying falls, the effect of time decay becomes negligible. Vega: Negative. Vega will be highest when the underlying is trading close to the strike of the straddle. 63 54. Long Volatility Trade profit Volatility increase Volatility decrease Underlying price loss LIFFE CONNECT Strategy code: V. The trade: Buy puts and buy underlying or buy calls and sell underlying to give zero net delta. The position is dynamic in that as the underlying moves and the delta changes, additional futures must be bought or sold to maintain delta neutrality. For stock contingent trades, the underlying leg will comprise the underlying shares rather than the futures contract. Market expectation: Market neutralvolatility bullish. This position is a pure trade on volatility such that an increase in implied volatility will benet the holder. Prot amp loss characteristics at expiry: Prot: Dependent on an increase in implied volatility as well as any prots from the future hedge and hedge rebalancing. Loss: Limited to the costs of establishing the position plus any loss in rebalancing the hedge. Break-even: (i) For a long put, long futures position, if the price of the underlying increases, break-even is obtained where the gain in the value of the futures position (less the initial premium and less the rebalancing cost) is equal to zero. If price falls, break-even is obtained where the loss on the futures position (less the intrinsic value of the put, plusminus the rebalancing cost) is equal to zero. (ii) For a long call, short futures position, if the underlying price increases, break-even is obtained where the gain in the call (less the loss in the future, plusminus the rebalancing cost) is equal to zero. If price falls, break-even is obtained where the gain on the futures (minus the loss on the call, plusminus the re-balancing cost) is equal to zero. Delta: Neutral. Gamma: Positive, the delta neutral position is highly sensitive to movement in the underlying, consequently the position requires dynamic hedging. Theta: Value of position will decrease as options decay. Vega: Value of position will increase as expected volatility increases. 64 55. Short Volatility Trade profit Volatility decrease Volatility increase Underlying price loss LIFFE CONNECT Strategy code: V. The trade: Sell puts and sell underlying or sell calls and buy underlying to give zero net delta. The position is dynamic in that as the underlying moves and the delta changes, additional futures must be bought or sold to maintain delta neutrality. For stock contingent trades, the underlying leg will comprise the underlying shares rather than the futures contract. Market expectation: Market neutralvolatility bearish. The position is a trade on volatility such that a decrease in implied volatility will benet the holder. Prot amp loss characteristics at expiry: Prot: Limited to the credit received from the sold options and any prot on rebalancing the hedge. Loss: The more implied volatility rises, the greater will be the potential losses. Break-even. (i) For a short put, short futures position, if the underlying price increases, break-even is obtained where the initial premium on the put, minus the loss on the futures, plusminus the rebalancing cost, is equal to zero. If price falls, the gain on the futures position, minus the loss on the put, plusminus the rebalancing cost is equal to zero. (ii) For a short call, long futures position, if the underlying price rises, break-even is obtained where the gain on the futures, minus the loss on the call, plusminus the rebalancing cost, is equal to zero. If price falls, break-even is obtained where the call premium, minus the loss on the futures, plusminus the rebalancing cost, is equal to zero. Delta: Neutral. Gamma: Negative, the delta neutral position is highly sensitive to movements in the underlying, consequently the position requires dynamic hedging. Theta: Value of position will increase as the options decay. Vega: Value of position will decrease as expected volatility increases. 65 56. ConversionReversal profit price of underlying loss LIFFE CONNECT Strategy code: R. The trade: Conversion: Sell call, buy put at same strike, buy underlying. Reversal: Buy call, sell put at same strike, sell underlying. Market expectation: Direction neutralvolatility neutral. A Conversion or Reversal is a locked trade and hence its value is wholly independent of the price of the underlying. The options position in a Conversion will create a synthetic short underlying and potential protloss will result from any pricing differential between this and the long underlying position. The options position within a Reversal will create a synthetic long underlying and so protloss realised will be xed to the difference between the price of the short underlying and the long synthetic underlying. Prot and loss characteristics at expiry: If the pricing differential can be exploited, a prot will occur. The extent of the mis-pricing between the underlying and synthetic underlying positions will translate into the level of prot realised. Market sensitivities at 30 days to expiry: underlying down at-the-money up delta 0 0 0 gamma 0 0 0 theta 0 0 0 vega 0 0 0 As this is a form of arbitrage and profit is therefore independent of changes in the underlying, the positions value will be independent of the market, hence: Delta: Neutral Gamma: Neutral Theta: Neutral Vega: Neutral putcall parity ensures that implied volatility must be the same for both a call and a put with the same strike and expiry. 66 Delta Neutral Strategies The remaining delta neutral strategy trades made available by LIFFE, as listed on page 6 are not described in detail here. As with the Volatility Trade on pages 64 and 65, and the ConversionReversal on page 66, these strategies consist of an options strategy superimposed with a position in the underlying instrument. This has the effect of creating a position which is delta neutral under the prevailing market conditions. In order to maintain delta neutrality, the underlying position may need to be adjusted should the underlying, the volatility or the time to expiry change. Positions in the underlying asset have no gamma, theta or vega. Therefore, whilst the delta of the options strategy will be affected by the addition of the underlying position, the remaining greeks will be unaffected. 67 68 LIFFE Options a guide to trading strategies LIFFE Administration and Management (a wholly owned subsidiary of LIFFE (Holdings) plc) Cannon Bridge House. 1 Cousin Lane. London EC4R 3XX. United Kingdom Telephone: 44 (0) 20 7623 0444 Fax: 44 (0) 20 7588 3624 liffe Registered in England no 1591809 294802022000US. View Full Document This note was uploaded on 10182018 for the course IF 10 taught by Professor Nouet during the Spring 03915 term at cole Suprieure d039Ingnieurs Lonard de Vinci. Click to edit the document details