Читать книгу The Unlucky Investor's Guide to Options Trading - Julia Spina - Страница 3

1 Chapter 1Table 1.1 The definitions, conditions for profitability, and directional ass...Table 1.2 The probability of each number appearing on each die in the three ...

2 Chapter 2Table 2.1 Two underlyings with the same price and put contracts on each unde...Table 2.2 IV overstatement of realized moves for six assets from 2016–2021. ...Table 2.3 Rates thats different assets experienced daily returns larger than...

3 Chapter 3Table 3.1 Two example short strangles. For Strangle A, CVaR estimates losing...Table 3.2 How often the VIX fell in a given range from 2005–2021.Table 3.3 The POPs and average P/Ls in different IV ranges for 45 DTE 16 SP...Table 3.4 Guidelines for allocating portfolio capital according to market IV...Table 3.5 Comparison of management strategies for 45 DTE 16 SPY strangles f...

4 Chapter 4Table 4.1 Three examples of approximate 45 DTE 16 strangle trades with diff...Table 4.2 Two portfolios with the same net liquidity but different amounts o...Table 4.3 Example trades that offer bullish directional exposure. Assume tha...

5 Chapter 5Table 5.1 Pricing, bid‐ask spread, and daily volume data for different equit...Table 5.2 General pros and cons for stock and ETF underlyings.Table 5.3 Options P/L and probability of profit (POP) statistics 45 days to ...Table 5.4 Two sample options underlyings with the same IV but differing stoc...Table 5.5 Data for 16 SPY strangles with different durations from April 20,...Table 5.6 Comparison of defined and undefined risk strategies.Table 5.7 Portfolio allocation for defined and undefined risk strategies wit...Table 5.8 Examples of popular short options strategies with the same delta o...Table 5.9 Example of a 16 SPY strangle and a 16 SPY iron condor with 10 w...Table 5.10 Initial credits for the 16 SPY strangle and the 16 SPY iron con...Table 5.11 Statistical comparison of 45 DTE 16 SPY iron condors with differ...Table 5.12 Average BPR comparison of 45 DTE 16 SPY strangles and 45 DTE 16Table 5.13 Statistical comparison of 45 DTE SPY strangles of different delta...Table 5.14 Average BPRs of 45 DTE SPY strangles with different deltas, sorte...Table 5.15 Probability of incurring a loss exceeding the BPR for 45 DTE SPY ...Table 5.16 Comparison of strike prices for two 30 DTE 16 call options with ...

6 Chapter 6Table 6.1 Statistics for 45 DTE 16 SPY strangles from 2005–2021 managed at ...Table 6.2 Statistics for 45 DTE 16 SPY strangles from 2005–2021 managed at ...Table 6.3 Average daily P/L and average duration for the contracts and manag...Table 6.4 Statistics for 45 DTE 16 SPY strangles from 2005–2021 managed at ...Table 6.5 Statistics for 45 DTE 16 SPY strangles from 2005–2021 managed eit...Table 6.6 Qualitative comparison of different management strategies.

7 Chapter 7Table 7.1 Statistics for 45 DTE 16 strangles from 2011–2020, managed at exp...Table 7.2 Two sample portfolios, each containing some percentage of market E...Table 7.3 The five‐year correlation history for the assets in Portfolios A a...Table 7.4 Historic correlations between two market ETFs (SPY, QQQ) and the c...Table 7.5 The probability of outlier losses (worse than 200% of the initial ...Table 7.6 Historic correlations among two market ETFs (SPY and QQQ), a gold ...Table 7.7 The probability of outlier losses (worse than 200% of the initial ...Table 7.8 Daily performance statistics for five portfolios passively investe...

8 Chapter 8Table 8.1 Statistical analysis of the three portfolios illustrated in Figure...Table 8.2 POPs and allocation percentages of buying power for 45 DTE 16 SPY...Table 8.3 Correlations between different ETFs from 2011–2018. Included are t...Table 8.4 Core position statistics for 45 DTE 16 strangles from 2011–2018. ...Table 8.5 Portfolio backtest performance statistics for the three portfolios...

9 Chapter 9Table 9.1 Statistics for 45 days to expiration (DTE) 16 AAPL strangles from...Table 9.2 Statistics for 45 DTE 16 AMZN strangles from 2005–2020. Trades ar...Table 9.3 Statistics for 45 DTE 16 GOOGL strangles from 2005–2020. Trades a...

10 AppendixTable A.1 Expected 30‐day price range approximations for an underlying with ...Table A.2 Data for 16 SPY strangles with different durations from April 20,...