Double No Touch FX Option Strategies for Low Volatility Markets: A Case Study. Udi Sela September 2012
|
|
- Peregrine Norman Lambert
- 5 years ago
- Views:
Transcription
1 Double No Touch FX Option Strategies for Low Volatility Markets: A Case Study Udi Sela September 2012
2 About the Speaker Udi Sela has been active in foreign exchange derivatives markets over the last 18 years. A senior derivatives trader and trading manager at Citibank and JPMorgan, developed expertise in derivatives spanning both vanilla and complex FX options. During the last seven years led product development and pre-sales functions within a range of financial software vendors. He holds an MBA in Finance and Technology Management.
3 Key Message Option strategies undertaken are determined by the level of volatility in the market. The current environment of historically low volatilities suggests that an examination of alternative very specific options strategies could be profitable.
4 Agenda Brief introduction of current low Volatility Traditional strategies to trade Volatility Double No Touch options European Range Bet option DNT in emerging markets Summary Q&A
5 USD/JPY Spot Rate History
6 Volatility A year ago: Three months Implied Volatility traded around 11% The Spot three month Historical Vol was around 9.5% Today (as of August): Three months Implied Vol trades around 7.5% The Spot three month Historical Vol is around 6.4% (lowest levels in the past five years)
7 Selling Volatility Traditional Strategies (USD/JPY) Sell a Straddle - two options: USD Call plus USD Put USD/JPY Both struck at the money (zero Delta Straddles) 10 Million Dollar a leg Expiry in three month Premium received 293,000 USD
8 Selling a Straddle: USD/JPY
9 Selling a Straddle (USD/JPY): Risks Limited profit (premium) Potential unlimited loss Mark-to-market losses Short Gamma expensive hedging (for those choosing the hedge, typically sell-side players)
10 Risk Analysis Selling USD/JPY Straddle Increased loss as Spot rate moves significantly either way Short Gamma mostly across the Strike Prices Short Vega Need to take a look at Time Horizon as well
11 Sell Volatility Selling USD/JPY Strangle Sell a Strangle: USD Put struck at 76 USD Call struck at Million Dollar a leg Expiry in three month Premium received 95,500 USD
12 Selling a Strangle (USD/JPY)
13 Selling a Strangle (USD/JPY): Risks Limited profit (premium) Potential unlimited loss Mark-to-market losses Short Gamma expensive hedging (when performing dynamic hedging) Lower risk as opposed to Straddle (Strike prices are further out of the money) Premium of strategy is lower than Straddle
14 Risk Analysis (Selling USD/JPY Strangle) Increased loss as Spot rate moves significantly either way Short Gamma mostly across the Strike Prices Short Vega Need to take a look at Time Horizon as well
15 Straddle / Strangle Comparison (USD/JPY) Straddle Premium received $293,000 Strategy in the Money as the market moves away from Short Vega ($40,000) Short Gamma ($2,000,000) Strangle Premium received $95,500 Strategy in the Money if market trades below 76 or above 81 Short Vega ($29,000) Short Gamma ($1,400,000)
16 Sell Volatility USD/JPY Buy a Double No Touch option Receive 1,000, 000 USD if: Market doesn t trade any day till expiry at or below Or 81 and above Expiry in three month Premium to be paid 230,000 USD
17 Buying a DNT USD/JPY
18 Buying a DNT Option (USD/JPY) Limited Loss (premium) Potential profit 1,000,000 USD (four times over premium paid) Potential Mark-to- Market losses Premium paid in advance (upon inception date)
19 Risk Analysis (DNT USD/JPY) If towards expiry the Spot rate trades near the triggers, Delta and Gamma become very high Vega diminishes over time
20 USD/JPY DNT Delta Differences
21 USD/JPY DNT Gamma Differences
22 USD/JPY DNT Vega Differences
23 Sell Volatility USD/JPY Buy a European Range Bet option: Receive 1,000, 000 USD ONLY if at expiry: Market doesn t trade at or below Or 81 and above Expiry in three month Premium to be paid 558,000 USD
24 Buying an European Range Bet Option
25 Buying a USD/JPY ERB Option Limited Loss (premium) Potential profit 1,000,000 USD (almost twice over premium paid) Potential Mark-to- Market losses Premium paid in advance (upon inception date) Lower probability of range being breached
26 Risk Analysis USD/JPY ERB Very similar to DNT s risk profile If towards expiry the Spot rate trades near the triggers, Delta and Gamma increase to extreme levels (well above DNT), due to additional leverage effect
27 Sell Volatility USD/ZAR Buy a Double No Touch option in an emerging market - Higher Implied Volatility USD/ZAR Receive 1,000, 000 USD if: Market doesn t trade any day till expiry at 7.95 or below Or 8.95 and above Expiry in three month Premium to be paid 230,000 USD
