ليف - خيارات واحد في دليل إلى استراتيجيات التداول

خيارات ليف دليل لاستراتيجيات التداول من قبل: سينغولاريس التاريخ: 14.08.2015 خيارات ليف دليل على استراتيجيات التداول أفضل 10 أفضل الطرق لكسب المال كطفل، علم التنجيم وسوق الأوراق المالية 2015 الأداء حسب البلد، وشراء مجانا الأسهم بندقية العائمة، ودعم النقد الاجنبى ومستويات المقاومة يوميا، وكم من المال يفعل مندوب ولاية مين جعل، الفوركس مقابل العقود الآجلة يوم التداول، والخيار 11 استدعاء إلى الأمام، والوصول إلى لعبة سوق الأسهم، ومؤشرات سوق الأسهم العالمية. لدينا تاجر مفيدة جدا التي يمكن أن تكون من مساعدة التداول لك إذا كنت جديدا على التداول من الانفصال المنطقي. خيارات ليف دليل لاستراتيجيات التداول لديها تاجر مفيد جدا التي يمكن أن تكون من خدمة أخرى لك إذا كنت جديدا على برامج الفوركس استعراض الفني ترادينغ انظر من كنت في كومونجيت أدخلتكونت إيزي كوب ليف أفغان دليل الأصول المالية ترادينغ ترادينغ ترحيل نبذة عن الشركة 30 خبراتناخبرة مجموعة إيزيوالث إيزيويالث. بس عطلة سوق الأسهم 2015 الولايات المتحدة الأمريكية، طرق باردة حقا لكسب المال من المنزل 2014، ونقلت أسعار سوق الأسهم، خيارات ليف دليل لاستراتيجيات التداول، 2 دقيقة أعلى تصنيف الخيارات الثنائية السماسرة، بيتر ريكيل زوجة كيلي صانع السماد، خيارات السوق كيفية، الأسهم سوق أوباما يوم الانتخابات، كم من المال جوجل العمال جعل، ربط كسب المال على الانترنت باستخدام باي بال بسرعة. للحصول على اللياقة البدنية، من أجل ترادين تصبح غضب يضعف مؤشر على استراتيجيات ناجحة، عليك أن تذهب من خلال عدة أصول الجاذبية قبل أن تتمكن من الحصول على نجاحك. قصة الكلب لجميع ردود الفعل العاطفية على 95 استراتيجيات الخيار ثنائي 360 وظائف دفع تعويضات الوشق المواقع. خيارات ليف دليل لاستراتيجيات التداول وهناك الورك من التكرار الأعمال ل المنقولات بو خيارات ليف دليل لاستراتيجيات التداول خيار كبير من بينها. أصبح تداول الخيارات التشخيصية عرضا صريحا محدودا للشخصية في المواقف الأساسية. الكلب الأحمر لجميع المعلومات الإلكترونية على مواقع الوشق المالي. جعل المال السهل العمل على الانترنت، وتنمو الاعشاب جعل المال، آلة حاسبة فيبوناتشي الفوركس، تحطم سوق الأسهم في دبي، وكيفية جعل المال السريع للعطلات، استراتيجيات تداول الخيارات المتقدمة، نصائح كسب المال طريقة سهلة والموارد لكسب المال على الانترنت مجانا مجانا وسهلة ، والعمل المال كسب المال كلمات بيتبول. كولا لازارو (السيدة) أدولف سكريتاريال كيف تذهب شيئا ولكن المال الاستثمار طوابير إدارة بالي يتكون من خيارات ليف العيش لاستراتيجيات التداول بيتزا اللجنة 32 ستاسيكراتوس الجمعية، 4th الكلمة، P. لماذا يمكنك الاتصال خارج () أنا أضاء مرة أخرى أن أنا الحدين إلى الماكياج (يبدو المداري من قبل الآن التجارة لماذا كسب البريد الإلكتروني من المال قراءة رسائل البريد الإلكتروني باستخدام () أنا ليف خيارات دليل لاستراتيجيات التداول مرة أخرى خيارات ليف دليل على استراتيجيات التداول I أوفيردريف لجعل المخرج (يبدو المدارية من قبل القائمة الآن لماذا يجب أن تبدأ الأمور في دفع كل. إق صناعات مزورة منافسيها إلى الأكثر في عام 2013 مع أصول مجموعات منخفضة شكلت وغالبا ما مرات لماذا يجب أن نبدأ في القيام بكل بارع أنبوب الهرسك، فاموس تجارة (باجو ريجوروس) كاتيغوريزوبتيونس مقال ليف خيارات دليل لاستراتيجيات التداول ليف خيارات الخيار استراتيجيات المحتويات مقدمة عقود خيار ليف استراتيجيات معترف بها نظرية الخيار الأساسي ملاحظات على بناء الاستراتيجيات 3 6 7 10 استراتيجيات الخيار ليف 1. 2. 3. 4. 5. 6. 7. 8 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 25. 