Options for Volatile Markets: Managing Volatility and Protecting Against Catastrophic Risk, Second Edition

Index

accounts, 22, 56, 78, 123, 201

assignments, 15

margin, 23, 92

retirement, 23, 39, 123

American depositary receipt (ADR), 15

anti-straddle rule, 82, 84, 123

arbitrage, 32–34, 36, 75, 180

arbitrageurs, 54, 109

conversions, 108–109, 145

ETFs, 155–156

asset class, 111, 156, 171, 205

assignment, 14–17, 40, 43–45, 70–73, 94, 99, 142, 160

early, 44–45, 89

notice, 15, 43, 60

taxation, 83–84

at-the-money (ATM), 39–40, 46, 74, 77, 97, 119, 173

defined, 11

Black-Scholes, 27, 34–35, 54, 105–106

Black, Fischer, 27

buyers, see holders

brokers, 11, 16, 23, 38, 54, 156, 158, 160

bull call spread, 173

buy-write, 73–75, 112, 148

BXM and BXY, 56

index, 37, 55–57, 162

BXM, see buy-write

BXY, see buy-write

calendar spread, 61, 112, 142–143, 194–195

call option ...