Index

1. Absolute skew
2. Alpha:
   1. creating
   2. in put option performance
3. American-style options
4. Anticipatory hedging
5. Asian debt crisis
6. Assigning options
7. Autocorrelation

 

1. Back testing indicators
2. Bankers Trust
3. Barrier option
4. Bear Stearns High Grade Credit Fund
5. Berkshire Hathaway
6. Bermudean-style options
7. Beta
8. Bid/offer spread
9. Binomial events
10. Binomial trees
11. Bitcoin
12. Black, Fisher
13. Black—Scholes—Merton option-pricing model
    1. assumptions of
    2. for a company of index paying a continuous dividend
    3. and discrete dividends
    4. European-style options assumption
    5. example
    6. intuition behind
    7. and put options
14. BNP Paribas ABS Eonia
15. Bonaparte, Napoleon
16. Bonds. See also IBOXX high-yield index
    1. convertible
    2. PIK (pay in kind)
17. Borrowing and lending line
18. Borrowing costs. See also Phi
    1. company takeovers
    2. forward borrowing rates
    3. implied, on underlying instruments
    4. term borrowing/lending
19. Brent North Sea oil
20. Brownian motion
21. Buffett, Warren
22. Buy to open
23. Buy-write tactic. See Covered calls

 

1. Calendar spreads
2. Caliber Global Investment
3. Call options:
   1. call butterfly spread
   2. call spread risk reversals
   3. covered calls
   4. defined
   5. embedded
   6. historical returns analysis on
   7. long calendar spread
   8. long calls
   9. synthetically replicating
4. Call spread risk reversals
5. Cantarell, Rudesindo
6. Capital asset pricing model (CAPM)
7. Capital commitment, reducing
8. Capital market investors
9. Capital market line
10. Capital structure
11. Carlesimo, P.J.
12. Carry trades. See also Convergence trades
13. Cash, synthetically replicating
14. Cash-covered puts
15. CDS (credit default swaps)
16. Collateralized debt obligations (CDOs)
17. Commissions. See Transaction costs
18. Common currencies
19. Continuous dividend payments
20. Contract multiplier
21. Contract terms and conditions
22. Convergence trades
23. Convertible bonds
24. Corporate debt, creating synthetically
25. Corzine, Jon
26. Cost of carry
27. Covered calls
28. Credit default swaps (CDSs)
29. Credit risk:
    1. credit risk-free rate
    2. credit-risk free assets
    3. debt and
    4. in mortgages
    5. in residential mortgage-backed securities (RMBSs)
30. Cryptocurrencies. See Bitcoin
31. Currency options
32. Cypress banking system crisis

 

1. Debt securities. See Corporate debt, creating synthetically
2. Deliverables
3. Delta
   1. in 1 x 2 ratio put spreads
   2. in diagonal put spreads
   3. intuition behind
   4. in iron condor trades
   5. vs. price of underlying security
   6. relationship to theta
   7. in straddles
4. Derivatives, overview of
5. Diagonal put spreads
   1. aging of, in high-volatility environment
   2. alternatives to reduce capital commitment
   3. ratio diagonal put spreads
6. Dillon Read Capital Management
7. Discrete dividends
8. Distribution analysis
9. Diversification
10. Dividend capture
11. Dividend escrow method
12. Dividend yield
13. Dividends
14. Dooley, Evan Brent
15. Dotcom bubble
16. Drivers of options prices. See also Greeks
17. Dykstra, Lenny
18. Dynamic replication

 

1. Early excercise
2. Earnings reports
3. Efficient frontier
4. Efficient market hypothesis
5. Embedded call options
6. European debt crisis
7. European Union
8. European-style options
9. Exchange-traded options
10. Exercising an option
11. Expected volatility
12. Expiration dates. See also Time decay
    1. and call options
    2. and put options
    3. time decay vs. time to expiration

     

13. Fear
14. FIFO (first-in, first-out)
15. Financial Crimes Enforcement Network (FinCEN)
16. Financial crisis of 2008
17. Forward price
18. Francis Baring and Company
19. Frictionless markets
20. Fundamental investing
21. Fundamental strategies
    1. income-generating (see Income-generating strategies)
    2. ratio spreads
    3. risk reversals
    4. single-leg puts and calls
    5. vertical spreads
22. Futures contracts

 

1. Galena Street Fund
2. Gamma
   1. in diagonal put spreads
   2. equation for
   3. intuition behind
   4. relationship to theta
3. Gamma scalping
4. Geometric Brownian motion
5. Global Proprietary Credit Group (GPCG)
6. Gold:
   1. call spread risk reversals on
   2. put/call ratio example
7. Golden State Warriors
8. Greek banking system crisis
9. Greeks
   1. benefits of using
   2. delta (see Delta)
   3. gamma (see also Gamma scalping)
   4. phi
   5. return attribution and
   6. rho
   7. theta (see Theta)
   8. vega
   9. zeta