25. طويل دعوة قصيرة دعوة طويلة وضع قصيرة وضع طويلة انتشار انتشار قصيرة انتشار انتشار قصيرة انتشار انتشار طويل وضع انتشار طويل كومبو قصيرة كومبو طويلة التقلب التجارة التقلب قصيرة التجارة لونغ سترادل قصيرة سترادل طويل سترانغل قصير سترانغل طويل الشجيرات قصيرة الشجيرات طويل بوتري قصيرة بوتري طويل كوندور قصيرة كوندور طويل الحديد بوتري قصيرة الحديد زبدة طويلة التقويم انتشار طويل قطري التقويم انتشار طويل سترادل التقويم انتشار طويل قطري سترادل التقويم انتشار كونفيرزيونرفرزال مربع طويل طويل اثنين بنسبة واحد نسبة استدعاء المكالمة 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 استراتيجيات خيارات ليف 32 32. قصيرة بنسبة واحدة نسبة انتشار المكالمة 33. واحد نسبة وضع انتشار 34. قصيرة اثنين بنسبة واحد نسبة انتشار انتشار 35. سلم طويل الدعوة 36. سلم الدعوة قصيرة 37. سلم طويلة سلم 38. قصيرة وضع سلم 39. المستقبل الاصطناعي الطويل 40. المستقبل القصير الاصطناعية 41. انتشار المكالمة طويلة مقابل وضع 42. انتشار المكالمة قصيرة مقابل وضع 43. انتشار طويلة مقابل مكالمة 44. انتشار قصيرة الانتشار مقابل مكالمة 45. طويلة متداخلة مقابل مكالمة 46. قصيرة سترادل مقابل المكالمة 47. طول طويل مقابل وضع 48. قصيرة المدى مقابل وضع 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 استراتيجيات الخيار ليف I ننت روكتيون وقد أبرزت الأحداث على مدى السنوات الأخيرة التقلب وعدم اليقين الذي هو وهي سمة متأصلة في الأسواق المالية الحالية. ليفيس مجموعة واسعة من استراتيجيات الخيارات ليس فقط يوفر لمجموعة واسعة من وجهات النظر وتمكن المستخدمين من الحصول على النفوذ، ولكن يوفر مزايا التنفيذ ضمن معاملة واحدة، مما يتيح فروق تنافسية وتقليل exchange. Futures 038 خيارات دليل استراتيجية باستخدام العقود الآجلة والخيارات، سواء بشكل منفصل أو مجتمعة، يمكن أن توفر فرصا تجارية لا تعد ولا تحصى. ال تهدف االستراتيجيات ال 25 الواردة في هذا الدليل إلى تقديم دليل كامل لكل استراتيجية تجارية ممكنة، بل هي نقطة بداية. ما إذا كانت المحتويات سوف تثبت أنها أفضل الاستراتيجيات وخطوات المتابعة بالنسبة لك سوف تعتمد على معرفتك للسوق، والقدرة على تحمل المخاطر وأهداف تداول السلع الخاصة بك. كيفية استخدام هذا الدليل - تم تصميم هذا المنشور، وليس كدليل كامل لكل سيناريو ممكن، ولكن بدلا من ذلك كدليل سهل الاستخدام الذي يقترح استراتيجيات التداول الممكنة. العقود الآجلة الطويلة - عندما تكون صعودي في السوق وغير مؤكد حول التقلب. لن تتأثر بتغير التقلب. ومع ذلك، إذا كان لديك رأي حول التقلب، وهذا الرأي تبين أن يكون صحيحا، واحدة من الاستراتيجيات الأخرى قد يكون أكبر احتمال الربح وأقل مخاطر. العقود الآجلة الاصطناعية الطويلة - عندما تكون صعودي في السوق وغير مؤكد حول التقلب. لن تتأثر بتغير التقلب. ومع ذلك، إذا كان لديك رأي حول التقلب، وهذا الرأي تبين أن يكون صحيحا، واحدة من الاستراتيجيات الأخرى قد يكون أكبر احتمال الربح وأقل مخاطر. قد يتم تداوله من خلال المكالمة الطويلة أو وضعية قصيرة لوضع موقف صعودي أقوى. العقود الآجلة الاصطناعية القصيرة - عندما تكون هبوطي في السوق وغير مؤكد حول التقلب. لن تتأثر بتغير التقلب. ومع ذلك، إذا كان لديك رأي حول التقلب، وهذا الرأي تبين أن يكون صحيحا، واحدة من الاستراتيجيات الأخرى قد يكون أكبر احتمال الربح وأقل مخاطر. يمكن تداولها من خلال المكالمة القصيرة الأولية أو وضعية طويلة لوضع موقف هابط أقوى. عائد طويل للمخاطر - عندما تكون صعودي في السوق وغير مؤكد حول التقلب. وعادة ما يبدأ هذا الموقف كمتابعة لاستراتيجية أخرى. مخاطرها هي نفس العقود الآجلة طويلة إلا أن هناك مساحة مسطحة من القليل أو لا مكاسب. عائد المخاطرة القصيرة - عندما تكون هبوطي في السوق وغير مؤكد حول التقلب. وعادة ما يبدأ هذا الموقف كمتابعة لاستراتيجية أخرى. إن مخاطر المخاطرة لها هي نفس أسعار العملات القصيرة إلا أن هناك مساحة مساوية من المكاسب قليلة أو معدومة. دعوة قصيرة - عندما تكون هبوطي على السوق. إن بيع المال (الإضراب العالي) يضع إذا كنت أقل ثقة بأن السوق سوف تقع، بيع في المال يضع إذا كنت واثقا من أن السوق سوف الركود أو السقوط. وضع قصير - إذا كنت تعتقد اعتقادا راسخا بأن السوق لا ينخفض. قم بتخفيض خيارات المال (الإضراب الأدنى) إذا كنت مقتنعا إلى حد ما، قم ببيع خيارات المال إذا كنت واثقا جدا من أن السوق سوف يركود أو يرتفع. إذا كنت تشك في أن السوق سوف يركد وأكثر صعودية، وبيع في المال خيارات لتحقيق أقصى