[ Pobierz całość w formacie PDF ]
.This line represents60the price of thePotential Profitunderlying market.on Trade:30(= $17)Strike PricesPotential Loss1232 1235 1238 1241 1244 1247 1250 1253 1256 1259 1262 1265 1268on Trade: 30(= $83) 60Current marketLoss 90(= 1250)EXHIBIT 16.3 P&L Graph of a Short Volatility Binary Option TradeSummaryEXHIBIT 16.4 Data Points for Short Volatility Binary Option TradeTrade Figure CalculationUnderlying asset S&P futuresMarket price 1250Expiration 1 dayStrike price long 1244Strike price short 1256Size long 1 contractSize short 1 contractPrice Ask price of > 1244contract: $93Bid price of > 1256contract: $10(Continued) 230 BINARY OPTIONSEXHIBIT 16.4 (Continued)Trade Figure CalculationTotal collateral $183 (Ask price + ($100 bid price))× number of contracts = totalcollateral($93 + ($100 $10)) × 1 =($93 + $90) × 1=$183 × 1 = $183Max loss $83 Higher of:(collateral of short position profitof long position) × number ofcontracts = max loss(($100 $10) ($100 $93)) × 1 =($90 $7) × 1 =$83 × 1 = $83Or(collateral of long position profitof short position) × number ofcontracts = max loss($93 $10) × 1 = $83 Max profit $17 Revenue total collateral = maxprofit$200 $183 = $17Risk vs.reward 1:4.88 Max profit / max loss = risk vs.reward$17 / $83 = 1:4.88Buy 1 @ 93 Sell 1 @ 10100 10075 7550 5025 250 0EXHIBIT 16.5 Graphical Representation of the P&L on Both the Long and ShortPositions The Volatility Short Trading Rules 231RULE 1: CUT OFF YOUR LOSING TRADESgreater detailed interactive graph is available at www.traderschoiceoptions.net.spread. EXHIBIT 16.6 Weekly S&P 500 Futures, Five Year Intervals 6+% 5% 4% 3% 2% 2% 3% 4% 5% 6+%changes changes changes changes changes changes changes changes changes changes1/9/2012 # of weeks: 10 14 27 39 58 57 30 19 13 81/9/2007percentage: 3.86% 5.41% 10.42% 15.06% 22.39% 22.01% 11.58% 7.34% 5.02% 3.09%1/8/2007 # of weeks: 2 3 5 10 28 26 11 4 2 11/8/2002percentage: 0.78% 1.16% 1.94% 3.88% 10.85% 10.08% 4.26% 1.55% 0.78% 0.39%1/7/2002 # of weeks: 3 5 13 19 41 51 24 13 3 21/7/1997percentage: 1.16% 1.94% 162.50% 7.36% 15.89% 19.77% 9.30% 5.04% 1.16% 0.78%Total: # of weeks: 15 22 45 68 127 134 65 36 18 11percentage: 1.94% 2.84% 5.81% 8.77% 16.39% 17.29% 8.39% 4.65% 2.32% 1.42%1/7/1997 01/9/2012Grand Total: # of weeks: 15 22 45 68 127 138 65 36 18 11percentage: 1.71% 2.50% 5.12% 7.74% 14.45% 15.70% 7.39% 4.10% 2.05% 1.25%Note: Calculated only for five day and four day weeks.Open intervals (i.e., 3% changes = 3+%)232 The Volatility Short Trading Rules 233will be negative.Cutoff on the Long Leg Potential BreachCutoff on the Short Leg Potential Breachoption
[ Pobierz całość w formacie PDF ]