Index

  1. 1x2 ratio spreads
    1. see also butterflies; ratio spreads
  2. 25 and 10 delta puts strategy
  3. 36 South
  4. 60/40 stocks/bonds portfolio mix
  5. 665 puts
  6. academic ideas, critique
  7. active fund managers
    1. see also fund managers
  8. advance/decline ratios
  9. ‘aftershock’ hedges, butterflies
  10. ‘air pocket’ declines
  11. airplane ticket trade
  12. alpha
    1. definition
  13. ambulance-style strategies
  14. American options
  15. Animal Farm (Orwell)
  16. ‘Anti-Fragile’ trades
  17. Apple
  18. arbitrage
  19. arrogance dangers
  20. Asness, Cliff
  21. asset allocations
  22. asset managers
  23. astronomy
  24. ‘asymptotics’
  25. at-the-money options (ATMs)
    1. definition
  26. Australian Dollar (AUD)
  27. Austrian capital markets
  28. autoregressive models
    1. see also GARCH. . .
  29. back-tests
    1. cautionary note
  30. backwardation
    1. see also futures; long-dated contracts; short-dated contracts
    2. definition
  31. bad news
  32. ‘bad’ options
  33. balance sheets, central banks
  34. bandwagons
  35. bankruptcies
    1. see also liquidations
  36. banks
    1. see also central. . .; LIBOR; loans
    2. collateral
    3. credit supply increases
    4. crises
    5. critique
    6. failures
    7. ‘great multiplier’ status
    8. multiplier effect
    9. profits
    10. runs
  37. barbell approaches
  38. Barclays CTA indices
  39. BARRA model
  40. barrier options
  41. basis points
  42. ‘Batman’ trades
    1. see also gamma; ratio spreads
  43. bear markets
    1. claws of the bear
    2. put options
  44. bear strategies
  45. behavioural finance
    1. see also crowding problems
  46. ‘being able to sleep at night’ principle
  47. ‘bell curves’
    1. see also normal distributions
  48. Berlin Wall
  49. beta
    1. see also stock indices
    2. definition
  50. biases
  51. bid ask spreads
  52. binary options
  53. binary VIX-derived risk index
  54. binomial model
  55. Black 76 pricing formula
  56. Black Monday fluctuations on October 19 1987
  57. black swans
    1. see also extreme events
  58. Black-Derman-Toy model
  59. Black-Litterman model of 1990
  60. Black-Scholes model
    1. see also implied volatility
    2. assumptions
    3. background
    4. definition
    5. historical background
    6. parameters
  61. Black-Scholes-Merton assumptions
  62. bleed
    1. see also theta (time decay)
    2. definition
  63. bonds
    1. see also corporate. . .; government. . .; high yield. . .
    2. futures
    3. hedging sovereign bond risks
    4. interest rates
    5. MOVE
    6. over-priced considerations
    7. premia
    8. stock return contrasts
    9. yield curves
  64. bonuses
  65. Brazil
  66. breakouts, definition
  67. bubbles
    1. see also bull markets; speculators
  68. bull markets
    1. see also bubbles
  69. butterflies
    1. see also fixed-width. . .; iron. . .; put flies; ratio spreads
    2. definition
  70. ‘buy high and sell higher’ mantra
  71. ‘buy low and sell high’ mantra
  72. ‘buy-write’ strategy see covered call writing
  73. buying time, weekly options
  74. calendar spreads
  75. call options
    1. building blocks
    2. bull markets
    3. definition
    4. put-call parity
    5. spread trades
    6. uses
    7. VIX options
  76. call ratio spreads
  77. call spreads on bond futures
  78. calm periods, rationalisations
  79. CAPE ratio
  80. Capital Asset Pricing Model (CAPM)
    1. definition
  81. Carlson, Mark A.
  82. carry trade strategies see FX carry trade strategies
  83. cascades, market sell-offs
  84. cash
  85. CBOE
  86. central banks
    1. see also banks
    2. balance sheets
    3. critique
    4. monetary policy
    5. quantitative easing (QE)