قدر من الأرباح. الثور انتشار - إذا كنت تعتقد أن السوق سوف ترتفع، ولكن مع ارتفاع محدود. موقف جيد إذا كنت تريد أن تكون في السوق ولكن أقل ثقة من التوقعات الصاعدة. أنت في شركة جيدة. هذه هي التجارة الصاعدة الأكثر شعبية. الدب انتشار - إذا كنت تعتقد أن السوق سوف تنخفض، ولكن مع الجانب السلبي المحدود. موقف جيد إذا كنت تريد أن تكون في السوق ولكن أقل ثقة من التوقعات الهبوطية. الموقف الأكثر شعبية بين الدببة لأنها قد تدخل كتجارة متحفظة عندما تكون غير مؤكدة حول الموقف الهبوطي. فراشة طويلة - واحدة من عدد قليل من المواقف التي يمكن إدخالها مفيد في سلسلة الخيارات على المدى الطويل. إذا أدخلت، بعد شهر أو أكثر، تكلفة الفارق 10٪ أو أقل من B A (20٪ إذا كانت هناك مخالفة بين A و B). هذا هو قاعدة التحقق من القيم النظرية النظرية. فراشة قصيرة - عندما يكون السوق إما أقل من A أو أعلى C والموقف مبالغ فيها مع شهر أو نحو ذلك اليسار. أو عندما تبقى بضعة أسابيع فقط، السوق بالقرب من B، وتتوقع خطوة وشيكة في أي من الاتجاهين. فراشة الحديد الطويل - عندما يكون السوق إما أقل من A أو أعلى C ويتم تخفيض سعرها مع شهر أو نحو ذلك اليسار. أو عندما تبقى بضعة أسابيع فقط، يكون السوق بالقرب من B، وتتوقع تحرك اختراق وشيك في أي من الاتجاهين. فراشة قصيرة الحديد - أدخل عندما يكون صافي الائتمان الفراشة الحديد القصير هو 80 في المئة أو أكثر من C A، وكنت تتوقع فترة طويلة من الاستقرار النسبي للأسعار حيث سيكون الكامنة بالقرب من منتصف نقطة C مجموعة بالقرب من انتهاء الصلاحية. هذا هو قاعدة التحقق من القيم النظرية النظرية. لونغ سترادل - إذا كان السوق بالقرب من A وتتوقع أن يبدأ التحرك ولكن ليست متأكدا من أي طريق. موقف جيد خصوصا إذا كان السوق هادئا، ثم يبدأ في متعرج بشكل حاد، مما يشير إلى اندلاع المحتملة. لونغ سترانغل - إذا كان السوق داخل أو بالقرب من نطاق (A-B) وكان راكدا. إذا انفجرت السوق في أي من الاتجاهين، يمكنك كسب المال إذا استمر السوق في الركود، تخسر أقل من مع سترادل طويلة. من المفيد أيضا إذا كان من المتوقع أن يزداد التقلب الضمني. شورت سترانغل - إذا كان السوق داخل أو بالقرب من نطاق (A-B)، وإن كان نشطا، يهدأ. إذا ذهب السوق إلى الركود، يمكنك كسب المال إذا كان لا يزال نشطا، لديك أقل قليلا خطر ثم مع سترادل قصيرة. نسبة انتشار المكالمة - عادة ما يتم إدخالها عندما يكون السوق بالقرب من A ويتوقع المستخدم ارتفاع طفيف إلى معتدل في السوق ولكنه يرى إمكانية البيع. واحد من الخيار الأكثر شيوعا ينتشر، نادرا ما تفعل أكثر من 1: 3 (اثنين من السراويل القصيرة) بسبب مخاطر رأسا على عقب. نسبة انتشار انتشار - دخلت عادة عندما يكون السوق بالقرب B وتتوقع السوق أن ينخفض ​​قليلا إلى معتدل، ولكن نرى إمكانية لارتفاع حاد. واحد من الخيار الأكثر شيوعا ينتشر، نادرا ما فعلت أكثر من 1: 3 (اثنين من السراويل القصيرة) بسبب خطر الهبوط. صندوق أو تحويل - في بعض الأحيان، سوف السوق الخروج من خط يكفي لتبرير الدخول الأولي في واحدة من هذه المواقف. ومع ذلك، فهي الأكثر استخداما لقفل كل أو جزء من محفظة عن طريق شراء أو بيع لإنشاء الساقين في عداد المفقودين من الموقف. وهذه بدائل لإغلاق المراكز بأسعار ربما غير مواتية. الشريط الجانبي الرئيسي رفع التداول الخاص بك لماذا اخترت دت قررت العودة إلى التداول بعد عام من تداول الورق. أرسلت رسالة بريد إلكتروني إلى دانيلز أن كنت مهتما في التحدث إلى ممثل. لقد حصلت على دعوة من بريان كولين x02026 اقرأ المزيد - ميتشل S. باتاسكالا، أوهيو تروستبيلوت ريفيوس أحدث التغريدات تعلم كيفية استخدام مؤشرات كفرن في بيئة السوق الحقيقية في حدث الويبينار الخميس، 9 مارس في 1:00 بيإم كت. t. cokaGgQZcmat منذ 3 ساعات عبر العازلة حاول التداول عبر الانترنت السلع الآجلة المخاطر مع حساب الممارسة دت برو. تفعيل التجريبي هنا: t. coHCRLzBvyXv منذ يوم 20 ساعة عبر المخزن المؤقت شراء جديد أمبير بيع مستويات إسف من مداسنافشوت. الحصول على تفاصيل التجارة الكاملة هنا: t. coCoXxaWZllH منذ يوم 1 يوم عبر المخزن المؤقت حقوق الطبع والنشر xA9 2017 xB7 دانيلز للتجارة. كل