Читать книгу Positional Option Trading - Euan Sinclair - Страница 2
Table of Contents
Оглавление1 COVER
2 INTRODUCTION Trading as a Process Summary
3 CHAPTER 1: Options Option Pricing Models Option Trading Theory Conclusion Summary
4 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 Conclusion Summary
5 CHAPTER 3: Forecasting Volatility Model-Driven Forecasting and Situational Forecasting The GARCH Family and Trading Implied Volatility as a Predictor Ensemble Predictions Conclusion Summary
6 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
7 CHAPTER 5: Finding Trades with Positive Expected Value Aside: Crowding Trading Strategies Options and Fundamental Factors Post-Earnings Announcement Drift (PEAD) Confidence Level Two The Overnight Effect FOMC and Volatility The Weekend Effect Volatility of Volatility Risk Premia Confidence Level One Earnings-Induced Reversals Pre-Earnings Announcement Drift Conclusion Summary
8 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
9 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
10 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
11 CHAPTER 9: Trade Sizing The Kelly Criterion Non-normal Discrete Outcomes Non-normal Continuous Outcomes Uncertain Parameters Kelly and Drawdown Control The Effect of Stops Conclusion Summary
12 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
13 CONCLUSION
14 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
15 APPENDIX 2: Statistical Rules of Thumb Converting Range Estimates to Option Pricing Inputs Rule of Five Rule of Three
16 APPENDIX 3: Execution Example
17 REFERENCES
18 INDEX
