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Pair trading strategies with options ppt

pair trading strategies with options ppt

Initial Cost (-1) x (8) (2) x (5). Profit K1 K2 ST Options, Futures, and Other Derivatives, 8th Edition, Copyright John. If S K1 40, both options OTM, Combination Value. Sell Put with K1 (receive P1 Buy Put with K2 (pay P2) (K1 K2 Thus (P1 P2 So (P1 -P2) 0; initial outflow (right) Value P1 S K1 K2 (P1 -P2). Hull 2012 16, strip Strap Figure.11, page 248. 9 10 10 Butterfly Spread Using Calls Figure.6, page 227 K1K1 K3K3 Profit stst K2K2 Butterfly Spread Construction Buy 1 ITM Call Sell 2 ATM Calls Buy 1 OTM Call 11 11 Butterfly Spread Using Puts Figure. Want to sell ED in future. Must pay 13 bp for this Put (13 x 25 325). Interest Rate Option Combinations (Hull Chap 21). Long Hedge: Buy ED futures today (promise to deposit later @ R).

Trading, strategies with, options, powerPoint, pPT, presentation

If rates, lock in (min.) lending rate. Cash: Plan to invest 1MM on May 11 Invest the pair trading strategies with options ppt 1 MM in ED deposits. Buy Bond (B) and Buy Call (C) * If you buy a zero-coupon, deep discount bond, the initial outlay (B) is small (esp. It is entered by buying higher striking in-the-money put options and selling the same number of lower striking out-of-the-money put options on the same underlying security and the same expiration month. 6 May 11 June 14 1 MM receivable due May. For these values of S, Combination Value initial cost / revenue intrinsic value of this option. ED futures trade according to an index; Q 100 - R 100 - (futures rate.g., If futures rate.50,.50, and interest outlay promised would be (.0850) x (1,000,000) x (90 / 360) 21,250. Hull 2012 6, bull Spread Using Calls (Figure.2, page 238). Hull 2012 17, a Strangle Combination Figure.12, page 249. Hull 2012 13, calendar Spread Using Calls Figure.8, page 245, profit Sptions, Futures, and Other Derivatives, 8th Edition, Copyright John. All rights reserved Powered By DigitalOfficePro.

Example: Long Hedge with ED futures for a Bank. NOW if rates, borrow at lower rates! Download Presentation, an Image/Link below is provided (as is) to download presentation. Allows investor to take a risky position without risking any principal Example: 1000 instrument consisting of 3-year zero-coupon bond with principal of 1000 3-year at-the-money call option on a stock portfolio currently worth 1000 Options, Futures, and Other Derivatives, 8th Edition, Copyright John. Problem: Given any Combination of shares, bonds, options, graph the Payoff Pattern for the Intrinsic Value; show slopes of line segments; show break-even points.

Hull 20083 Profit ststststst K (a) (b) (c d) 4 4 Bull Spread Using Calls (Figure.2, page 221) K1K1 K2K2 Profit stst A bull call spread is constructed by buying a call option with a low exercise. If S 45, C1 C2 are ITM, Value 2 1(S - K1) - 2(S - K2). To hedge risk of loss with falling rates:. Sume European options with same exp. If you dont think ED rates will below, say,.25, can recover some of cost by selling a Callwith.75 ( 100 -.25). Hull 2012 8, bear Spread Using Puts Figure.4, page 240.

Chapter 11, trading, strategies, involving, options - ppt video online download

Cap: Buy a Put. For these values of S, Combination Value old value intrinsic value of this option. Profit Profit T ST (a) (b) Profit Profit K ST (c) (d) Options, Futures, and Other Derivatives, 8th Edition, Copyright John. If ED pair trading strategies with options ppt rate, bank will realize opportunity loss (will have to invest the 1 MM at lower ED rates). Call option on ED futures: Rightto buy ED futures (lend @ forward ED rate). For these values of S, Combination is worth the initial cost / revenue.

pair trading strategies with options ppt

Call is OTM - interest rate Floor. Lls Puts can be combined with other building blocks (Stocks Bonds) to give any payoff pattern desired. Futures: Buy 1 ED futures. Bull Put Spread Construction Buy 1 ITM Put Sell 1 ITM Put 6, bear Spread 6 A bear call spread is a limited profit, limited risk options trading strategy that can be used when the options trader is moderately bearish on the underlying security. Profit ST K1 K2 Options, Futures, and Other Derivatives, 8th Edition, Copyright John. Butterfly spreads use four option contracts with the same expiration but three different strike prices to create a range of prices the strategy can profit from. Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Both puts and calls can be used for a butterfly spread. Put option on ED futures: Right to sell ED futures (borrow @ fwd ED rate). Calendar Straddle Construction Sell Near-Term Straddle Buy Long-Term Straddle 13 13 Calendar Spread Using Puts Figure.9, page 229 Profit stst. Using Options on ED Futures.