    6. rescue packages
    7. roles
  87. CFTC
  88. chameleon Bund skew
  89. chaos theory
  90. chasing 1-day moves, trend following
  91. Chicago Mercantile Exchange (CME)
  92. China
  93. Choudhry, M.
  94. claws of the bear
  95. collapse point theory
  96. collateral
    1. see also equities; real estate
  97. commercial paper
  98. commodities
    1. see also individual commodities
  99. Commodity Trading Advisors (CTAs)
  100. common mistakes
  101. computers, critique
  102. Conan Doyle, Arthur
  103. conditional correlation
    1. see also correlations
    2. definition
  104. conditional performance of hedging strategies
  105. constant maturity bonds, definition
  106. contagion
  107. contango
    1. see also forward curves; futures; long-dated contracts; short-dated contracts
    2. definition
  108. continuous return distributions
  109. contrarian strategies
  110. convertible bonds
  111. convexity
  112. corporate bonds
    1. see also bonds
  113. corporate events
  114. correlations
    1. see also implied. . .
    2. black swans
    3. definitions
    4. implied volatility skew impacts
    5. liquidity
    6. US equity/bond volatilities
    7. volatility indices
  115. cost of carry
  116. cotton
  117. counter-cyclical approaches
  118. counterparty credit risk
  119. covariance matrix
    1. see also correlations; volatilities
  120. covered call writing, definition
  121. CPI inflation
  122. crashes
    1. see also crises; ‘Flash Crashes’
  123. credit cycles
  124. credit default swaps
  125. credit derivatives
  126. credit risk
  127. credit spreads
  128. credit supply increases
  129. crises
    1. see also crashes; European. . .; extreme events; global financial. . .; market drops; portfolio insurance. . .; systemic risks
    2. banks
    3. cascades
    4. fireflies
    5. impact curves
    6. lessons learned
    7. LIBOR
    8. mathematical biology analogy
    9. May 2010
    10. monetary policy
    11. negative feedback loops
    12. panicking investors
    13. paths
    14. policy control strategies
    15. pre-conditions
    16. preceding down days
    17. predictions
    18. quantitative easing (QE)
    19. reasons
    20. Sornette’s claim
    21. summary and conclusion
  130. ‘crisis alpha’ strategies
    1. books
    2. definition
    3. market timing
    4. trend following
  131. cross-sectional study, roll yield
  132. Crossborder Capital
  133. crowding problems
    1. see also behavioural finance
  134. CTA indices, trend following
  135. currencies
    1. AUD/JPY
    2. CHF/EUR
    3. CVIX
    4. EUR/CHF
    5. EUR/USD
    6. GBP/USD
    7. pegs
    8. USD/JPY
  136. currency options
    1. see also FX. . .
  137. currency risks
  138. customised trend following
  139. ‘cutting their losses and letting their profits run’ policies
  140. CVIX
  141. data tabulations, critique
  142. DAX
  143. defaults
  144. defensive strategies, trend following
  145. deflation
  146. deformable sheets
  147. deleveraging
  148. delta
    1. see also gamma; spot. . .; underlying. . .
