Delta neutral

In finance, delta neutral describes a portfolio of related financial securities, in which the portfolio value remains unchanged when small changes occur in the value of the underlying security. Such a portfolio typically contains optionsand their corresponding underlying securities such that positive and negative delta components offset, resulting in the portfolio’s value being relatively insensitive …

Dividend future

Reference: https://en.wikipedia.org/wiki/Dividend_future In finance, a dividend future is an exchange-traded derivative contract that allows investors to take positions on future dividend payments. Dividend futures can be on a single company, a basket of companies, or on an Equity index. They settle on the amount of dividend paid by the company, the basket of companies, or …

Standard Deviation

Discrete random variable In the case where X takes random values from a finite data set x1, x2, …, xN, with each value having the same probability, the standard deviation is {\displaystyle \sigma ={\sqrt {{\frac {1}{N}}\left[(x_{1}-\mu )^{2}+(x_{2}-\mu )^{2}+\cdots +(x_{N}-\mu )^{2}\right]}},{\rm {\ \ where\ \ }}\mu ={\frac {1}{N}}(x_{1}+\cdots +x_{N}),} or, using summation notation, {\displaystyle \sigma ={\sqrt …

CME Group

CME Group Inc. (Chicago Mercantile Exchange & Chicago Board of Trade) is an American futures company and one of the largest options and futures exchanges. It owns and operates large derivatives and futures exchanges in Chicago and New York City, as well as online trading platforms. In 2014, it gained regulatory approval to open a …

Moneyness

In finance, moneyness is the relative position of the current price (or future price) of an underlying asset (e.g., a stock) with respect to the strike price of a derivative, most commonly a call option or a put option. Moneyness is firstly a three-fold classification: if the derivative would make money if it were to …

BREAKING DOWN ‘Fundamentals’

By looking at the economics of a business, the balance sheet, the income statement, management and cash flow, investors are looking at a company’s fundamentals, which help determine a company’s health as well as its growth prospects. A company with little debt and a lot of cash is considered to have strong fundamentals. While fundamentals …

What does ‘Fundamentals’ mean

The qualitative and quantitative information that contributes to the economic well-being and the subsequent financial valuation of a company, security or currency. Analysts and investors analyze these fundamentals to develop an estimate as to whether the underlying asset is considered a worthwhile investment. For businesses, information such as revenue, earnings, assets, liabilities and growth are …

Outright Forward

直接远期汇率外汇市场的报价者直接报出远期汇率给询价者。虽然直接远期汇率是经由即期汇率及换汇汇率计算得到的。但直接远期汇率的报价者却不分别标明即期汇率及换汇汇率的部分。

Options, Futures, and Other Derivatives, Eighth Edition

参考书: (1)OPTIONS, FUTURES, AND OTHER DERIVATIVES John C. Hull (Author) (Errata) (2)期权、期货及其他衍生产品 约翰•赫尔 (John C.Hull) (作者), 王勇 (译者), 索吾林 (译者) (3) Book Homepage: http://www-2.rotman.utoronto.ca/~hull/ofod/ (4) PowerPoint Slides: http://www-2.rotman.utoronto.ca/~hull/ofodslides/index.html 导言 (Introduction) 交易所市场 (Exchange-traded markets) 场外市场 (Over-the-counter markets) 远期合约 (Forward contracts) 期货合约 (Futures contracts) 期权合约 (Options) 交易员的种类 (Types of traders) 对冲者 (Hedgers) 投机者 (Speculators) 套利者 (Arbitrageurs) 危害 …

MEASURING HISTORICAL VOLATILITY

The document is in here: http://www.todaysgroep.nl/media/236846/measuring_historic_volatility.pdf The implied volatility of an option is usually compared against historical volatility to see if it is cheap or not. However, while there is only one implied volatility there are many different measures of historical volatility which can use some or all of the open (O), high (H), low …

Options Terminology

tenor:(票据或支票的)期限 For any given asset at any given time, many different option contracts may be trading. Suppose there are four expiration dates and five strike prices for options on a particular stock. If call and put options trade with every expiration date and every strike price, there are a total of 40 different contracts. All …

At The Money

The article is in http://www.call-options.com/at-the-money.html Definition of “At The Money” Option: An option is said to be at the money if the current stock price is equal to the strike price. It doesn’t matter if we are talking about calls or puts. Any call or put whose underlying stock price equals the strike price is …

Black-Scholes-Merton

维纳过程和伊藤引理 (Wiener processes and Ito’s lemma) 马尔科夫性质 (The Markov property) 连续时间随机变量 (Continuous-time stochastic processes) 描述股票价格的过程 (The process for a stock price) 参数 (The parameters) 相关过程 (Correlated processes) 伊藤引理 (Ito’s lemma) 对数正态分布的性质 (The lognormal property) 布莱克-斯科尔斯-默顿模型 (The Black-Scholes-Merton model) 股票价格的对数正态分布性质 (Lognormal property of stock prices) 收益率的分布 (The distribution of the rate of return) 预期收益率 (The expected …