الحقوق محفوظة. يتم نقل هذه المادة على أنها التماس للدخول في معاملة المشتقات. وقد تم إعداد هذه المادة من قبل وسيط دانيلز التداول الذي يقدم تعليقات سوق البحث والتوصيات التجارية كجزء من التماس له أو التماس للحسابات وطلب التماس للتجارة ومع ذلك، دانيلز التداول لا تحتفظ قسم البحوث على النحو المحدد في المادة 1.71 كفتك. يجوز لشركة دانيلز للتجارة ومديريها والسماسرة والموظفين تداول المشتقات لحساباتهم الخاصة أو لحساب الغير. بسبب عوامل مختلفة (مثل تحمل المخاطر ومتطلبات الهامش وأهداف التداول والاستراتيجيات قصيرة الأجل مقابل طويلة الأجل والتحليل الفني مقابل تحليل السوق الأساسي وعوامل أخرى) قد يؤدي هذا التداول إلى بدء أو تصفية مواقف مختلفة عن أو خلافا للآراء والتوصيات الواردة فيه. الأداء السابق ليس بالضرورة مؤشرا على الأداء المستقبلي. ويمكن أن يكون خطر الخسارة في العقود الآجلة للمتاجرة أو خيارات السلع الأساسية كبيرا، وبالتالي ينبغي للمستثمرين أن يتفهموا المخاطر التي ينطوي عليها اتخاذ مراكز استثمارية وأن يتحملوا المسؤولية عن المخاطر المرتبطة بهذه الاستثمارات ونتائجها. يجب أن تنظر بعناية فيما إذا كان هذا التداول مناسب لك في ضوء ظروفك ومواردك المالية. يجب أن تقرأ صفحة ويب الكشف عن المخاطر الوصول إليها في دانيلزترادينغ في الجزء السفلي من الصفحة الرئيسية. لا ينتمي دانيلز للتجارة مع ولا أنها تؤيد أي نظام التداول، النشرة الإخبارية أو خدمة أخرى مماثلة. لا تضمن دانيلز ترادينغ أو تحقق من أي مطالبات تتعلق بالأداء تقدمها هذه الأنظمة أو الخدمة. خيارات ليفف 107297 - خيارات ليف دليل على التداول. هذه هي نهاية المعاينة. اشترك للوصول إلى بقية المستند. معاينة النص غير المنسقة: خيارات ليف دليل لاستراتيجيات التداول ليف 2002 جميع حقوق الملكية والفوائد في هذا المنشور ستؤول إلى إدارة وإدارة ليف (كوتليفكوت) وجميع الحقوق الأخرى بما في ذلك على سبيل المثال لا الحصر براءات الاختراع والتصميم المسجل وحقوق الطبع والعلامات التجارية ، وعلامة الخدمة، المرتبطة بهذا المنشور أيضا أن تكون مكلفة ليف. ليف كونيكت هي علامة تجارية لإدارة وإدارة ليف. ال يجوز إعادة توزيع أو إعادة إنتاج أي جزء من هذا المنشور بأي شكل أو بأي وسيلة أو استخدام أي عمل مشتق) مثل الترجمة أو التحويل أو التكيف (دون الحصول على إذن خطي من ليف. تحتفظ الشركة بحق مراجعة هذا المنشور وإجراء تغييرات في المحتوى من وقت لآخر دون التزام من جانب ليف لتوفير إخطارا بهذه المراجعة أو التغيير. في حين أن جميع العناية المعقولة قد اتخذت لضمان أن المعلومات الواردة في هذا المنشور دقيقة وغير مضللة في وقت النشر، فإن ليف ليست مسؤولة (باستثناء إلى الحد الذي يقتضيه القانون) لاستخدام المعلومات الواردة في هذه الوثيقة تنشأ في أي ظرف من الظروف المرتبطة بالتداول الفعلي أو غير ذلك. ولا تتحمل شركة ليف، ولا موظفيها أو وكلائها، أية أخطاء أو سهو في هذا المنشور. هذا المنشور هو للعلم فقط ولا يشكل عرضا أو التماس أو توصية للحصول على أي استثمار أو التصرف فيه أو الدخول في أي معاملة أخرى. جميع المعلومات والأوصاف والأمثلة والحسابات الواردة في هذا المنشور هي لأغراض إرشادية فقط، ولا ينبغي اعتبارها نهائية. وتحتفظ الشركة بحقها في تغيير أي من قواعدها أو مواصفات العقود، وقد يؤثر هذا الحدث على صحة المعلومات الواردة في هذا المنشور. ويتعين على الراغبين في التجارة في العقود الآجلة وعقود الخيارات الآجلة أو تقديمها وبيعها للآخرين أن ينشئوا الوضع التنظيمي في الولاية القضائية ذات الصلة قبل القيام بذلك. فليكس هي علامة تجارية مسجلة لشركة شيكاغو مجلس خيارات تبادل وشركة وقد تم ترخيص لاستخدامها من قبل ليف. كوتفتسكوت و كوتفوتسيكوت هي علامات تجارية لبورصة لندن المحدودة و فايننشال تايمز المحدودة وتستخدم من قبل فتس الدولية المحدودة بموجب ترخيص. كوتستارسكوت هي علامة تجارية لشركة فتس الدولية المحدودة. كوتوروتوكوت هي علامة تجارية لشركة يورونكست نف أو شركاتها التابعة (كوتورونكستكوت) وتستخدم من قبل فتس إنترناشونال ليميتد بموجب ترخيص. مؤشر فتس يوروتوب 100 هو مصلحة الملكية من يورونكست و فتس الدولية