28 USD/ZAR DNT Option
29 Buying a DNT Option in an Emerging Market (USD/ZAR) Limited Loss (premium) Better leverage ratio or wider range Potential profit 1,000,000 USD (four times over premium paid) Potential Mark-to- Market losses Premium paid in advance (upon inception date)
30 Risk Analysis As the option has a high time value, please note the Theta As the Volatility of the pair is much higher, the risk of hitting the barriers is higher as well Better risk reward/ratio but lower probability of a payoff at expiry
31 USD/ZAR Spot Rate
32 USD/ZAR 3M Implied Volatility
33 Strategies MTM Three Weeks Later
34 Choice of Underlying Assets JPY: Perceived as a safe haven currency Bank of Japan supporting US Dollar below ZAR: High Volatility currency High negative correlation with Euro (around -0.7)
35 Summary The current environment (Northern summer months) has been characterized by low volatility Various trading techniques are available to benefit from expected low volatility Traditional strategies entail unlimited risk in case of sudden violent moves Buying DNT limits the potential loss to the premium paid The implied volatility of the underlying asset determines the risk/reward profile
36 Technical Note The examples used in this presentation were provided by the OTC derivatives pricing platform dfferentia, found at This software platform is powered by the financial models and methods developed at Numerix, found at This software is available to financial markets participants and can be readily used to identify and undertake these and other profitable strategies available in the OTC markets
37 Questions and Answers
38 About Numerix Numerix provides cross-asset analytics software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management of derivatives and structured products. Visit us online at: Contact us at:
GLOSSARY OF COMMON DERIVATIVES TERMS
Alpha The difference in performance of an investment relative to its benchmark. American Style Option An option that can be exercised at any time from inception as opposed to a European Style option which
More informationCross Currency Derivatives at NSE
Cross Currency Derivatives at NSE 1 Contents 1. About New Currency Pairs 2. Trading 3. Settlement 4. Risk Management 5. Trading Strategies 6. Benefits of Trading on NSE 2 About New Currency Pairs Top 3
More informationForeign exchange derivatives Commerzbank AG
Foreign exchange derivatives Commerzbank AG 2. The popularity of barrier options Isn't there anything cheaper than vanilla options? From an actuarial point of view a put or a call option is an insurance
More informationFinancial Markets and Products
Financial Markets and Products 1. Which of the following types of traders never take position in the derivative instruments? a) Speculators b) Hedgers c) Arbitrageurs d) None of the above 2. Which of the
More information1 The FX Market 1.1 FX RATES AND SPOT CONTRACTS
P: JYS c0 JWBK-Castagna September, 0 : Printer: Yet to come 0 The FX Market The foreign exchange (FX) market is an OTC market where each participant trades directly with the others; there is no exchange,
More informationVolatility Strategies for 2016
Volatility Strategies for 2016 February 2016 Gareth Ryan Founder & Managing Director Risk Disclosure Options are leveraged products that involve risk and are not suitable for all investors. Before committing
More informationSteve Meizinger. FX Options Strategies for Your Investment Portfolio
Steve Meizinger FX Options Strategies for Your Investment Portfolio For the sake of simplicity, the examples that follow do not take into consideration commissions and other transaction fees, tax considerations,
More informationDERIVATIVES Course Curriculum
DERIVATIVES Course Curriculum DERIVATIVES This course covers financial derivatives such as forward contracts, futures contracts, options, swaps and other recently created derivatives. It follows pragmatic
More informationCurrency Option or FX Option Introduction and Pricing Guide
or FX Option Introduction and Pricing Guide Michael Taylor FinPricing A currency option or FX option is a contract that gives the buyer the right, but not the obligation, to buy or sell a certain currency
More informationLong Dated FX products. Dr. Sebastián del Baño Rollin Global Head FX and Equity Quantitative Research
Long Dated FX products Dr. Sebastián del Baño Rollin Global Head FX and Equity Quantitative Research Overview 1. Long dated FX products 2. The Power Reverse Dual Currency Note 3. Modelling of long dated
More informationDemystifying Exotic Derivatives: What You Need to Know
Demystifying Exotic Derivatives: What You Need to Know Rutter Associates June 2, 2016 Abstract Exotic or complex derivatives are distinguished from their plain vanilla cousins only by the amount of reverse
