Оглавление
Euan Sinclair. Positional Option Trading
Table of Contents
List of Tables
List of Illustrations
Guide
Pages
POSITIONAL OPTION TRADING. An Advanced Guide
INTRODUCTION
Trading as a Process
Summary
CHAPTER 1 Options: A Summary. Option Pricing Models
Option Trading Theory
Conclusion
Summary
CHAPTER 2 The Efficient Market Hypothesis and Its Limitations
The Efficient Market Hypothesis
Aside: Alpha Decay
Behavioral Finance
High-Level Approaches: Technical Analysis and Fundamental Analysis
Technical Analysis
Fundamental Analysis
Conclusion
Summary
CHAPTER 3 Forecasting Volatility
Model-Driven Forecasting and Situational Forecasting
The GARCH Family and Trading
Implied Volatility as a Predictor
Ensemble Predictions
Conclusion
Summary
CHAPTER 4 The Variance Premium
Aside: The Implied Variance Premium
Variance Premium in Equity Indices
The Implied Skewness Premium
The Implied Correlation Premium
Commodities
Bonds
The VIX
Currencies
Equities
Reasons for the Variance Premium
Insurance
Jump Risk
Trading Restrictions
Market-Maker Inventory Risk
Path Dependency of Returns
The Problem of the Peso Problem
Conclusion
Summary
CHAPTER 5 Finding Trades with Positive Expected Value
Aside: Crowding
Trading Strategies
Confidence Level Three
Trading Strategy
Options and Fundamental Factors
Post-Earnings Announcement Drift (PEAD)
Trading Strategy
Confidence Level Two
Trading Equity Options over Earnings Announcements
Trading Strategy
The Overnight Effect
Trading Strategy
FOMC and Volatility
Trading Strategy
The Weekend Effect
Trading Strategy
Volatility of Volatility Risk Premia
Trading Strategy
Confidence Level One
Earnings-Induced Reversals
Trading Strategy
Pre-Earnings Announcement Drift
Trading Strategy
Conclusion
Summary
CHAPTER 6 Volatility Positions
Aside: Adjustment and Position “Repair”
Straddles and Strangles
Aside: Delta-Hedged Positions
Butterflies and Condors
Aside: Broken Wing Butterflies and Condors
Calendar Spread
Including Implied Volatility Skew
Strike Choice
Choosing a Hedging Strike
Expiration Choice
Conclusion
Summary
CHAPTER 7 Directional Option Trading
Subjective Option Pricing
A Theory of Subjective Option Pricing
Distribution of Option Returns: Summary Statistics
Strike Choice
Fundamental Considerations
Conclusion
Summary
CHAPTER 8 Directional Option Strategy Selection
Long Stock
Long Call
Long Call Spread
Short Put
Covered Calls
Components of Covered Call Profits
Covered Calls and Fundamentals
Short Put Spread
Risk Reversal
Aside: The Risk Reversal as a Skew Trade
Ratio Spreads
Conclusion
Summary
CHAPTER 9 Trade Sizing
The Kelly Criterion
Non-normal Discrete Outcomes
Case One
Reconsidered Case
Non-normal Continuous Outcomes
Uncertain Parameters
Kelly and Drawdown Control
The Effect of Stops
Stop Placement
Incorporating Stops into the Kelly Criterion
Conclusion
Summary
CHAPTER 10 Meta Risks
Currency Risk
Theft and Fraud
Example One: Baring's Bank
Example Two: Yasumo Hamanaka, aka “Mr. Copper”
Example Three: Bernie Madoff
Index Restructuring
Arbitrage Counterparty Risk
Conclusion
Summary
CONCLUSION
APPENDIX 1 Traders' Adjustments to the BSM Assumptions. The Existence of a Single, Constant Interest Rate
The Stock Pays No Dividends
Absence of Taxes
The Ability to Trade and Short the Underlying
Nonconstant Volatility
Conclusion
Summary
APPENDIX 2 Statistical Rules of Thumb
Converting Range Estimates to Option Pricing Inputs
Rule of Five
Rule of Three
APPENDIX 3 Execution
Example
REFERENCES
Index
WILEY END USER LICENSE AGREEMENT
Отрывок из книги
Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers' professional and personal knowledge and understanding.
The Wiley Trading series features books by traders who have survived the market's ever-changing temperament and have prospered—some by reinventing systems, others by getting back to basics. Whether a novice trader, professional, or somewhere in-between, these books will provide the advice and strategies needed to prosper today and well into the future.
.....
FIGURE 1.1 The implied volatility surface for SPY on September 10, 2019.
FIGURE 1.2 The terminal PL distribution of a single short one-year ATM straddle that is never re-hedged. Stock price is $100, rates are zero, and both realized and implied volatilities are 30%.
.....