المحدودة. جميع حقوق الطبع والنشر في قيم المؤشر والقوائم التأسيسية ستستقر في يورونكست و فتس إنترناشونال ليميتد بشكل مشترك. مؤشر فتس 100 ومؤشر فتس 250 ومؤشر فتس يوروتوب 300 ومؤشر فتس يوروتوب 300 (إكس أوك) ومؤشر فتس ورو 100 ومؤشر فتس ستارس هو ملكية خاصة لشركة فتس إنترناشونال ليميتد وتم ترخيصها للاستخدام بواسطة ليف. جميع حقوق الطبع والنشر في قيم المؤشر والقوائم التأسيسية في شركة فتس الدولية المحدودة. و يورونكست و فتس إنترناشونال ليميتد بأي حال من الأحوال الراعي أو تأييد أو خلاف ذلك تشارك في قضية وتقديم منتجات ليف، ولا تقبل أي مسؤولية فيما يتعلق بتداول منتجات ليف. مؤشر مسي يورو و مسي بان-ورو إندكس (كوتينديسسكوت) هي علامات خدمة لشركة مورغان ستانلي كابيتال انترناشيونال (كوتمسكوت). وقد تم ترخيص علامات الخدمة من قبل مسي للاستخدام من قبل ليف. لا يوجد أي عقد تبادل على مؤشر مسي أورو ومؤشر مورغان ستانلي للمؤتمرات الأوروبية تحت رعاية أو ضمان أو اعتماد من قبل مسي. لا تقدم شركة إم إس آي أي توضيحات بشأن مدى استصواب استخدام عقود الصرف هذه. ولا تقدم شركة إم إس آي أي تمثيل لدقة أو اكتمال المؤشرات أو أي جزء من بياناتها التأسيسية. لا تقدم شركة إم إس سي أي ضمان لغرض أو لأي استخدام يمكن أن توضع به المؤشرات أو عقود الصرف أو صحة المعلومات أو غيرها من المعلومات التي تنشرها البورصة فيما يتعلق بأي جانب من جوانب العقود المبرمة في شروط عقد تبادل. دون الحد من أي مما سبق، في أي ظرف من الظروف تتحمل مسي أي مسؤولية عن الأضرار المباشرة أو غير المباشرة أو الخاصة أو التبعية، بما في ذلك أي خسارة في الأرباح. سوابنوت هي علامة تجارية مسجلة ل إيكاب بلك وقد تم ترخيص لاستخدامها من قبل ليف. يتم حماية تصميم العقد سوابنوت والخوارزمية من قبل براءة الاختراع (الولايات المتحدة 6،304،858 B1)، التي يملكها آدامز، فينر وموسلر المحدودة (أفم) وهي مرخصة حصريا ل ليف في جميع أنحاء العالم. المحتويات الصفحة مقدمة عقود خيارات ليف 3 استراتيجيات معترف بها 5 نظرية الخيارات الأساسية 7 ملاحظات حول بناء الاستراتيجيات 10 خيارات ليف استراتيجيات 1. دعوة طويلة 11 2. دعوة قصيرة 12 3. وضع طويل 13 4. وضع قصيرة 14 5. طويل انتشار المكالمة 15 6. انتشار قصيرة الانتشار 16 7. انتشار المكالمة القصيرة 17 8 انتشار طويل 18 18. طويل كومبو 19 10. كومبو قصير 20 11. طويل سترادل 21 12. شورت سترادل 22 13. طويل سترانغل 23 14. شورت سترانغل 24 15. شجيرات طويلة 25 16 - شجيرات قصيرة 26 17 - زبدية طويلة 27 18. زبدية قصيرة 28 19. كوندور طويل 29 20 - كوندور قصير 30 21. زبد حديد طويل 31 22. زبد حديد قصير 32 23. كوندور حديد طويل 33 1 صفحة 24. شورت أيرون كوندور 34 25. قطاع المكالمة الطويلة 35 26. قطاع المكالمة القصيرة 36 ​​27. قطاع الوضع الطويل 37 28. قطاع الوضع القصير 38 29. انتشار التقويم الطويل 39 30. تقويم قطري طويل الانتشار 40 31. تقويم طويل المدى ممتد 41 32. امتداد طويل قطري التقويم انتشار 42 33. لفة جيلي طويلة 43 34. طويل سترادل (التقويم) قطاع 45 36. طويل اثنين بنسبة واحد نسبة انتشار المكالمة 46 37. نسبة انتشار قصيرة من اثنين إلى واحد 47 38. نسبة طويلة من اثنين إلى واحد وضع انتشار 48 39. قصيرة اثنين من واحد نسبة انتشار انتشار 49 40. سلم نداء طويل 50 41. سلم الدعوة قصيرة 51 42. سلم طويلة سلم 52 43. وضع السلم القصير 53 44. الاصطناعية الطويلة التي تقوم عليها 54 45. الاصطناعية قصيرة أساس 55 46. انتشار المكالمة طويلة مقابل وضع 56 47. انتشار المكالمة قصيرة مقابل وضع 57 48. انتشار طويل مقابل مقابل 58 49. انتشار قصير الانتشار مقابل مكالمة 59 50. طويلة المدى مقابل المكالمة 60 51. المدى القصير مقابل المكالمة 61 52. طول طويل مقابل وضع 62 53. المدى القصير مقابل وضع 63 54. تجارة التقلب الطويل 64 55. تجارة التقلب قصيرة 65 56. التحويل التحويلية 66 57. استراتيجيات دلتا المحايدة 2 44 35 صندوق طويل 67 مقدمة أبرزت األحداث التي وقعت خالل السنوات األخيرة التقلب وعدم اليقين الذي يمثل سمة متأصلة في األسواق المالية الحالية. توفر مجموعة واسعة من استراتيجيات الخيارات ليفس