    2. definition
  149. delta calls
  150. delta hedging
    1. see also dynamic aspects of hedging
    2. critique
    3. definition
    4. idealised case
    5. practical limits
  151. delta neutrality
    1. imbalance considerations
  152. delta puts
  153. deposits
  154. Derman, E.
  155. diffusion-type equations
    1. see also Black-Scholes model
  156. direct lending, definition
  157. discrete price trees
  158. dispersion, definition
  159. diversification
    1. across time
    2. critique
  160. dividends, r-d factors
  161. do Prado paper (2013)
  162. doomsday bets
  163. Dow Jones Industrial Average
  164. ‘dragon kings’ outliers
  165. drift
  166. Druckenmiller, Stanley
  167. duration hedging
  168. dynamic aspects of hedging
    1. see also delta hedging
  169. earnings reports, corporate events
  170. economic growth
  171. ‘econophysics’
  172. emerging markets
  173. energies
  174. Enron
  175. equities
    1. see also stock. . .;
  176. equity index options
  177. equity risk premiums
  178. Euro (EUR)
  179. European Central Bank (ECB)
  180. European Crisis of 2011
  181. European options
    1. see also options
  182. Eurostoxx
  183. Everest Capital
  184. ‘every dog has its day’ saying
  185. exercise, options theory
  186. ‘extreme event hedging’ books
  187. extreme events
    1. see also crises; ‘Flash Crashes’; market drops; random shocks
    2. holistic approaches
    3. macro perspectives
    4. predictions
    5. probabilities
    6. random walks
    7. Sornette’s claim
    8. summary and conclusion
  188. failures
    1. see also crises
    2. banks
  189. ‘fair value’ arguments
    1. losing positions
  190. Farmer’s Oxford group
  191. fat tails
    1. ‘dragon kings’ outliers
    2. short-dated options
  192. Fed Funds rate
  193. Federal Reserve Bank
  194. fees
  195. fireflies
  196. fixed-width put flies
  197. ‘Flash Crashes’
    1. see also crises; extreme events
    2. background
    3. definition
    4. summary and conclusion
  198. flex features
  199. ‘flight to quality’ scenarios
  200. floors
  201. ‘flow’ traders
  202. forecasts see predictions
  203. forward curves
  204. forwards
    1. see also FX carry trade strategies
  205. France
  206. French capital markets
  207. FTSE 100 index
  208. fund managers
    1. see also portfolio managers
  209. fundamental analysis
  210. futures
    1. see also backwardation; contango; interest rate. . .; portfolio insurance; roll yield
    2. bonds
    3. definitions
    4. options on futures
    5. uses
    6. versus spot
  211. futures term structure
    1. definition
  212. FX carry trade strategies
    1. see also currency. . .; forwards
  213. Gaddis, William, Jr
  214. gambling tactics
  215. gamma
    1. see also delta; short-dated options
    2. definition
  216. gap risks
  217. GARCH type econometric forecast volatility models
  218. Gaussian distributions see normal distributions
  219. GBP
  220. GDP
  221. gearing
  222. German Bund
  223. German capital markets
  224. Germany
  225. global financial crisis from 2007
    1. beta
    2. causes
    3. central bank rescue packages
    4. toxic stocks
  226. glossary
  227. gold
  228. Goldman Sachs
  229. Gopikrishnan, P.
  230. government bonds
  231. ‘gray swan’ hedges, call spreads on bond futures
  232. Great Depression-type scenarios
  233. ‘great multiplier’ status, banks
  234. Greece
  235. greed/fear vulnerabilities, options
  236. the Greeks
    1. see also beta; delta; gamma; rho; theta; vega
    2. definition
  237. Greenspan, Alan
  238. GVIX indices
  239. hanging-on approaches, losing positions
  240. Haug, E.G.
  241. hedge funds
    1. definition
    2. failures
  242. hedging
    1. see also delta. . .
    2. common mistakes
    3. conditional performance of hedging strategies
    4. costs
    5. dynamic aspects
    6. implausible scenarios
    7. imprecise but effective hedges
    8. market drops
    9. negative risk premiums
    10. over/under-hedging considerations
    11. overlay strategies
    12. rationalisations
    13. risk-regime analysis
    14. sad truths
    15. sceptics
    16. small moves
    17. ‘sombrero’ strategy
    18. sovereign bond risks
    19. ‘square root’ strategy
    20. strategies
    21. summary
    22. time scales
    23. the wings
    24. zugzwang chess situation
  243. hedging options with other options
  244. Henriksson-Merton model
  245. heuristic arguments
  246. ‘high risk’ scenarios
  247. high volatility
  248. high yield bonds
  249. high-frequency finance
  250. historical volatility
    1. see also realised. . .; volatilities
  251. hockey stick payouts
  252. holistic approaches, extreme events
  253. ‘hope is not an investment strategy’ philosophies, losing positions
  254. Hurst exponent
  255. Hussman, John
  256. hyper-inflation
  257. hypothesis tests, model contrasts
  258. impact curves
  259. implausible scenarios, hedging
  260. implied correlation
  261. implied correlation skew
  262. implied distributions
  263. implied volatilities
    1. see also Black-Scholes model; insurance; options
    2. ATM implied volatility
    3. determinants
    4. long-dated options
    5. over-priced considerations
  264. implied volatility indices
    1. see also CVIX; MOVE; V2X; VIX
  265. implied volatility skew
    1. definition
    2. risky asset dynamics
  266. implied volatility smiles
  267. implied volatility surfaces
  268. implied-historical volatility spreads
  269. imprecise but effective hedges
  270. in-the-money options (ITMs)
  271. incentive structures, hedge funds
  272. index put spreads
  273. indirect hedges
  274. inflation rates
  275. institutional investors
    1. see also investors; pension funds
  276. insurance
    1. see also hedging; implied volatilities; options
    2. costs
    3. over-priced aspects
    4. portfolio insurance crisis of 1987
    5. selling philosophies
    6. summary and conclusions
  277. interest rate futures
  278. interest rate options
  279. interest rate risk
  280. interest rates
    1. see also LIBOR; rho
  281. interpolated implied volatilities
  282. intrinsic values of options, definition
  283. intuition
  284. ‘inverse problem’
  285. investment clock concepts
  286. investors
    1. see also institutional. . .