More informationTradeOptionsWithMe.com
TradeOptionsWithMe.com 1 of 18 Option Trading Glossary This is the Glossary for important option trading terms. Some of these terms are rather easy and used extremely often, but some may even be new to
More informationFinancial Markets & Risk
Financial Markets & Risk Dr Cesario MATEUS Senior Lecturer in Finance and Banking Room QA259 Department of Accounting and Finance c.mateus@greenwich.ac.uk www.cesariomateus.com Session 3 Derivatives Binomial
More informationTREASURY CONSULTING LLP DEMYSTIFYING FINANCIAL DERIVATIVES (ADVANCED SERIES)
TREASURY CONSULTING LLP DEMYSTIFYING FINANCIAL DERIVATIVES (ADVANCED SERIES) Objective of the Course Objective of the Course: The agenda of this course will offer delegates a thorough and practical understanding
More informationDecision Date and Risk Free Rates Apple Inc. Long Gut Bond Yields Decision Date (Today)
MBA-555 Final Project Written Case Analysis Jason Rouslin Matthew Remington Chris Bumpus Part A: Option-Based Risk Mitigation Strategies II. Micro Hedge: The Equity Portfolio. Apple Inc. We decided to
More informationOPTIONS ON GOLD FUTURES THE SMARTER WAY TO HEDGE YOUR RISK
OPTIONS ON GOLD FUTURES THE SMARTER WAY TO HEDGE YOUR RISK INTRODUCTION Options on Futures are relatively easy to understand once you master the basic concept. OPTION The option buyer pays a premium to
More informationWRITTEN NOTICE OPTION DELTA PERMISSION
WRITTEN NOTICE OPTION DELTA PERMISSION To: Investec Bank plc (FRN: 172330) ( the firm ) Reference Number: 2691623 Date: 9 September 2016 DECISIONS 1. In accordance with the discretions afforded to the
More informationBeginners General Forex
Beginners General Forex What is Forex? Forex is the abbreviation of Foreign Exchange. It is also referred to as FX or Currency Market or just forex. It is a global decentralized market for the trading
More informationDeutsche Bank Global Markets Ex-Ante Cost Disclosure 2018
Deutsche Bank Global Markets Ex-Ante Cost Disclosure 2018 This document provides you with key information about Corporate Investment Bank Products. It is not marketing material. The purpose of this document
More informationMathematics of Financial Derivatives
Mathematics of Financial Derivatives Lecture 8 Solesne Bourguin bourguin@math.bu.edu Boston University Department of Mathematics and Statistics Table of contents 1. The Greek letters (continued) 2. Volatility
More informationWHY TRADE FX WITH SAXO?
FX PRODUCT GUIDE OPEN ACCOUNT TODAY > TRY FREE DEMO FIRST > WHY TRADE FX WITH SAXO? FULLY LICENSED BANK Saxo Bank is a global online investment bank regulated in the EU, headquartered in Copenhagen and
More informationLecture 9: Practicalities in Using Black-Scholes. Sunday, September 23, 12
Lecture 9: Practicalities in Using Black-Scholes Major Complaints Most stocks and FX products don t have log-normal distribution Typically fat-tailed distributions are observed Constant volatility assumed,
More informationSeminar on Issues in Accounting, WIRC ICAI
Accounting Application & Issues in Currency Derivatives Seminar on Issues in Accounting, Auditing & Taxation of Derivatives WIRC ICAI Mumbai Anagha Thatte, M P Chitale & Co. July 16, 2011 Disclaimers Thesearemypersonalviewsandcannotbeconstrued
More informationEXCHANGE-TRADED EQUITY DERIVATIVES
Global Markets Advisory & Beyond Risk seeking or risk-averse, it helps both ways. EXCHANGE-TRADED EQUITY DERIVATIVES Investors are often demotivated by the large capital requirements, limited disclosures,
More informationThe objective of Part One is to provide a knowledge base for learning about the key
PART ONE Key Option Elements The objective of Part One is to provide a knowledge base for learning about the key elements of forex options. This includes a description of plain vanilla options and how
More informationINVESTMENT SERVICES RULES FOR RETAIL COLLECTIVE INVESTMENT SCHEMES
INVESTMENT SERVICES RULES FOR RETAIL COLLECTIVE INVESTMENT SCHEMES PART B: STANDARD LICENCE CONDITIONS Appendix VI Supplementary Licence Conditions on Risk Management, Counterparty Risk Exposure and Issuer
More informationValuing Put Options with Put-Call Parity S + P C = [X/(1+r f ) t ] + [D P /(1+r f ) t ] CFA Examination DERIVATIVES OPTIONS Page 1 of 6
DERIVATIVES OPTIONS A. INTRODUCTION There are 2 Types of Options Calls: give the holder the RIGHT, at his discretion, to BUY a Specified number of a Specified Asset at a Specified Price on, or until, a
More informationSensex Realized Volatility Index (REALVOL)
Sensex Realized Volatility Index (REALVOL) Introduction Volatility modelling has traditionally relied on complex econometric procedures in order to accommodate the inherent latent character of volatility.