مجموعة واسعة من وجهات النظر وتمكن المستخدمين من الحصول على النفوذ، ولكن يقدم مزايا التنفيذ ضمن معاملة واحدة، مما يتيح فروقات تنافسية وتقليل رسوم معاملات الصرف. ما لم يذكر خلاف ذلك، فإن الاستراتيجيات في هذا الدليل تنطبق على جميع عقود الخيارات ليفس على سعر الفائدة على المدى القصير، السندات الحكومية والمقايضات الآجلة، العقود الآجلة للسلع ومؤشرات الأسهم والأسهم الفردية. خيارات ليف - دليل لاستراتيجيات التداول يظهر متى وكيف يمكن التعرف على ليفس استراتيجيات التداول الخيار يمكن استخدامها. يتم توضيح كل استراتيجية مع بروت وفقدان برولز، بالإضافة إلى تفاصيل خصائص الاضمحلال وحساسيات السوق. خيارات عقود العقود الآجلة (ليف) متوفرة على عقود ليف التالية: الخيارات على العقود الآجلة لأسعار الفائدة قصيرة الأجل ثلاثة أشهر إسترليني ثلاثة أشهر اليورو (ليبور) ثلاثة أشهر اليورو (ليبور) ثلاثة أشهر خيارات يوروسويس على العقود الآجلة للسندات الحكومية سندات بوند الألمانية الخيارات على العقود الآجلة السابوتية اليورو لمدة ثلاث سنوات سوابنوت لمدة خمس سنوات سوابنوت عشر سنوات سوابنوت الخيارات على المؤشرات فتس 100 (الطراز الأمريكي) فتس 100 (الطراز الأوروبي) فتس 100 فليكس فتس يوروتوب 100 مسي يورو ورو مسي اليورو خيارات الخيارات في العقود الآجلة غير المالية الكاكاو روبوستا القهوة الأبيض السكر القمح 3 خيارات المسلسل خيارات المسلسل ليف هي قصيرة مؤرخة خيارات انتهاء الصلاحية الشهرية. ویمکن استخدام ھذه الأدوات کأداة دقیقة للتحوط من التعرضات غاما، وفيغا، و ثيتا، بالإضافة إلی توفیر فرص التداول علی نطاق واسع مقابل الخیارات الأطول أجلا. إن ممارسة خيار انتهاء الشهر المسلسل ستؤدي إلى تعيين موضع مستقبلي في شهر التسليم الفصلي المجاور (على سبيل المثال، يؤدي ممارسة الخيار التسلسلي لشهر يوليو إلى تعيين موضع مستقبلي لشهر سبتمبر). تتوفر الخيارات التسلسلية على عقود ليف التالية: مستقبل سندات السندات الحكومية الألمانية المستقبل المستقبل الطويل المذهل مستقبل اليورو لمدة ثلاث سنوات سوبنوت اليورو لمدة خمس سنوات سوابنوت عشر سنوات يورو خيارات منتصف منحنى سواب ليف خيارات منتصف منحنى قصيرة وهي عقود ذات عقود مستقبلية طويلة األجل) شهر أحمر (كأصل أساسي. توفير التعرض لفترة أطول من خيارات الفانيليا ليف، خيارات منتصف المنحنى عرض أعلى تقلب ضمني، وزيادة تسوس الوقت وارتفاع فيغا من نظرائهم الخيار طويلة الأجل التقليدية. وبالإضافة إلى ذلك، تتطلب خيارات منحنى منتصف أقل قسط من الخيارات ذات التاريخ الأطول وعادة ما تظهر أعلى غاما و ثيتا. تتوفر خيارات ليف-كيرف مع دورات شهر مارس ويونيو وسبتمبر وديسمبر مع انتهاء شهرين متتاليين، بحيث تتوفر أربعة أشهر من انتهاء الصلاحية للتداول، مع أقرب ثلاثة أشهر من انتهاء الصلاحية هي أشهر تقويم متتالية. تتوفر خيارات منتصف منحنى سنة واحدة على العقود الآجلة التالية ل ليف: ثلاثة أشهر اليورو (وريبور) ثلاثة أشهر الاسترليني 4 استراتيجيات معترف بها استراتيجيات ليفس المعترف بها مؤهلة لتخفيض رسوم المعاملات. يجب حجز جميع مكونات الاستراتيجية في حساب واحد. ليف لا يسمح لدمج الأعمال من مختلف العملاء لتعويض جانب واحد من التجارة. الخيار فقط الاستراتيجيات وتتألف الاستراتيجيات التالية فقط من مكونات الخيار: ليف ترس كونيكت استراتيجية رمز رمز استراتيجية نداء (وضع) انتشار د كومبو جي سترادل سس خنق كك الشجاعة غ بوتيري بب كوندور وو الحديد بوتيري إي الحديد كوندور ث 5 دعوة قطاع مم وضع قطاع مم التقويم انتشار إي توزيع قطري انتشار فف سترادل التقويم انتشار ن قطري سترادل التقويم انتشار ب جيلي لفة آ سترادل قطاع مم مربع شكس اثنين من واحد نسبة نداء (بوت) انتشار س ل سلم ل الأساسية الاصطناعية ر نداء انتشار مقابل وضع x 1 وضع انتشار مقابل مكالمة y 3 سترادل فس كال (بوت) z 7 5 استراتيجيات دلتا المحايدة بالإضافة إلى الاستراتيجيات المذكورة أعلاه، ليف يتيح الخيارات والعقود الآجلة ليتم دمجها في استراتيجية واحدة، المتداولة من خلال ليف كونيكت. بالنسبة لخيارات الأسهم، يتم دمج الخيارات مع تجارة في الحصة الأساسية أو بدلا من ذلك يمكن دمج الخيار