    2. perceptions
  287. IPOs
  288. iron (centred) flies
  289. iShares MSCI Brazil ETF
  290. ‘it looks good at, looks great at, looks absolutely fantastic at 70 and you’re out of business at 60’ saying
  291. Jacobs, Bruce
  292. Japan
  293. Japanese Government Bond (JGB)
  294. Japanese Yen (JPY)
  295. Johnson & Johnson
  296. Journal of Political Economy
  297. jumps
  298. Kelly’s criterion
  299. knock options
  300. kurtosis of returns
  301. ladders
  302. latent risk
  303. law of large numbers
  304. lazy sod approaches
  305. Lefèvre, Edwin
  306. leg downs
  307. ‘LEGO’ trend following
  308. Lehman Brothers
  309. Leland, O’Brien, Rubinstein portfolio insurance strategy (LOR)
  310. lessons learned, crises
  311. Letters to a Young Poet (Rilke)
  312. leverage
    1. see also gearing; liquidity
  313. LIBOR
  314. ‘line item’ approaches
  315. liquidations
  316. liquidity
  317. loans
    1. see also banks
  318. ‘log log’ plots
  319. long calls strategy
  320. long gamma strategies
  321. long options
  322. long positions
  323. long puts
  324. long volatility managers
    1. see also trend following
  325. long-dated contracts
  326. long-dated options
    1. background
    2. definition
    3. implied volatilities
    4. investment clock concepts
    5. r-d factors
    6. underpriced evidence
    7. uses
    8. vega
  327. lookback windows
  328. losing positions
    1. ‘fair value’ arguments
    2. hanging-on approaches
    3. shorting considerations
  329. lottery-ticket weekly option approaches
  330. low volatility
  331. macro perspectives, extreme events
  332. MACs see moving average crossover systems
  333. Malek’s risk index
  334. Mandelbrot, B.
  335. margin calls
  336. marginal risks
  337. mark-to-market factors
  338. market capitalisation weights
  339. market drops
    1. background
    2. contrarian strategies
    3. equity risk premium
    4. hedging
    5. index put spreads
    6. mean reversion
    7. ‘oversold’ assets
    8. remarkable second moment
    9. selling VIX upside
    10. summary
    11. Texas-style hedging
    12. trading reversals
    13. vicious reversals
    14. VIX
  340. market makers
  341. market risks
    1. see also systemic risks
  342. market sell-offs
    1. see also crises; extreme events; market drops
    2. cascades
    3. impact curves
    4. risk premia
  343. market timing, ‘crisis alpha’ strategies
  344. markets
    1. see also bear. . .; bull. . .; market drops
    2. CAPE ratio
    3. definition
    4. major countries
    5. risk-on/risk-off phases
  345. Markowitz portfolio theory
  346. mathematical biology analogy, ‘Flash Crashes’
  347. the Matterhorn
  348. maturity dates
  349. Maxwell’s equations
  350. mean reversion
    1. see also VIX
    2. definition
    3. volatilities
  351. means
    1. see also normal distributions
  352. medium-term options
  353. ‘melt ups’
  354. mergers
  355. Merton’s approach to options pricing
  356. meteorology
  357. Mexican Peso
  358. middle strike, butterflies
  359. model-independent considerations, VIX
  360. models
    1. see also individual models
    2. hypothesis testing contrasts
    3. standard risk models
  361. modern portfolio theory
  362. momentum-based systems see trend following
  363. monetary policy
  364. monetised profits
    1. see also taking profits
  365. money supply
  366. money-ness concepts
    1. see also at-the. . .; in-the. . .; out-of-the. . .