More informationProcess Driven, Limited Risk FX Trading. 08 April 2008
Process Driven, Limited Risk FX Trading 08 April 2008 The Theory FX Markets trend approximately 15% of the time. The key is to avoid non-trending markets and focus on the currency pairs that are trending.
More informationHow to Choose Your Strategy Part 4: Options Strategy Cheat Sheet
How to Choose Your Strategy Part 4: Options Strategy Cheat Sheet Disclaimer Options involve risks and are not suitable for all investors. Prior to buying or selling options, an investor must receive a
More information7. forward extra. 134 II/b. treasury deals for importers
7. forward extra MIFID complexity FX 3 product description A forward extra deal combines the security of a forward deal with the flexibility of an option. If you have a concrete idea about the maximum
More informationExotic Derivatives & Structured Products. Zénó Farkas (MSCI)
Exotic Derivatives & Structured Products Zénó Farkas (MSCI) Part 1: Exotic Derivatives Over the counter products Generally more profitable (and more risky) than vanilla derivatives Why do they exist? Possible
More informationMedusa FX Option Trading Platform
Medusa FX Option Trading Platform Quick User Guide Copyright Digital Vega FX Limited. All rights reserved Dec 2014 v 3.0 Desktop Click tabs to navigate around system. Click down arrow to change currency
More informationAdvanced Foreign Exchange Derivatives This course can also be presented in-house for your company or via live on-line webinar
Advanced Foreign Exchange Derivatives This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course Objectives The
More informationEnergy and Commodity Derivatives Development for Finance Professionals
Energy and Commodity Derivatives Development for Finance Professionals A Blended-Learning Program from ACF Consultants ACF Consultants have a solid reputation for delivering innovative, top-quality training
More informationAsset-or-nothing digitals
School of Education, Culture and Communication Division of Applied Mathematics MMA707 Analytical Finance I Asset-or-nothing digitals 202-0-9 Mahamadi Ouoba Amina El Gaabiiy David Johansson Examinator:
More informationMarket risk measurement in practice
Lecture notes on risk management, public policy, and the financial system Allan M. Malz Columbia University 2018 Allan M. Malz Last updated: October 23, 2018 2/32 Outline Nonlinearity in market risk Market
More informationBarrier Options. Singapore Management University QF 301 Saurabh Singal
Barrier Options Singapore Management University QF 301 Saurabh Singal How to Cheapen an Option... Change the underlying (lower volatility, higher dividend yield) Change the strike, or time to maturity
More informationFuel Hedging. Management. Strategien for Airlines, Shippers, VISHNU N. GAJJALA
Fuel Hedging andrisk Management Strategien for Airlines, Shippers, and Other Consumers S. MOHAMED DAFIR VISHNU N. GAJJALA WlLEY Contents Preface Acknovuledgments Almut the Aiithors xiii xix xxi CHAPTER
More informationWHS options guide. Getting started with options. Refine your trading style and your market outlook. Hedge positions.
Getting started with options WHS options guide Refine your trading style and your market outlook. Hedge positions. Benefit from the intelligent and dynamic SPAN margin. Get started right now. WH SELFINVEST
More informationCHAPTER 9. Solutions. Exercise The payoff diagrams will look as in the figure below.