مع تداول في العقود الآجلة للأسهم العالمية حيثما يكون ذلك متاحا. استراتيجيات دلتا المحايدة المتاحة هي: ليف تقلب تحويل التجارةإعادة الاتصال (بوت) انتشار مقابل المبادل السفلي مقابل السفل الأساسي مقابل السرد الكامنة مقابل التقويم الأساسي سبرياد فس المبني الثاني بنسبة واحد نسبة انتشار مقابل المكالمة الأساسية سبرياد فس بوت فس فريند بوت سبرياد فس كال فس 6 ترس كونيكت رمز إستراتيجية استراتيجية فر رمز دساجكب فرفففففف نظرية الخيارات الأساسية في، خارج وخارج المال خيار الدعوة هو في المال عندما يكون السعر الأساسي أعلى من سعر ممارسة الخيارات، المال عندما يكون السعر الأساسي أقل من سعر ممارسة الخيارات. خيار الخيار هو في المال عندما يكون السعر الأساسي أقل من سعر ممارسة الخيارات، وهو خارج المال عندما يكون السعر الأساسي أعلى من سعر ممارسة الخيارات. الخيار هو في المال عندما يكون السعر الأساسي يساوي سعر ممارسة الخيارات. في الممارسة العملية، الخيار مع سعر ممارسة أقرب إلى السعر الأساسي السائد يسمى الخيار في المال. القيمة الجوهرية والوقتية يمكن اعتبار سعر الخيار أو القيمة المميزة كمجموع عنصرين محددين: قيمة قيمة وقيمة جوهرية. القيمة الجوهرية القيمة الجوهرية للخيار هي المبلغ الذي يمكن لحامل الخيار تحقيقه من خلال ممارسة الخيار على الفور. القيمة الجوهرية هي دائما إيجابية أو صفر. خيار خارج المال قيمة صفرية جوهرية. القيمة الجوهرية لخيار المكالمة داخل المال سعر المنتج الأساسي - سعر الإضراب القيمة الجوهرية للأسعار في وضع سعر الإيداع في المال - سعر المنتج الأساسي القيمة الزمنية القيمة الزمنية للخيار هي القيمة التي تزيد عن القيمة الجوهرية التي السوق على الخيار. ويمكن اعتباره قيمة التعرض المستمر للحركة في سعر المنتج الأساسي الذي يوفره الخيار. ويعتمد السعر الذي تضعه السوق على هذه القيمة الزمنية على عدد من العوامل: الوقت اللازم للانتهاء، وتقلب سعر المنتج الأساسي، وأسعار الفائدة الخالية من المخاطر، والأرباح المتوقعة. الوقت اللازم لانتهاء الصلاحية الوقت له قيمة، حيث أنه كلما طال خيار الخيار حتى انتهاء الصلاحية، كلما ازدادت الفرص المتاحة للانتقال إلى المستوى الذي يصبح فيه الخيار داخل الحساب. وعموما، كلما زادت المدة الزمنية لانتهاء الصلاحية، زادت قيمة الوقت للخيارات. ومع اقتراب انتهاء الصلاحية، تتجه قيمة الخيار إلى الصفر، ويسرع معدل تسوس الوقت. القيمة الزمنية لقيمة الانحطاط قيمة الوقت أشهر لانتهاء الصلاحية 7 التقلب تقلب الخيار هو مقياس لانتشار تحركات الأسعار من الأداة الأساسية. كلما ازدادت تقلب الأداة الأساسية، كلما زادت قيمة الوقت للخيار. وهذا يعني المزيد من عدم اليقين للبائع الخيار الذي، سوف تتقاضى قسطا كبيرا للتعويض. وتزداد أسعار الخيارات مع ارتفاع وتقلب التقلبات مع انخفاض التقلب. تأثير التقلب يزداد على المدى الطويل الربح تقلب زيادة تقلب انخفاض الخسارة السعر الأساسي انتهاء، الصفر التقلبات الحساسيات الخيار خلال هذا الكتيب، أمثلة استراتيجية تشير إلى حساسيات السوق من الخيارات المعنية. هذه الحساسيات يشار إليها عادة باسم اليونانيين وهذه ديند أدناه. دلتا: يقيس التغير في سعر الخيار لتغير معين في سعر الكامنة، ومن ثم يمكن من التعرف على الأساس الذي سيتم تحديده. دلتا بين 0 و 1 للمكالمات وبين 0 و -1 ل يضع (وبالتالي فإن خيار الاتصال مع دلتا من 0.5 ستزيد في السعر بنسبة 1 القراد لكل 2 زيادة القراد في الكامنة). غاما: يقيس التغير في الدلتا لتغيير معين في الكامنة. (على سبيل المثال، إذا كان لخيار المكالمة دلتا قدرها 0،5 و غاما 0،05، فإن ذلك يشير إلى أن الدلتا الجديدة ستكون 0.55 إذا تحرك السعر الأساسي بمقدار نقطة واحدة كاملة و 0.45 إذا تحرك السعر الأساسي لأسفل بمقدار نقطة كاملة واحدة). ثيتا: يقيس تأثير تسوس الوقت على أحد الخيارات. مع مرور الوقت، وخيارات تفقد قيمة الوقت و ثيتا يشير إلى مدى هذا الاضمحلال. كلا الدعوة ووضع الخيارات تهدر الأصول، وبالتالي يكون ثيتا السلبية. لاحظ أن تسوس الخيارات غير الخطية في أن معدل التسوس سوف يتسارع مع اقتراب الخيار انتهاء. كما يوضح الجدول أدناه، فإن ثيتا تصل إلى أعلى قيمة على الفور قبل انتهاء الصلاحية. فيغا: يقيس تأثير التغير في التقلبات الضمنية على سعر الخيارات. وسوف يميل كل من المكالمة والتخفيضات إلى الارتفاع في القيمة مع زيادة التقلبات، لأن هذا يثير احتمال أن يتحرك الخيار في المال. وبالتالي، فإن كل من النداءات والنداءات ستحظى بتأثير إيجابي. 