    2. definition
  367. Monte Carlo simulations
  368. mortgage-backed securities (MBSs)
  369. MOVE
  370. moving average crossover systems (MACs)
  371. moving averages
    1. see also Z scores
  372. ‘Mrs Watanabe trade’
  373. MSCI World index
  374. multi-asset class investors
  375. multiples
  376. multiplier effect, banks
  377. naked puts, ‘sombrero’ performance
  378. NASDAQ
  379. natural gas
  380. negative feedback loops, crises
  381. negative risk premiums, hedging
  382. net asset values (NAVs)
  383. New York and Erie Railroad Company
  384. Newton’s laws of motion
  385. Niederhoffer, Victor
  386. Nikkei
  387. noise
  388. non-centred flies
    1. see also butterflies
  389. non-diversifiable risks
    1. see also systemic risks
  390. normal distributions
    1. critique
    2. definition
  391. NYSE
  392. oil
  393. ‘Old Turkey’
  394. Olsen, Richard
  395. opportunities, volatilities
  396. option chains
  397. options
    1. see also American. . .; call. . .; currency. . .; equity index. . .; European. . .; Greeks; implied volatilities; insurance; interest rate. . .; put. . .; straddles; strangles; VIX
    2. 25 and 10 delta puts strategy
    3. back-tests
    4. building blocks
    5. costs
    6. definitions
    7. deformable sheets
    8. greed/fear vulnerabilities
    9. historical background
    10. intrinsic values of options
    11. ladders
    12. pricing
    13. ratio spreads
    14. replication approaches
    15. short-dated options
    16. strategies
    17. structures
    18. summary
    19. theory
    20. uses
    21. VIX options
    22. weekly options
  398. options on bonds
  399. options on futures
  400. oranges
  401. orderly behaviour, liquidations
  402. out-of-the-money options (OTMs)
    1. definition
  403. over-buying options strategies
  404. over-priced considerations
  405. overconfidence dangers
  406. overfitting pitfalls
  407. overlay strategies, hedging
  408. ‘oversold’ assets, market drops
  409. overview of the book
  410. overwriting strategies
  411. panicking investors
  412. Parkinson’s volatility estimate formulae
  413. partial differential equations
    1. see also Black-Scholes model
  414. paths, crises
  415. pattern recognition techniques
    1. see also trend following
  416. payouts
    1. see also profits
  417. pegs, currencies
  418. pension funds
  419. People’s Bank of China (PBoC)
  420. performance charts, payout curves
  421. persistence, risk regimes
  422. perturbation analysis
  423. physicists
  424. piecewise linear functions
  425. plain vanilla options, definition
  426. plans
  427. plausible losses
  428. plumbers
  429. policy control strategies, crises
  430. Ponzi schemes
  431. portfolio insurance
    1. see also insurance; risk parity strategies
    2. definition
  432. portfolio insurance crisis of 1987
    1. background
    2. lessons learned
  433. portfolio managers
    1. see also fund managers
    2. 60/40 stocks/bonds portfolio mix
    3. Markowitz portfolio theory
    4. standard risk models
    5. taking advantage of corrections
    6. Texas-style hedging
  434. Portugal
  435. positive feedback loops
  436. power law distributions
  437. Powerball tickets of the hedging world
  438. prayer
  439. pre-conditions, crises
  440. predictions
    1. background
    2. summary and conclusion
  441. premiums, options theory
  442. price to earnings ratios (P/Es)
  443. prices of assets, returns
  444. pricing
    1. see also Black. . .
    2. options
    3. volatilities
  445. probabilities, extreme events
  446. profits
    1. see also payouts
    2. banks
    3. insurance
    4. taking profits
  447. purchasing power parity (PPP)
  448. put flies
  449. put options
    1. 25 and 10 delta puts strategy
    2. 665 puts
    3. bear markets
    4. building blocks
    5. definition
    6. spread trades
    7. uses
    8. values
  450. put ratio spreads
  451. put spreads
  452. put-call parity
  453. quadratic regression
  454. ‘quant crisis’ of August 2007
  455. quantitative easing (QE)
  456. quantitative investment conferences
  457. r-d factors, long-dated options
  458. R-squared of the regression
  459. random shocks
    1. see also extreme events
  460. random walks
    1. extreme events
  461. randomly weighted portfolios, performance comparisons
  462. ratio spreads
    1. see also ‘Batman’ trades; butterflies; ladders
    2. 1x2 ratio spreads
    3. 25 and 10 delta puts strategy
    4. background
    5. definition
    6. Powerball tickets of the hedging world
  463. rational decisions
  464. ratios
    1. see also CAPE. . .; Sharpe. . .; spread. . .
