Iqbal, Adam S. <br/><br/>
Volatility :  Practical Options Theory. 

 - 1st ed. 
 - 1 online resource (210 pages) 
 - Wiley Finance Series .
 - Wiley Finance Series .
<br/><br/>Cover -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the Author -- Chapter 1 Volatility and Options -- 1.1 What Is an Option? -- 1.2 Options Are Bets on Volatility -- 1.3 Option Premiums and Breakevens -- 1.3.1 Understanding Option Premiums -- 1.3.2 Relation Between Premium and Breakeven -- 1.4 Strike Conventions -- 1.5 What Is Volatility? -- 1.5.1 Implied Volatility, σimplied -- 1.5.2 Probabilities and Breakevens -- 1.5.3 Implied Volatility and Realized Volatility -- 1.5.4 Realized Volatility, σrealized -- 1.6 Trader's Summary -- Chapter 2 Understanding Options Without a Model -- 2.1 Vanilla Options -- 2.1.1 Option Payoffs -- 2.2 Making Assumptions -- 2.3 Understanding Vt with Economic Assumptions -- 2.4 Delta and Delta Hedging -- 2.5 The Value Function -- 2.6 Defining Delta -- 2.7 Understanding Delta -- 2.8 Delta as the Probability of an In-the-Money Expiry -- 2.9 Applying Delta as the Probability of an ITM Expiry in Practical Trading -- 2.10 Constructing Vt -- 2.10.1 Jensen's Inequality: Vt = V (St , t,   i ) ≥ max(St −K , 0) -- 2.10.2 Trading Intuition Behind Jensen's Inequality -- 2.10.3 American Options -- 2.10.4 Gradient of Vt -- 2.10.5 Drawing Vt -- 2.11 Option Deltas -- 2.12 A Note on Forwards -- 2.13 Put-Call Parity -- 2.14 Trader's Summary -- Chapter 3 The Basic Greeks: Theta -- 3.1 Theta, -- 3.1.1 Overnight Theta for an ATM Option -- 3.1.2 Dependence of   (St , t,   i ) on St -- 3.1.3 Dependence of   (St , t,   i ) on t -- 3.2 Trader's Summary -- Chapter 4 The Basic Greeks: Gamma -- 4.1 Gamma, -- 4.2 Gamma and Time Decay -- 4.3 Traders' Gamma,   trader -- 4.4 Gamma-Time Decay Trade-offs in More Detail -- 4.5 PnL Explain -- 4.5.1 Example: Gamma, Time Decay, and PnL Explain for a 1-Week Option -- 4.6 Delta Hedging and PnL Variance -- 4.7 Transaction Costs -- 4.8 Daily PnL Explain -- 4.9 The Gamma Profile. 4.9.1 Gamma and Spot -- 4.9.2 Gamma and Implied Volatility -- 4.9.3 Gamma and Time -- 4.9.4 Total Gamma -- 4.10 Trader's Summary -- Chapter 5 The Basic Greeks: Vega -- 5.1 Vega -- 5.2 Understanding Vega via the PDF -- 5.3 Understanding Vega via Gamma Trading -- 5.4 Vega of an ATMS Option Across Tenors -- 5.5 Vega and Spot -- 5.6 Dependence of Vega on Implied Volatility -- 5.7 Vega Profiles Applied in Practical Options Trading -- 5.8 Vega and PnL Explain -- 5.9 Trader's Summary -- Chapter 6 Implied Volatility and Term Structure -- 6.1 Implied Volatility,   implied -- 6.2 Term Structure -- 6.3 Flat Vega and Weighted Vega Greeks -- 6.3.1 Flat Vega -- 6.3.2 Weighted Vega -- 6.3.3 Beta-Weighted Vega -- 6.4 Forward Volatility, Forward Variance, and Term Volatility -- 6.4.1 Calculating Implied Forward Volatility -- 6.5 Building a Term Structure Model Using Daily Forward Volatility -- 6.6 Setting Base Volatility Using a Three-Parameter GARCH Model -- 6.6.1 Applying the Three-Parameter Model -- 6.6.2 Limitations of GARCH -- 6.6.3 Risk Management Using the Three-Parameter Model -- 6.6.4 Empirical GARCH Estimation -- 6.7 Volatility Carry and Forward Volatility Agreements -- 6.7.1 Volatility Carry in the GARCH Model -- 6.7.2 Common Pitfalls in Volatility Carry Trading -- 6.8 Trader's Summary -- Chapter 7 Vanna, Risk Reversal, and Skewness -- 7.1 Risk Reversal -- 7.2 Skewness -- 7.3 Delta Space -- 7.4 Smile in Delta Space -- 7.5 Smile Vega -- 7.5.1 Smile Vega Notionals -- 7.6 Smile Delta -- 7.6.1 Considerations Relating to Smile Delta -- 7.7 Trader's Summary -- Chapter 8 Volgamma, Butterfly, and Kurtosis -- 8.1 The Butterfly Strategy -- 8.2 Volgamma and Butterfly -- 8.3 Kurtosis -- 8.4 Smile -- 8.5 Butterflies and Smile Vega -- 8.6 Trader's Summary -- Chapter 9 Black-Scholes-Merton Model -- 9.1 The Log-normal Diffusion Model. 9.2 The BSM Partial Differential Equation (PDE) -- 9.3 Feynman-Kac -- 9.4 Risk-Neutral Probabilities -- 9.5 Probability of Exceeding the Breakeven in the BSM Model -- 9.6 Trader's Summary -- Chapter 10 The Black-Scholes Greeks -- 10.1 Spot Delta, Dual Delta, and Forward Delta -- 10.1.1 Spot Delta -- 10.1.2 The ATM Strike and the Delta-Neutral Straddle -- 10.1.3 Dual Delta -- 10.1.4 Forward Delta -- 10.2 Theta -- 10.3 Gamma -- 10.4 Vega -- 10.5 Vanna -- 10.6 Volgamma -- 10.7 Trader's Summary -- Chapter 11 Predictability and Mean Reversion -- 11.1 The Past and the Future -- 11.2 Empirical Analysis -- Appendix A Probability -- A.1 Probability Density Functions (PDFs) -- A.1.1 Discrete Random Variables and PMFs -- A.1.2 Continuous Random Variables and PDFs -- A.1.3 Normal and Log-normal Distributions -- Appendix B Calculus -- Glossary -- References -- Index -- EULA. 
<br/><br/><label>ISBN: </label>9781119501688 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Options (Finance).<br/>Securities-Prices-Mathematical models.
<br/><br/><label>Index Terms--Genre/Form: </label><br/>Electronic books.
<br/><br/><label>LC Class. No.: </label>HG6024.A3 .I633 2018 
<br/><br/><label>Dewey Class. No.: </label>332.645301