CHAPTER 9 Solutions Exercise 1 1. The payoff diagrams will look as in the figure below. 2. Gross payoff at expiry will be: P(T) = min[(1.23 S T ), 0] + min[(1.10 S T ), 0] where S T is the EUR/USD exchange
More informationManaging a Market Correction in your Portfolio
Managing a Market Correction in your Portfolio October 2015 Gareth Ryan Founder & Managing Director Risk Disclosure Options are leveraged products that involve risk and are not suitable for all investors.
More informationAdvanced Equity Derivatives This course can also be presented in-house for your company or via live on-line webinar
Advanced Equity Derivatives This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course Objectives The broad objectives
More information2013 triennial central bank survey Frequently asked questions and answers
2013 triennial central bank survey Frequently asked questions and answers Table of Contents A. Risk categories... 3 1. Foreign exchange transactions: the reporting of gold... 3 B. Instruments... 3 1. Reporting
More informationTRADING ADDICTS. Lesson 1: Introduction to Covered Calls. Getting to Know the Basics. Copyright 2010, Trading Addicts, LLC. All Rights Reserved
Lesson 1: Introduction to Covered Calls Welcome to the Trading Addicts Covered Call tutorial. In this chapter, we will be introducing you to an in depth introduction to the Covered Call strategy, and the
More informationLIFFE Options a guide to trading strategies
LIFFE Options a guide to trading strategies LIFFE 2002 ll proprietary rights and interest in this publication shall be vested in LIFFE dministration and Management ("LIFFE") and all other rights including,
More informationP&L Attribution and Risk Management
P&L Attribution and Risk Management Liuren Wu Options Markets (Hull chapter: 15, Greek letters) Liuren Wu ( c ) P& Attribution and Risk Management Options Markets 1 / 19 Outline 1 P&L attribution via the
More informationAdvanced Options Strategies Charles Schwab & Co., Inc. All rights reserved. Member: SIPC. ( )
Advanced Options Strategies 2018 & Co., Inc. All rights reserved. Member: SIPC. (0709-9723) Important Information Options carry a high level of risk and are not suitable for all investors. Certain requirements
More informationHow to Trade Options Using VantagePoint and Trade Management
How to Trade Options Using VantagePoint and Trade Management Course 3.2 + 3.3 Copyright 2016 Market Technologies, LLC. 1 Option Basics Part I Agenda Option Basics and Lingo Call and Put Attributes Profit
More informationOptions Trading Strategies for a Volatile Market
Options Trading Strategies for a Volatile Market Five Simple Options Trading Strategies for Consistent Profits in a Volatile Market Table Of Contents Introduction Chapter 1 Overview Chapter 2 Basics of
More informationThe Positive Carry Insurance Policy
A Commentary by Harley Bassman: The Convexity Maven Not a Product of Credit Suisse Research Value Concepts from the Credit Suisse Trading Desk For Distribution to Institutional Clients Only July 17, 2012
More informationOption Trading Strategies
Option Trading Strategies Options are one of the most powerful financial tools available to the investor. A large part of the power of options is only apparent when several options are traded and combined
More informationHISTORIC LAUNCH OF COMMODITY OPTIONS ON GOLD FUTURES
HISTORIC LAUNCH OF COMMODITY OPTIONS ON GOLD FUTURES 17 October 2017 research@bmastock.com 033 40110063 Gold Options- Contract Specification Gold Options- A Game Changer Commencement of Gold Option Contract
More informationOptions Mastery Day 2 - Strategies
Options Mastery Day 2 - Strategies Day 2 Agenda 10:00-10:10 - Overview and Q&A from Day 1 10:10-11:00 - Morning Trade Walk Thru & Trade Plans 11:00 12:00 - Options 101 Review & Long Call/Put Criteria 12:00-12:15
More informationAdvanced Equity Derivatives
Advanced Equity Derivatives This course can be presented in-houseor via webinar for you on a date of your choosing The Banking and Corporate Finance Training Specialist Course Overview This programme has
More informationRisk Management. Exercises
Risk Management Exercises Exercise Value at Risk calculations Problem Consider a stock S valued at $1 today, which after one period can be worth S T : $2 or $0.50. Consider also a convertible bond B, which
More informationFunctional Training & Basel II Reporting and Methodology Review: Derivatives
Functional Training & Basel II Reporting and Methodology Review: Copyright 2010 ebis. All rights reserved. Page i Table of Contents 1 EXPOSURE DEFINITIONS...2 1.1 DERIVATIVES...2 1.1.1 Introduction...2
More informationDerivatives Analysis & Valuation (Futures)
6.1 Derivatives Analysis & Valuation (Futures) LOS 1 : Introduction Study Session 6 Define Forward Contract, Future Contract. Forward Contract, In Forward Contract one party agrees to buy, and the counterparty
More informationTrading Around the World Using CME Group Metals Options as Trading Opportunities
Trading Around the World Using CME Group Metals Options as Trading Opportunities Exchange and Industry Sponsored Webinars are presented by unaffiliated third parties. Interactive Brokers LLC is not responsible
More informationMeasuring Portfolio Risk
Measuring Portfolio Risk The first step to hedging is measuring risk then we can do something about it What do I mean by portfolio risk? There are a lot or risk measures used in the financial lexicon.