  465. reactive strategies
  466. real estate
  467. realised volatility
    1. see also historical. . .; volatilities
    2. critique
  468. rebalancing strategies
  469. regrets
  470. regulators
  471. relative-value hedges
  472. Reminiscences of a Stock Operator (Lefèvre)
  473. replication approaches
  474. repricing of risk
    1. definition
  475. repurchase loans (repos)
  476. returns
    1. see also alpha
    2. bonds/stocks contrasts
    3. CAPE ratio
    4. inflation rates
    5. market comparisons
    6. normal distributions
    7. prices of assets
    8. remarkable second moment
    9. risk-adjusted returns
    10. sequences
    11. trend following
  477. reversals
  478. rho
    1. see also interest rates
    2. definition
  479. risk
    1. see also volatilities
    2. background
    3. what others are holding
    4. what others are likely to do
  480. risk committees
  481. risk management
    1. see also hedging
    2. summary
    3. traditional risk management limitations
    4. trend following
    5. zugzwang chess situation
  482. risk parity strategies
    1. see also portfolio insurance
  483. risk premia, market sell-offs
  484. risk reversal option structure (RRs)
  485. risk-adjusted returns
  486. risk-free rates
  487. risk-on/risk-off phases, markets
  488. risk-regime analysis, hedging
  489. risky assets
    1. see also stock indices
    2. definition
  490. roll down impacts
  491. roll yield
    1. see also futures
    2. cross-sectional study
    3. definition
    4. VIX
  492. rolling options
  493. rotation strategies
  494. Rothard’s views on banks
  495. runs on banks
  496. Russian capital markets
  497. S&P 500 (SPX)
    1. put ratio spreads
    2. VIX
  498. sad truths
  499. ‘safe’ havens
    1. fallacy
  500. sceptics, hedging
  501. schadenfreude
  502. schizophrenic investors
  503. Scholes, Myron
    1. see also Black-Scholes model
  504. SEC
  505. second leg down concept
    1. see also VIX. . .
    2. background
  506. selection bias
  507. selling philosophies, insurance
  508. settlements, options theory
  509. Seykota, Ed
  510. shadow banks
  511. Shanghai Composite Index
  512. Sharpe ratio
    1. see also risk-adjusted returns; volatilities
    2. definition
  513. short futures, long calls strategy
  514. short gamma strategies
  515. short options
  516. short positions
  517. short volatility strategies
  518. short-dated contracts
  519. short-dated options
    1. see also gamma
    2. background
    3. definition
    4. fat tails
    5. uses
    6. vega
  520. short-dated puts
  521. short-term trades
  522. signal to noise ratios
    1. see also trend following
  523. singularities
  524. skewness concepts
  525. skills’ needs
  526. small moves, hedging
  527. solipsism strategies
  528. ‘sombrero’ strategy
    1. see also ratio spreads
  529. Sornette’s claim, crises
  530. Soros, George
  531. sovereign bonds
    1. see also bonds
    2. hedging sovereign bond risks
  532. soybeans
  533. speculators
    1. see also bubbles
  534. spot prices
    1. see also underlying. . .
    2. futures versus spot
    3. options theory
  535. spot VIX
    1. see also VIX
  536. spread trades
    1. definition
  537. ‘square root’ strategy
  538. standard deviations
    1. see also normal distributions
    2. Z scores
  539. Stanley Group at Boston University
  540. static options hedges
  541. ‘stationary’ processes
  542. statistical methods, critique
  543. step function, yield curves
  544. stochastic calculus
  545. stock indices
    1. see also equities
    2. bond return contrasts
    3. construction methods
    4. implied correlation skew
    5. volatility of the components
    6. weightings
  546. ‘stocks go up in the long term’ bulls
  547. ‘stocks for the long run’ crowd
  548. stop losses
  549. storage costs
  550. straddles
    1. definition
  551. strangles
    1. definition
  552. strikes
    1. definition
  553. Strogatz, Steven
  554. survival tactics
  555. ‘sweet spot’ lines
  556. Swiss Franc (CHF)
  557. Swiss National Bank (SNB)
  558. Switzerland
  559. SX5E
  560. systematic trading strategies
  561. systemic risks
    1. see also crises; market risks; non-diversifiable risks
    2. increases
  562. systems, critique
  563. ‘tail risk protection’
  564. taking profits
    1. see also monetised profits
  565. Taleb, N.
  566. taxes
  567. term structure of interest rates, trend following
  568. term structure of volatility
    1. definition
  569. Texas-style hedging
  570. ‘there are old traders and there are bold traders, but there are no old bold traders’ saying
  571. theta (time decay)
    1. see also bleed
    2. background
    3. definition
    4. vega/theta ratio
  572. ‘this time it’s different’ rationalisations
  573. time decay
    1. see also theta. . .
