Passarelli Trading Options Greeks

How Time, Volatility, and Other Pricing Factors Drive Profits
2. Auflage 2012
ISBN: 978-1-118-22512-7
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 368 Seiten, E-Book

Reihe: Bloomberg Professional

A top options trader details a practical approach for pricingand trading options in any market condition
The options market is always changing, and in order to keep upwith it you need the greeks--delta, gamma, theta, vega, andrho--which are the best techniques for valuing options andexecuting trades regardless of market conditions. In the SecondEdition of Trading Options Greeks, veteran optionstrader Dan Pasarelli puts these tools in perspective by offeringfresh insights on option trading and valuation.
An essential guide for both professional and aspiring traders,this book explains the greeks in a straightforward and accessiblestyle. It skillfully shows how they can be used to facilitatetrading strategies that seek to profit from volatility, time decay,or changes in interest rates. Along the way, it makes use of newcharts and examples, and discusses how the proper application ofthe greeks can lead to more accurate pricing and trading as well asalert you to a range of other opportunities.
* Completely updated with new material
* Information on spreads, put-call parity and synthetic options,trading volatility, and advanced option trading is alsoincluded
* Explores how to exploit the dynamics of option pricing toimprove your trading
Having a comprehensive understanding of the greeks is essentialto long-term options trading success. Trading Options Greeks,Second Edition shows you how to use the greeks to find bettertrades, effectively manage them, and ultimately, become moreprofitable.

Autoren/Hrsg.

Passarelli, Dan

Weitere Mitwirkende

Brodsky, William J.

Inhaltsverzeichnis

Foreword
Preface
Acknowledgments
Part I The Basics of Option Greeks
Chapter 1 The Basics
Contractual Rights and Obligations
ETFs, Indexes, and HOLDRs
Strategies and At-Expiration Diagrams
Chapter 2 Greek Philosophy
Price vs. Value: How Traders Use Option-Pricing Models
Delta
Gamma
Theta
Vega
Rho
Where to Find Option Greeks
Caveats with Regard to Online Greeks
Thinking Greek
Notes
Chapter 3 Understanding Volatility
Historical Volatility
Implied Volatility
Expected Volatility
Implied Volatility and Direction
Calculating Volatility Data
Volatility Skew
Note
Chapter 4 Option-Specific Risk and Opportunity
Long ATM Call
Long OTM Call
Long ITM Call
Long ATM Put
Finding the Right Risk
It's All about Volatility
Options and the Fair Game
Note
Chapter 5 An Introduction to Volatility-Selling Strategies
Profit Potential
Chapter 6 Put-Call Parity and Synthetics
Put-Call Parity Essentials
American Exercise Options
Synthetic Stock
Synthetic Stock Strategies
Theoretical Value and the Interest Rate
A Call Is a Put
Note
Chapter 7 Rho
Rho and Interest Rates
Rho and Time
Considering Rho When Planning Trades
Trading Rho
Notes
Chapter 8 Dividends and Option Pricing
Dividend Basics
Dividends and Option Pricing
Dividends and Early Exercise
Inputting Dividend Data into the Pricing Model
Part II Spreads
Chapter 9 Vertical Spreads
Vertical Spreads
Verticals and Volatility
The Interrelations of Credit Spreads and Debit Spreads
Building a Box
Verticals and Beyond
Note
Chapter 10 Wing Spreads
Condors and Butterflies
Taking Flight
Keys to Success
Greeks and Wing Spreads
Directional Butterflies
Constructing Trades to Maximize Profit
The Retail Trader versus the Pro
Notes
Chapter 11 Calendar and Diagonal Spreads
Calendar Spreads
Trading Volatility Term Structure
Diagonals
The Strength of the Calendar
Note
Part III Volatility
Chapter 12 Delta-Neutral Trading
Trading Implied Volatility
Direction Neutral versus Direction Indifferent
Delta Neutral
Trading Implied Volatility
Chapter 13 Delta-Neutral Trading
Trading Realized Volatility
Gamma Scalping
Art and Science
Gamma, Theta, and Volatility
Gamma Hedging
Smileys and Frowns
Chapter 14 Studying Volatility Charts
Nine Volatility Chart Patterns
Note
Part IV Advanced Option Trading
Chapter 15 Straddles and Strangles
Long Straddle
Short Straddle
Synthetic Straddles
Long Strangle
Short Strangle
Note
Chapter 16 Ratio Spreads and Complex Spreads
Ratio Spreads
How Market Makers Manage Delta-Neutral Positions
Trading Skew
When Delta Neutral Isn't Direction Indifferent
Managing Multiple-Class Risk
Chapter 17 Putting the Greeks into Action
Trading Option Greeks
Choosing between Strategies
Managing Trades
The HAPI: The Hope and Pray Index
Adjusting
About the Author
Index

Über Autor(innen)

DAN PASSARELLI is the founder and CEO of Market TakerMentoring, a leading options education firm that providespersonalized, one-on-one mentoring for option traders and onlineclasses. He began his trading career on the floor of the ChicagoBoard Options Exchange (CBOE) as an equity options market maker andalso traded agricultural options and futures on the floor of theChicago Board of Trade (now part of the CME Group). In 2005,Passarelli joined CBOE's Options Institute and began teaching bothbasic and advanced trading concepts to retail traders, brokers,institutional traders, financial planners and advisors, moneymanagers, and market makers. He has appeared on FOX Business Newsand other business television programs and contributes to financialpublications such as TheStreet.com, SFO.com, and the CBOE's blog.Passarelli is the author of the first edition of TradingOption Greeks and The Market Taker'sEdge.