More informationThe Financial Markets Academy
The new ACI Diploma The Financial Markets Academy www.tfma.nl The Financial Markets Academy (TFMA) is a training company that offers preparation courses and e- learning tools for the ACI exams. TFMA is
More informationKEY CONCEPTS. Understanding Currencies
KEY CONCEPTS Understanding Currencies TABLE OF CONTENTS WHAT IS FOREX?...3 HOW FOREX IS TRADED...5 WHERE CAN I TRADE FOREX?...6 WHY TRADE FOREX?...6 TERMINOLOGY...7 AN EXAMPLE OF A CFD FOREX TRADE...9
More informationCollateral Management & CSA Discounting. Anna Barbashova Product Specialist CrossAsset Client Solutions Group, Numerix December 11, 2013
Collateral Management & CSA Discounting Anna Barbashova Product Specialist CrossAsset Client Solutions Group, Numerix December 11, 2013 About Our Presenters Contact Our Presenters: Follow Us: Anna Barbashova
More informationAn Introduction to Structured Financial Products (Continued)
An Introduction to Structured Financial Products (Continued) Prof.ssa Manuela Pedio 20541 Advanced Quantitative Methods for Asset Pricing and Structuring Spring 2018 Outline and objectives The Nature of
More informationFINA 1082 Financial Management
FINA 1082 Financial Management Dr Cesario MATEUS Senior Lecturer in Finance and Banking Room QA257 Department of Accounting and Finance c.mateus@greenwich.ac.uk www.cesariomateus.com 1 Lecture 13 Derivatives
More informationVendor: ACI. Exam Code: 3I Exam Name: ACI DEALING CERTIFICATE. Version: Demo
Vendor: ACI Exam Code: 3I0-008 Exam Name: ACI DEALING CERTIFICATE Version: Demo QUESTION 1 How many USD would you have to invest at 3.5% to be repaid USD125 million (principal plus interest) in 30 days?
More informationEvaluating Options Price Sensitivities
Evaluating Options Price Sensitivities Options Pricing Presented by Patrick Ceresna, CMT CIM DMS Montréal Exchange Instructor Disclaimer 2016 Bourse de Montréal Inc. This document is sent to you on a general
More informationThe Optimal Transactions to Fill your Volatility Risk Bucket
The Optimal Transactions to Fill your Volatility Risk Bucket In December of last year, we published a RateLab analysis of the relative cheapness of Yield Curve Options. Last month we published a table
More informationTimely, insightful research and analysis from TradeStation. Options Toolkit
Timely, insightful research and analysis from TradeStation Options Toolkit Table of Contents Important Information and Disclosures... 3 Options Risk Disclosure... 4 Prologue... 5 The Benefits of Trading
More informationOPTIONS & GREEKS. Study notes. An option results in the right (but not the obligation) to buy or sell an asset, at a predetermined
OPTIONS & GREEKS Study notes 1 Options 1.1 Basic information An option results in the right (but not the obligation) to buy or sell an asset, at a predetermined price, and on or before a predetermined
More informationThe 1.2 Fund Overview. The 1.2 Fund
The 1.2 Fund Overview The 1.2 Fund 1.2 Fund About the 1.2 Fund The 1.2 Fund is an International Equity Index Option fund providing the investor with an alternative strategy to gain exposure to the S&P
More informationLearn To Trade Stock Options
Learn To Trade Stock Options Written by: Jason Ramus www.daytradingfearless.com Copyright: 2017 Table of contents: WHAT TO EXPECT FROM THIS MANUAL WHAT IS AN OPTION BASICS OF HOW AN OPTION WORKS RECOMMENDED
More informationSwing TradING CHAPTER 2. OPTIONS TR ADING STR ATEGIES
Swing TradING CHAPTER 2. OPTIONS TR ADING STR ATEGIES When do we want to use options? There are MANY reasons to learn options trading and MANY scenarios in which you might trade them When we want leverage
More informationThe Forex Market Community. Major Currencies in the Forex Market
Table of Contents Risk Warning... 3 The Forex Market Community... 4 Major Currencies in the Forex Market... 4 Trading Platform Overview Desktop, Web, and Mobile... 5 Market Data... 5 Charts... 5 Order
More informationALUMA CAPITAL. Online Trading Specialists.