    2. background
  574. ‘time is on your side’ saying
  575. ‘time in the market is more important than timing in the market’ saying
  576. time series, liquidity
  577. toxic stocks, global financial crisis from 2007
  578. ‘trading the coastline’
  579. transaction costs, market drops
  580. trend following xi
    1. advantages
    2. background xi
    3. chasing 1-day moves
    4. contrarian strategies
    5. ‘crisis alpha’ strategies
    6. critique
    7. CTA indices
    8. customised trend following 143
    9. definition
    10. direct data analysis
    11. diversification across time
    12. dogma
    13. downside hedges
    14. high volatility
    15. ‘LEGO’ trend following
    16. long options analogy
    17. market timing
    18. Niederhoffer argument
    19. returns
    20. signal to noise ratios
    21. summary
    22. taking advantage of corrections
    23. term structure of interest rates
    24. uses
    25. volatilities
  581. Treynor-Black model
  582. ‘true’ returns
  583. TVIX
  584. Twain, Mark
  585. Tyson, Mike
  586. UCITS funds
  587. UK
    1. capital markets
    2. GBP
    3. government bonds
  588. unbounded risk
  589. underlying prices
    1. see also spot. . .
  590. US capital markets, successes
  591. US Dollar (USD)
  592. US Federal Reserve Bank
  593. US M2 money supply
  594. US Savings and Loans crisis in 1991
  595. US Treasuries
  596. USO
  597. utility functions
  598. V2X
  599. Value-at-Risk (VaR)
  600. values
    1. see also pricing
    2. call options
    3. put options
  601. variable delta puts
  602. variance concepts
  603. variance swaps
    1. see also VIX
  604. variance-covariance matrix approach
  605. vega
    1. see also volatilities
    2. definition
    3. long-dated options
    4. short-dated options
    5. vega/theta ratio
  606. venture capital
  607. vertical spreads
    1. see also spread trades
    2. definition
  608. Viniar, David
  609. VIX
    1. see also volatility indices
    2. background
    3. calculation methods
    4. critique
    5. definition
    6. futures term structure
    7. market drops
    8. model-independent considerations
    9. oasis-or-mirage analysis
    10. risk-regime analysis
    11. roll yield
    12. S&P 500 (SPX)
    13. uses
  610. VIX 25 delta calls
  611. VIX futures
  612. VIX options
  613. VIX puts, market drops
  614. volatilities
    1. see also high. . .; implied. . .; risk. . .; vega
    2. buying outright volatility
    3. credit cycles
    4. definitions
    5. equity index components
    6. GARCH type econometric forecast volatility models
    7. leverage
    8. mean reversion
    9. opportunities
    10. prices of options
    11. term structure of volatility
    12. trend following
  615. volatility cycles, credit cycles
  616. volatility indices 5
    1. see also CVIX; MOVE; V2X; VIX
    2. correlations
    3. Z scores
  617. volatility of returns, definition
  618. volatility smiles
  619. volatility surfaces
    1. see also wings
  620. volga
    1. see also implied volatility; vega
    2. definition
  621. volumes, strategy considerations
  622. VSTOXX index
  623. VXX
    1. see also futures; VIX. . .
  624. Wall Street Journal
  625. warrants
  626. weekly options
    1. buying time
    2. contagion effects
    3. costs
    4. selective applications of the strategy
    5. uses
  627. weightings, stock indices
  628. West Texas Intermediate (WTI)
  629. Wilmott, P.
  630. win/loss ratios, trend following dogma
  631. the wings
    1. see also volatility surfaces
    2. definition
  632. yield curves
    1. backwardation
    2. bond prices
    3. futures term structure
    4. shapes
    5. step function
  633. yield-enhancing weekly option approaches
  634. Z scores
    1. see also moving averages
    2. definition
  635. zero coupon bonds
  636. zugzwang chess situation
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