Assessment of Options Investments by Ranking Analysis

Assessment of Options Investments by Ranking Analysis
Title Assessment of Options Investments by Ranking Analysis PDF eBook
Author Sergey Izraylevich Ph.D.
Publisher Pearson Education
Pages 42
Release 2010-07-29
Genre Business & Economics
ISBN 013248708X

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A powerful new technique for evaluating the profit potential of complex option combinations with nonlinear payoffs. Why is an additional analytic tool needed? Generally, evaluation of investment decisions is based on comparing realized profits (variability, drawdown, and other risk measures) with their corresponding expected values. While such an approach is appropriate for financial instruments possessing linear payoff functions, it has numerous drawbacks when applied to evaluating complex option combinations with nonlinear payoffs....

Assessment of Options Investments by Ranking Analysis

Assessment of Options Investments by Ranking Analysis
Title Assessment of Options Investments by Ranking Analysis PDF eBook
Author Sergey
Publisher
Pages 20
Release 2010
Genre Investments
ISBN 9780132487078

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Options and the Volatility Risk Premium

Options and the Volatility Risk Premium
Title Options and the Volatility Risk Premium PDF eBook
Author Jared Woodard
Publisher Pearson Education
Pages 49
Release 2011-02-17
Genre Business & Economics
ISBN 0132756129

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Master the new edge in options trades: the hidden volatility risk premium that exists in options for every major asset class. One of the most exciting areas of recent financial research has been the study of how the volatility implied by option prices relates to the volatility exhibited by their underlying assets. Here, I’ll explain the concept of the volatility risk premium, present evidence for its presence in options on every major asset class, and show how to estimate, predict, and trade on it....

Options Strategies for the Agile Investor (Collection)

Options Strategies for the Agile Investor (Collection)
Title Options Strategies for the Agile Investor (Collection) PDF eBook
Author Michael C. Thomsett
Publisher Pearson Education
Pages 225
Release 2010-12-07
Genre Business & Economics
ISBN 0132685639

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This is the eBook version of the printed book. 7 breakthrough options trading strategies – with everything you need to know to apply them! Seven options strategies every savvy trader needs to master — each presented concisely, with real-world guidance from a world-class expert! Discover powerful swing trading alternatives… strategies utilizing low risk-spreads… better ways to pick covered calls… how to compare investments through ranking analysis… how to use short puts and synthetic stock… even how to recover from losses! From world-renowned leaders and experts, including Michael Thomsett and Sergey Izraylevich

Timing Volatility

Timing Volatility
Title Timing Volatility PDF eBook
Author Steven Place
Publisher FT Press
Pages 62
Release 2011-11-02
Genre Business & Economics
ISBN 0132942909

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In recent years, capital markets have undergone repeated periods of extraordinary volatility, creating and destroying massive amounts of wealth with stunning rapidity. In response to accelerating volatility, many investors have adopted hedging via options and other derivatives; tools that were once limited to specialists can now be used by retail traders with the click of a mouse. As these tools become increasingly prevalent, investors must learn a crucial new skill: how to use their prices to accurately gauge market perception of risk. In Timing Volatility, expert options trader Steven Place helps you develop a far deeper understanding of risk markets, including risk premia, implied volatility, and the VIX index. You’ll learn how to identify signals of shifting risk perception in the markets and transform them into actionable ideas that put you a step ahead of other traders and investors. Next, Place guides you through the elements of a successful volatility timing model and presents a detailed example based on the classic trader’s axiom “buy the blood”—showing how to capture opportunities that arise only when others are panicking. Place concludes by introducing an extensive list of timing tools for more effective analysis and model development, including Bollinger Bands, moving averages, price/volatility divergences, volatility pivots, volatility term structure, volatility skew, and much more.

Risk Evaluation and Financial Crises

Risk Evaluation and Financial Crises
Title Risk Evaluation and Financial Crises PDF eBook
Author Vadim Tsudikman
Publisher Pearson Education
Pages 49
Release 2011-07-13
Genre Business & Economics
ISBN 0132824663

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The classification, measurement, and management of risk are central problems in the investment process. Over the past 25 years, Value at Risk (VaR) became the common universal standard in risk measurement. However, the financial crisis of 2007/2009 clearly demonstrated great discrepancies in risk estimates based on this indicator. In this report, three of the field’s leading experts objectively consider each key criticism of VaR in recent professional literature, including VaR’s underestimation of the magnitude and frequency of extreme outcomes, the difficulty of obtaining reliable VaR estimates for complex portfolios, the limited value of historical data, imperfections in the effective market hypothesis that underlies VaR, and several more. Next, the authors carefully review refinements and alternatives that have been proposed as potential replacements or complements, including Conditional VaR (Expected Shortfall), Shock VaR, modifications in the handling of parameters uncertainty, liquidity adjustment, higher moments, and more. They conclude by discussing why a sound risk management system continues to require deep understanding of complex adaptive and often irrational market mechanisms and still cannot be reduced to a mere combination of indicators, no matter how sophisticated they are.

Systematic Options Trading

Systematic Options Trading
Title Systematic Options Trading PDF eBook
Author Vadim Tsudikman
Publisher FT Press
Pages 289
Release 2010-08-11
Genre Business & Economics
ISBN 0131388339

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Sophisticated options traders need systematic, reliable approaches for identifying the best option combinations, underlying assets, and strategies. This book makes these approaches available for the first time. Leading-edge traders and researchers Sergey Izraylevich and Vadim Tsudikman treat the option market as a whole: an unlimited set of trading variants composed of all option combinations that can be constructed at any specific time moment (using all possible strategies and underlying assets). They introduce a system that permits thorough analysis and comparison of many option combinations in terms of both expected profitability and potential risk. For the first time, they formalize and classify more than a dozen criteria intended to select preferable trading alternatives from a vast quantity of potential opportunities, and show how to apply multiple valuation criteria concurrently to select the best possible trades. By applying these principles consistently, traders can systematically identify subtle price distortions using proven statistical parameters. They can gain a clear and consistent advantage over competing traders, transforming option trading into a continuous process of profit generation with tightly controllable parameters of risk and profitability.