ALUMA CAPITAL Online Trading Specialists Introduction... 2 What is a CFD... 2 Benefits of CFD Trading... 3 CFD Trading by Example... 4 Understanding the Risks... 6 CFD Order Types... 8 CFD Markets Available...
More informationINV2601 SELF ASSESSMENT QUESTIONS
INV2601 SELF ASSESSMENT QUESTIONS 1. The annual holding period return of an investment that was held for four years is 5.74%. The ending value of this investment was R1 000. Calculate the beginning value
More informationCME FX Link LIQUIDITY, LINKED QUOTATION AND PRICING GUIDE
CME FX Link LIQUIDITY, LINKED QUOTATION AND PRICING GUIDE CME FX Link: One CME Globex Spread, Connecting OTC FX and FX Futures Markets CME FX Link is a CME Globex basis spread between FX Futures and OTC
More informationcovered warrants uncovered an explanation and the applications of covered warrants
covered warrants uncovered an explanation and the applications of covered warrants Disclaimer Whilst all reasonable care has been taken to ensure the accuracy of the information comprising this brochure,
More informationPlan of Distribution
In Re Foreign Exchange Benchmark Rates Antitrust Litigation, Plan of Distribution 1 Claimant Options 1. Estimated Claim Option (Option 1) Option 1 allows Claimants to accept a payment amount calculated
More informationMANAGING OPTIONS POSITIONS MARCH 2013
MANAGING OPTIONS POSITIONS MARCH 2013 AGENDA INTRODUCTION OPTION VALUATION & RISK MEASURES THE GREEKS PRE-TRADE RICH VS. CHEAP ANALYSIS SELECTING TERM STRUCTURE PORTFOLIO CONSTRUCTION CONDITIONAL RISK
More information7. forward extra. 80 II/a. treasury deals for exporters
7. forward extra MIFID complexity FX 3 product description A forward extra deal combines the security of a forward deal with the flexibility of an option. If you have a concrete idea of the maximum forint
More informationI n f o r m a t i o n o n c o m m o d i t y o p t i o n s
I n f o r m a t i o n o n c o m m o d i t y o p t i o n s This fact sheet contains information on commodity options traded through Danske Bank. Commodities are unprocessed or semiprocessed goods traded
More informationTrading Basics and Mechanics Wall Street is Always the Same; Only the Pockets Change
Chapter 4 Trading Basics and Mechanics Wall Street is Always the Same; Only the Pockets Change Trading in the financial markets should be approached as a business, and few businessmen are successful over
More informationRisk Management and Hedging Strategies. CFO BestPractice Conference September 13, 2011
Risk Management and Hedging Strategies CFO BestPractice Conference September 13, 2011 Introduction Why is Risk Management Important? (FX) Clients seek to maximise income and minimise costs. Reducing foreign
More informationBinary prices a proxy for probability
Binaries can be used to take a view on the short term volatility of key markets, giving a trader the potential to profit even without committing to a particular market direction. And, as usual with Binaries,
More informationCleared OTC FX Product Overview
Cleared OTC FX Product Overview Global FX Clearing Solution The broadest and most capital efficient FX clearing solution to meet your needs The broadest global FX product scope across OTC and listed products:
More informationSkew Hedging. Szymon Borak Matthias R. Fengler Wolfgang K. Härdle. CASE-Center for Applied Statistics and Economics Humboldt-Universität zu Berlin
Szymon Borak Matthias R. Fengler Wolfgang K. Härdle CASE-Center for Applied Statistics and Economics Humboldt-Universität zu Berlin 6 4 2.22 Motivation 1-1 Barrier options Knock-out options are financial
More informationDERIVATIVES IN WEALTH MANAGEMENT