    

10. Hedging. See also Gamma scalping; Portfolio hedging
11. High-yield bonds, historical performance. See also IBOXX high-yield index
12. High-yield debt, hedging with equity
13. Historical volatility
14. Hope and Company
15. Horizontal spreads. See Calendar spreads
16. Howie Hubler trade
17. Hubbard, M. Kin
18. Hubler, Howie

 

1. IBOXX high-yield index
2. Implied volatility
   1. in diagonal put spreads
   2. relationship to realized volatility
   3. relationship to strike price
   4. skew chart
   5. volatility smile
3. Income-generating strategies
   1. cash-covered puts
   2. covered calls
   3. iron condor
4. Information extraction
   1. implied borrowing costs on underlying instruments
   2. option-implied distribution of future prices
   3. put/call ratio
5. Institutional investors
6. Insurance companies, as investors
7. Interest rates, effect on options
8. Interest-rate risk
9. Internet bubble
10. Intrinsic value
11. Intuition in options pricing
12. Investing disasters
    1. carry trades
    2. convergence trades
    3. dotcom bubble
    4. Howie Hubler trade
    5. Latrell Sprewell trade
    6. portfolio insurance
    7. subprime mortgage-backed securities
13. Investment choices
14. Investor fear
15. Investor optimism/pessimism
16. Iron condor
17. IWM

 

1. Jefferson, Thomas
2. Jump risk

 

1. LEAPS (Long-Term Equity Anticipation Securities)
2. Leland, Hayne
3. Leverage
4. Liquidity
5. Long calls
6. Long volatility
7. Long-Term Capital Management (LTCM)
8. Lottery tickets
9. Louisiana Purchase

 

1. Market corrections/crashes
2. Market panic behavior
3. Market portfolio
4. Mean reversion
5. Mean variance analysis
6. Mechanics of options. See Option mechanics
7. Merton, Thomas
8. MF Global
9. Minnesota Timberwolves
10. Modern portfolio theory (MPT)
11. Momentum investing
12. Moneyness
    1. and put options
    2. and skew charts
    3. vs. time decay
    4. in volume terms
13. Monte Carlo simulation
14. Morgan Guarantee
15. Morgan Stanley
16. Mortgage hedge funds

 

1. Nakamoto, Satoshi
2. Naked options
3. NBA (National Basketball Association)
4. Net credit
5. Net debt
6. New York Knicks
7. News announcements
8. News information flow
9. No-borrowing cost assumption

 

1. O’Brian, Leland
2. Oil investments
   1. crude oil consumption, historical
   2. crude oil prices, historical
   3. crude oil volatility term structure
   4. exploration and production (E&P) companies
   5. free straddle on
   6. oil fields as options
   7. oil-field production cycle
   8. peak oil theory
   9. volatility skew
3. One-time dividends
4. Open interest
5. Open-source software
6. Optimal hedge ratio
7. Optimism/pessimism
8. Option mechanics:
   1. assignment
   2. basic concepts
   3. contract terms and conditions
   4. creating, extinguishing, settling
   5. deliverables
   6. exercising
   7. leverage and risk
   8. moneyness
   9. option premium
   10. price behavior
   11. underlying assets and volatility
   12. valuation (see also Pricing models)
9. Option performance curve
10. Option premium
11. Option price, vs. underlying security price
12. Option prices, information from. See also Information extraction
13. Option pricing theory
14. Option-implied distribution of future prices
15. Options:
    1. fundamental strategies (see Fundamental strategies)
    2. overpriced behavior of
    3. overview of
    4. as part of all investment choices
    5. pricing and performance
       1. capital asset pricing model (CAPM)
       2. conclusions about
       3. historical returns analysis on calls
       4. historical returns analysis on puts
       5. modern portfolio theory (MPT)
    6. real options
    7. real-world examples
16. Options Clearing Corporation (OCC)
17. Over-the-counter (OTC) options
18. Overwrite tactic. See Covered calls

 

1. Parvest Dynamic ABS
2. Path dependence
3. Pay in kind (PIK) bonds
4. Peak oil theory
5. PEMEX (oil company)
6. Performance drag
7. Permanent hedging
8. Phi
   1. equation for
   2. intuition behind
9. PIK (pay in kind) bonds
10. Portfolio hedging
    1. 1 x 1.1 ratio diagonal put spreads
    2. 1 x 2 ratio put spreads
    3. alternatives to reduce capital commitment
    4. anticipatory hedging
    5. building a proper hedge
    6. diagonal put spreads
    7. equity for hedging high-yield debt
    8. finding optimal hedge ratio
    9. optimal strategies for
    10. performance simulation
    11. permanent hedging
    12. put options as insurance
11. Portfolio insurance
12. Price decay, measuring. See Phi; Theta
13. Pricing, and probability
14. Pricing models. See also Black—Scholes—Merton option-pricing model
15. “The Pricing of Options and Corporate Liabilities,”
16. Probability and pricing
17. Property and casualty (P&C) insurance
18. Put options
    1. 1 x 2 ratio put spreads
    2. 30-delta puts
    3. calendar put spreads
    4. cash-covered puts
    5. defined
    6. diagonal put spreads
    7. historical returns analysis on
    8. as insurance
    9. put/call ratio
    10. ratio calendar put spreads
    11. ratio diagonal put spreads
    12. short, ratio put spread
    13. short puts
    14. synthetically replicating
19. Put writing
20. Put-call parity

