Options for Volatile Markets

Richard Lehman 지음

Bloomberg Press 2011년 07월 15일 출간

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Practical option strategies for the new post-crisis financial marketTraditional buy-and-hold investing has been seriously challenged in the wake of the recent financial crisis. With economic and market uncertainty at a very high level, options are still the most effective tool available for managing volatility and downside risk, yet they remain widely underutilized by individuals and investment managers. In Options for Volatile Markets, Richard Lehman and Lawrence McMillan provide you with specific strategies to lower portfolio volatility, bulletproof your portfolio against any catastrophe, and tailor your investments to the precise level of risk you are comfortable with. While the core strategy of this new edition remains covered call writing, the authors expand into more comprehensive option strategies that offer deeper downside protection or even allow investors to capitalize on market or individual stock volatility. In addition, they discuss new offerings like weekly expirations and options on ETFs. For investors who are looking to capitalize on global investment opportunities but are fearful of lurking quot;black swansquot;, this book shows how ETFs and options can be utilized to construct portfolios that are continuously protected against unforeseen calamities.A complete guide to the increased control and lowered risk covered call writing offers active investors and tradersAddresses the changing investment environment and how to use options to succeed within itExplains how to use options with exchange-traded fundsUnderstanding options is now more important than ever, and with Options for Volatile Markets as your guide, you'll quickly learn how to use them to protect your portfolio as well as improve its overall performance.

목차

Preface xiINTRODUCTIONThe &"New Normal&" in Equity Investing 1CHAPTER 1Option Basics 7What Are Options? 7Exercise and Assignment 14Positions 17How Options Are Traded 19Options in Your Account 22CHAPTER 2Option Pricing and Valuation 25Option Premium 25Theoretical Value 27Time Value 28Volatility 31Interest Rates 32Dividends 32Calls versus Puts 33Option Skews and Anomalies 34CHAPTER 3The Basics of Covered Call Writing 37Requirements for &"Valid&" Covered Writes 38Risk/Reward of a Covered Write 39Calculating Potential Returns 46Major Factors Affecting Call-Writing Returns 48Covered Writing as an Ongoing Strategy 54Summing Up Covered Writing 57CHAPTER 4Implementing Covered Call Writing 59Follow-Up Actions 59Behavioral Issues 69Differing Approaches 70Selecting Calls to Write 77Risks 80Basic Tax Rules for Options 81Summing Up Implementation 84CHAPTER 5Advanced Call-Writing Techniques 87Writing Calls on &"Hot&" Stocks 88Tax Deferral Strategies 89Covered Writing on Margin 90Covered Writing against Securities Other Than Stock 93Partial Writing, Mixed Writing, and Ratio Writing 98Put Writing 103Expiration Games 106Option-Stock Arbitrage 108CHAPTER 6Basic Put Hedging 111Put Hedge Basics 111Advantages 115Disadvantages 116Behavioral Implications 123Put Hedge versus Covered Call 127Hedging against Catastrophic Risk 129CHAPTER 7Advanced Hedging Strategies 131Put Hedge Follow-Ups 131Using Put Spreads to Hedge 137Collars 145Conclusions on Protective Option Strategies 151CHAPTER 8Options on ETFs 153ETFs in a Nutshell 154ETF Options 158Covered Call Writing on ETFs 159Our Put Hedge and Collar Study on SPY 162Appendix: Partial Lis

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저자(글) Richard Lehman

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RICHARD LEHMAN is the founderof RHL Capital, a registered investment advisor, and a part-time instructor of behavioral finance and options at UC Berkeley Extension. He is also the author of Far From Random, and publishes an investment newsletter called the Channelist. Lehman's financial career spans more than thirty years in product management, marketing, sales, and investment management beginning with an eleven-year stint on Wall Street with E.F. Hutton Co., Thomson McKinnon Inc., and the New York Stock Exchange.LAWRENCE G. McMILLAN is the founder and President of McMillan Analysis Corporation. He authors the Daily Volume Alerts, a unique daily service that selects short-term stock trades by looking for unusual increases in equity option volume. McMillan manages option-oriented accounts for individual investors and also publishes the Option Strategist, a derivative products newsletter covering equity, index, and futures options. McMillan's web site, www.optionstrategist.com, twice received a quot;Best of the Webquot; award from Forbes magazine. He is the coauthor, with Richard Lehman, of the first edition of this book and the author of McMillan on Options (Wiley) and Options as a Strategic Investment.