8 في ھذا الکتیب، یتم عرض حساسیات السوق لکل إستراتیجیة علی شکل جدول یستند إلی الوضع في 30 یوما لإنھاء صلاحیتھا. وهذا يدل على الحساسيات التقريبية عندما يكون الأساسي هو في المال، وكذلك عندما ترتفع الكامنة والسقوط. تظهر الجداول الحساسيات للموقف على النحو المبين أدناه: 0 ---- إيجابية للغاية إيجابية إيجابية قليلا محايدة سلبية قليلا سلبية سلبية للغاية أدناه جدول الحساسيات لكل استراتيجية الخيار، وهناك تفسيرات موجزة للحركات في الحساسيات الخيار بما في ذلك وصف موجز ل أي خروج عن جدول الحساسيات التي قد تحدث (على سبيل المثال عندما يكون الوضع أقرب إلى انتهاء الصلاحية). لاحظ أن جداول الحساسيات لا يقصد بها أن تكون دليلا دقيقا للتداول. وهي مصممة لإعطاء مؤشرا لكيفية تغير الحركات في الكامنة وراء الحساسيات العامة والسوقية النسبية للموقف. ملخص الخيارات والعقود الآجلة القيم اليونانية مواقع الخيارات الفردية، على سبيل المثال. خيارات الاتصال لونغشورت، لها القيم اليونانية الخاصة بهم. يلخص الجدول التالي هذه القيم: التغيرات في القيم الدلتا ضع تحت المكالمة التالية في غاما فوق الضربة أدناه في ثيتا أعلاه ضربة إضراب إضراب أدناه في إضراب إضراب فيغا أدناه الإضراب الإضراب الإضراب - - - إضراب أعلاه - استدعاء - - - - - - - - - - - - - - - - - - - - - - - - - - المستقبل - - --- نا نا نا نا نا نا نا نا نا نا --- 9 بوتكال التكافؤ أهمية خاصة فيما يتعلق التداول المراجحة هو مفهوم بوتكال التكافؤ. هذه هي العلاقة القائمة بين المكالمات ووضع. وهو ينص على أن قيمة المكالمة (وضع) يمكن أن تستمد من قيمة وضع (الدعوة) بنفس سعر العملية، وتاريخ الاستحقاق والأسعار الأساسية. وبالتالي، بالنسبة لخيارات ليف في العقود الآجلة: كشف-X حيث: C سعر المكالمة P سعر البيع F السعر الآجل X سعر التمرين نب هذا يفترض أنه لا توجد تكاليف حمل للخيارات (وهو الحال بالنسبة لمجموعة الخيارات الحالية ل ليفس على العقود الآجلة حيث قسط لا تدفع مقدما). يمكن العثور على سعر تعادل بوتكال لخيارات الامتياز العلوية (مثل خيارات مؤشر ليفس فتس 100) عن طريق تعديل هذه الصيغة قليلا. وتستند صفقات المراجحة، مثل تلك المبينة في هذا الدليل، إلى العلاقات القائمة بين مواقف معينة باستخدام الخيارات والعقود الآجلة. يشار إلى المواقف الاصطناعية، وهي مشتقة من التكافؤ وضع الدعوة، وباستخدام هذه العلاقة، فمن الممكن لأداء الموازنة بين المواقف الاصطناعية ومكافئها تماما. ملاحظات حول بناء استراتيجية بروتلوس برولز: بروتلوس برولز هو موضح لكل استراتيجية حيثما كان ذلك ممكنا. يظهر المحور الرأسي بروت فوق خط التعادل الأفقي، والخسارة تحت خط التعادل. يمثل المحور الأفقي سعر الأداة الأساسية (زيادة من اليسار إلى اليمين). وتظهر جميع النتائج المحتملة للفقدان والخسارة عند انتهاء الصلاحية في خطوط صلبة وتظهر آثار انحطاط الوقت مع المحاكاة في ثلاثة أشهر لانتهاء (خطوط متقطعة قليلا) وفي شهر واحد لانتهاء (خطوط متقطعة ثقيلة). وتجدر الإشارة إلى أن جميع بروتلوس بروبلز والتفسيرات لا تشمل تكاليف العمولة وتكاليف متطلبات الهامش، ونفقات التنفيذ الأخرى. رفض الأموال: من أجل هذه الأمثلة، يعتبر مستوى المال على أساس أن السعر الأساسي يساوي سعر ممارسة عقد الخيار. وبالنسبة للاستراتيجيات المتماثلة التي تتكون من غارتين، يؤخذ على مستوى المال ليكون نقطة الوسط بين سعري الإضراب. تأثير الوقت: يتم تحليل استراتيجية الخيار من نقطة في الوقت 30 يوما من انتهاء الصلاحية. لاحظ أن قيمة بعض اليونانيين قد تتغير كما يقترب الموقف انتهاء. 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 10182015 for the course IF 10 taught by Professor Nouet during the Spring 03915 term at cole Suprieure d039Ingnieurs Lonard de Vinci. انقر لتعديل تفاصيل المستند