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Figures

Figure 1: CatchMark Timber Trust Inc. (CTT), Preis in USD, vom 15.02.2019 16

Figure 2: Option chain of the SPY 28

Figure 3: Rights and obligations for buyers and sellers 41

Figure 4: P/L-Diagram (Long-Call) 47

Figure 5: P/L-Diagram (Short-Call) 49

Figure 6: P/L-Diagram (Iron Condor) 50

Figure 7: "Moneyness" #1 63

Figure 8: „Moneyness“ #2 64

Figure 9: Intrinsic & extrinsic value or „Moneyness“ 71

Figure 10: Gamma-Change during days into trade 81

Figure 11: : Gamma-Influence on your P/L during the trade 82

Figure 12: Gamma within different strategies 82

Figure 13: Gamma at different strikes 83

Figure 14: Thetadecay over time, combined with premium 88

Figure 15: Verhältnis Ratio of premium / theta decay 88

Figure 16: Vega in different strategies 91

Figure 17: Vega at different strikes and expirations 92

Figure 18: Different IV-Ranks and their interpretations 97

Figure 19: Calculating the IVR 99

Figure 20: Expected Move at IV=15 102

Figure 21: Expected Move at IV=30 102

Figure 22: VIX "Contango" 105

Figure 23: VIX "Backwardation" 106

Figure 24: Graphical representation of the 1st and 2nd standard deviation in the SPY with an IVR of 11 117

Figure 25: Probability of Profit Strangles; 1. vs. 2. standard deviation 119

Figure 26: Strangles; 1. vs. 2. standard deviation (simulation with 1 million USD account size, of which 25% was actively used for trades). 75% were held in cash. 119

Figure 27: Strangles, 1st vs. 2nd standard deviation, graphical 120

Figure 28: P/L-Diagram Short-Put 123

Figure 29: P/L-Diagram Short-Call 124

Figure 30: P/L-Diagram Strangle 125

Figure 31: P/L-Diagram at 10 DTE 127

Figure 32: P/L-Diagram at 45 DTE 128

Figure 33: P/L-Diagram Long-Put 130

Figure 34: P/L-Diagram Long Call 131

Figure 35: Example for narrow spreads, good volume and good open interest in the SPY 139

Figure 36: Example for the required Buying-Power of a Strangles in Canopy (CGC) 150

Figure 37: A healthy "middle course" through diversification 166

Figure 38: Historical vs. implied volatility 182

Figure 39: Sorting of shares according to IVR 184

Figure 40: P/L-Diagram Long-Put 189

Figure 41: P/L-Diagram Naked-Short-Put 192

Figure 42: P/L-Diagram Long-Call 196

Figure 43: P/L-Diagram Naked Short Call 199

Figure 44: P/L-Diagram Vertical Credit Spread (Put) 216

Figure 45: P/L-Diagram Vertical Credit Spread (Call) 218

Figure 46: P/L-Diagram Strangle 225

Figure 47: P/L-Diagram Iron Condor (same width of the Spreads) 228

Figure 48: P/L-Diagram Straddle 232

Figure 49: P/L-Diagram Iron Fly 236

Figure 50: P/L-Diagram Iron Fly (Example) 238

Figure 51: Take-Profit (before rolling) 272

Figure 52: Take-Profit (after rolling) 273

Figure 53: Rolling process based on a chart 285

Figure 54: Rolling process with P/L-Diagram 285

Figure 55: 1-year chart of ROKU 297

Figure 56: Theta decay over time 300

Figure 57: Strength of the theta decay based on different initial values 301

Figure 58: Comparison of trades with 21 / 45 DTE (in SPY) 302

Figure 59: Long-term comparison of different management approaches 303

Figure 60: Management by strategy 305

Figure 61: Strangles 305

Figure 62: Straddles 306

Figure 63: Naked-Put 306

Figure 64: Naked-Call 306

Figure 65: SPY is a fairly priced underlying 310

Figure 66: P/L-Diagram Strangle (green), Iron Condor with 1 USD (yellow) and 5 USD (turquoise) wide strikes 313

Figure 67: The Greeks: Strangle vs. Iron Condor 313

Figure 68: Influence of the Vega on IC and Strangle 314

Figure 69: Pro/Contra (un)defined risk-strategies 315

Figure 70: Difference in percentage premium at different VIX levels (average premium as a percentage of underlying price) 316

Figure 71: P/L Iron Condor vs. Strangle (low vs. high VIX) 317

Figure 72: Properties of different strategies 320

Figure 73: Volacrush in „BBBY“ before earnings. 328

Figure 74: Selection of the expiration cycle for an earnings trade in BBBY 329

Figure 75: VIX "mean-reverting" 2018 337

Figure 76: Example of a VXXB Trade (Vertical-Spread) 339

Figure 77: Example configuration FinViz 346

Figure 78: Results of the filter criteria at FinViz 348

Figure 79: Setup of a Ratio-Spread 351

Figure 80: P/L-Diagram Put-Ratio-Spread (1xΔ50 Long-Put; 2x Δ30 Short-Put) 352

Figure 81: Profit zone put-ratio spread (buy 1x Δ50 long put, sell 2x Δ30 short put) 353

Figure 82: Example Naked-Short-Put 363

Figure 83: Example Long Call Vertical 365

Figure 84: Example Short Put Vertical 367

Figure 85: Example Long Put Vertical 369

Figure 86: Example Naked Short Call 373

Figure 87: Example Short Call Vertical 375

Figure 88: Example Broken Wing Butterfly 378

Figure 89: Example Butterfly 381

Figure 90: Example Iron Condor 385

Figure 91: Example Iron Fly 388

Figure 92: Example Jade Lizard 390

Figure 93: Example Straddle 392

Figure 94: Example Strangle 394