PPT, using Correlated Stocks as a Leading Indicator: An Applied

Copyright Complaint Adult Content Flag as Inappropriate. _S _S,. Assume European options with same exp. 6: Cash market ED rate (libor).38 (S1.62) June ED futures rate (libor).85 (F1.15) ; Basis (S1 - F1).47 May 11: Cash market ED rate.03 (S2.97) June ED futures. But if rates, opportunity loss (could pair trading strategies with options ppt have borrowed at lower rates). Value, b C, bC,. Buy Call option on ED futures. Then your principal is protected (worst outcome; S low, call OTM, get to keep Bond payoff (K). ED Futures Contract Characteristics : (Review). Principal - Protected Note* (BC).

Trading, strategies, involving, options, chapter ppt download

Loss.38 -.03.35futures gain.85 -.60.25 change Effect (35) x (25) 875 (25) x (25) 625.10. Settlement is in cash; price is established by a survey of current ED rates. Hull 2012 5, positions in an Option the Underlying (Figure.1, page 237). Strike Option Strike Option Range of Net Price Premium Price Premium Borrowing Cost Premium. Consider payoffs for long short positions on:. ED futures contract: Buy ; Promise to buy ED ( lend @ forward ED rate Sell ; Promise to sell ED (borrow @ forward ED rate). Bear Spread with Calls (C2 - C1). In addition to a comprehensive discussion of the theories involved, he also includes practical examples that will to help you put what you've learned into practice. _S _S, k_K. Bear Spread with Puts (P2 - P1).

Options, ppt, greeks (Finance option (Finance)

Cumulative Investment Income: Interest @.03 1,000,000 (.0303) (90/360) 7,575 Profit from futures trades: 625 Total: 8,200 Effective Return 8,200 / pair trading strategies with options ppt 1,000,000 x (360 / 90).28 (10 bp worse than spot market change in basis). Hull 2012 3, principal Protected Note. Presentation on theme: "Trading Strategies Involving Options Chapter." Presentation transcript: 1, trading Strategies Involving Options Chapter 10 1 2, options, Futures, and Other Derivatives 7 th Edition, Copyright John. Anticipates investing funds in 3-month ED deposits. Hull 2012 9, bear Spread Using Calls Figure.5, page 241. _S _S _KK. If rates, lock in min. 96.00.75 Futures Price (Q) Loss. A bear put spread is a limited profit, limited risk options trading strategy that can be used when the options trader is moderately bearish on the underlying security. Bull Spread with Puts (P1 - P2) y Put with K1 (pay P1 Sell Put with K2 (receive P2) (K1 K2 Thus (P1 P2 So (-P1 P2) 0; initial inflow (right) Value (-P1P2 ) P2 S K1 -P1. The ED futures is truly a futures on an interest rate. If ED rates below4, Q above96.00, Put is OTM Borrow.

I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described. Hull 2012 12, butterfly Spread Using Puts Figure.7, page 243, profit K1 K2 K3 ST Options, Futures, and Other Derivatives, 8th Edition, Copyright John. Buy Put option on ED futures. Presentation Transcript, chapter. If rates, lock in (max.) borrowing rate. Sell Call with pair trading strategies with options ppt K1 (receive C1 Buy Call with K2 (pay C2) (K1 K2 Thus (C1 C2 So (C1 -C2) 0; initial inflow (left) Value (C1 -C2) C1 S C2 K1. The trader sells two option contracts at the middle strike price and buys one option contract at a lower strike price and one option contract at a higher strike price. Put is OTM - interest rate Cap. Trading Strategies with Options PowerPoint Presentation 1 / 25, chapter. Profit K1 K2 K3 ST Options, Futures, and Other Derivatives, 8th Edition, Copyright John. Hull 2012 11, butterfly Spread Using Calls Figure.6, page 242.

The Handbook of, pairs

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Trading : Strategies, using Equities, Options, amp

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Trading : Strategies, using Equities, Options

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How to Use a Pairs Trading Strategy with ETFs

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