DERIVATIVES IN WEALTH MANAGEMENT HEDGING, LEVERAGE, MARGIN AND STRATEGIES HOW AND WHEN TO USE 5 2 4 1 Including MiFIDII practice 0 0 8 6 245.568 745.568 998.000 % $ 104,000 + 210,145 0 2 1 TABLE OF CONTENTS
More informationFrequently asked questions and answers concerning the triennial FX and derivatives survey in 2010
September 2010 Frequently asked questions and answers concerning the triennial FX and derivatives survey in 2010 Contents A B C D E F Risk categories...2 1. Foreign exchange transactions: the reporting
More informationSpeaker: Brian Overby Audio Help:
Long Straddles and Strangles: Setup, Risks, and Uses Disclaimer Options involve risks and are not suitable for all investors. Prior to buying or selling options, an investor must receive a copy of Characteristics
More informationOn the Cost of Delayed Currency Fixing Announcements
On the Cost of Delayed Currency Fixing Announcements Uwe Wystup and Christoph Becker HfB - Business School of Finance and Management Frankfurt am Main mailto:uwe.wystup@mathfinance.de June 8, 2005 Abstract
More informationProduct Disclosure Statement
Product Disclosure Statement Vanilla Options and Structured Options Issued by EncoreFX (NZ) Limited 24th March 2017 This Product Disclosure Statement replaces the Product Disclosure Statement Vanilla Options
More informationGlobal Currencies & Commodities Retail FX Overview, Implications & Discussion ECB Foreign Exchange Contact Group Thursday, 2nd March 2006
Global Currencies & Commodities Retail FX Overview, Implications & Discussion ECB Foreign Exchange Contact Group Thursday, 2nd March 2006 Stefan Bender Deutsche Bank AG, Frankfurt Index of Contents 1 Retail
More informationForeign Exchange Implied Volatility Surface. Copyright Changwei Xiong January 19, last update: October 31, 2017
Foreign Exchange Implied Volatility Surface Copyright Changwei Xiong 2011-2017 January 19, 2011 last update: October 1, 2017 TABLE OF CONTENTS Table of Contents...1 1. Trading Strategies of Vanilla Options...
More informationBUBBA AND BADGER S OPTION TRADES AND METHOD TO EXECUTE
BUBBA AND BADGER S OPTION TRADES AND METHOD TO EXECUTE We offer a number of trades on our option show using weekly options as our focus. This pamphlet breaks down the trades and how they are executed.
More informationCIS March 2012 Diet. Examination Paper 2.3: Derivatives Valuation Analysis Portfolio Management Commodity Trading and Futures.
CIS March 2012 Diet Examination Paper 2.3: Derivatives Valuation Analysis Portfolio Management Commodity Trading and Futures Level 2 Derivative Valuation and Analysis (1 12) 1. A CIS student was making
More informationSOCIETY OF ACTUARIES EXAM IFM INVESTMENT AND FINANCIAL MARKETS EXAM IFM SAMPLE QUESTIONS AND SOLUTIONS DERIVATIVES
SOCIETY OF ACTUARIES EXAM IFM INVESTMENT AND FINANCIAL MARKETS EXAM IFM SAMPLE QUESTIONS AND SOLUTIONS DERIVATIVES These questions and solutions are based on the readings from McDonald and are identical
More informationThe Johns Hopkins Carey Business School. Derivatives. Spring Final Exam
The Johns Hopkins Carey Business School Derivatives Spring 2010 Instructor: Bahattin Buyuksahin Final Exam Final DUE ON WEDNESDAY, May 19th, 2010 Late submissions will not be graded. Show your calculations.
More informationHow to Calculate. Opflons Prlces i. and Their Greeks: : Exploring the I. Black Scholas! Delta tovega l PIERINO URSONE
How to Calculate Opflons Prlces i and Their Greeks: : Exploring the I Black Scholas! Modelfrom 1 Delta tovega l PIERINO URSONE WlLEY TciblG of contents Pneface ix CHAPTER1 INTRODUCTION 1 CHAPTER 2 THE
More information