 

1. Quasi-equity securities

 

1. Ratio put spreads
   1. calendar
   2. capital outlay
   3. characteristics of
   4. diagonal
   5. Howie Hubler trade
   6. profit and loss pattern
2. Ratio spreads
3. Real estate. See Subprime mortgage-backed securities
4. Real options
5. Realized volatility
6. Real-world option examples
7. Relative skew
8. Repo financing
9. Residential Mortgage Backed Securities (RMBS)
10. Return attribution
11. Rho
    1. equation for
    2. intuition behind
12. Risk management
13. Risk reversals
14. Risk-free-rate lending/borrowing
15. Rubinstein, Mark
16. Russell 2000 index
17. Russian debt crisis

 

1. S&P 500 index
2. Scholes, Myron
3. Security market line
4. Sell to close
5. Sell to open
6. Short interest
7. Short interest ratio
8. Short put risk reversal
9. Short puts
10. Short ratio call spreads
11. Short ratio put spreads
12. Short selling
13. Short squeezes
14. Short volatility
15. Simple moneyness
16. Single-leg puts and calls
17. Skew
    1. absolute
    2. measuring
    3. predictive benefits of
    4. price of gold vs.
    5. reasons for
    6. relative
    7. in short squeezes
18. Skew charts
19. SPDR S&P 500 ETF (SPY)
20. Special dividends
21. Special situations. See Strategies for special situations
22. Spot price
23. Spreads:
    1. 1 x 2 ratio put spreads
    2. calendar spreads (see Calendar spreads)
    3. call butterfly
    4. diagonal put spreads
    5. ratio spreads (see Ratio put spreads; Ratio spreads)
    6. vertical spreads
24. Sprewell, Latrell
25. Static replication
26. Statistical volatility. See Realized volatility
27. Stick diagrams
28. Stock market crash of 1987
29. Straddles
30. Strangles
31. Strategies for special situations
    1. dividend capture
    2. opportunities in skew
    3. stocks under heavy short interest
32. Strike price
33. Subprime borrowers
34. Subprime mortgage crisis
35. Subprime mortgage-backed securities
36. Success stories:
    1. Berkshire Hathaway
    2. Bitcoin
    3. Louisiana Purchase
    4. oil trade
37. Synthetic options
38. Synthetics
    1. corporate bonds
    2. corporate debt
    3. put-call parity
    4. synthetically replicating a call
    5. synthetically replicating a put
    6. synthetically replicating cash
    7. synthetically replicating stock

     

39. Tail risk
40. Tech bubble
41. Technical investing
42. Term borrowing/lending
43. Term structure of volatility
44. “Theory of Rational Option Pricing,”
45. Theta
    1. and cost vs. price
    2. in diagonal put spreads
    3. equation for
    4. intuition behind
    5. relationship to delta
    6. relationship to gamma
46. “thread the needle” trades
47. Time decay. See also Expiration dates
    1. management
    2. vs. moneyness
    3. in risk reversals
    4. in straddles
    5. in strangles
    6. vs. time to expiration
    7. vs. time to expiration
    8. and vertical spreads
48. Time premium
49. Time to expiration:
    1. theta and
    2. vega and
50. Time value
51. Total differential
52. Tranches
53. Transaction costs
54. Trend, and measure of risk
55. Trend-following investing

 

1. Underlying instruments
   1. delta and
   2. fractional amounts of
   3. implied borrowing costs on
   4. price of, vs. delta
   5. price of, vs. option price
   6. price of, vs. phi
   7. price of, vs. rho
   8. and put-call parity
   9. volatility of (see also Vega)
2. United Capital Markets Holdings Inc.: Horizon Funds

 

1. Value investing
2. Vega
   1. equation for
   2. intuition behind
   3. vs. price of underlying security
   4. vs. time to expiration
3. Vertical spreads
4. Volatility:
   1. defined
   2. effect on option performance curve
   3. expected
   4. implied
   5. long and short
   6. managing
   7. realized
   8. relationship between implied and realized
   9. statistical (see Realized volatility)
   10. term structures of
   11. trading
       1. calendar spreads
       2. gamma scalping
       3. straddles
       4. strangles
5. Volatility arbitrage
6. Volatility expectations
   1. and underlying assets
7. Volatility instruments
8. Volatility premium
9. Volatility skew
10. Volatility surface

 

1. Wells Fargo

 

1. Zeta
   1. calculating
   2. equation for