INDEX

A

Annualizing yield

Ask price. See also Bid-ask spread

Asymmetry, volatility

At-the-money

covered calls

selling

puts, selling

B

Behavioral theory of volatility slope

Bid-ask spread

and calendar spreads

and competition

and covered calls

delta’s impact on

equity options

Google (GOOG) option bids and offers

by implied volatility

fair value of option based on

market makers

market participants

of multi-legged spreads

for option spreads

and selling puts

SPX option bids and offers

by implied volatility

SPY option bids and offers

by implied volatility

Black-Scholes formula

for value of call option

for value of put option

Black-Scholes option pricing model

assumptions

example

inputs to

sensitivity of option prices to changes in

Bondarenko, Oleg

Breakeven points

for covered call

downside

upside (regret)

put and call vertical spread

Buywrite

C

Calendar spreads

catalysts

follow-up

after being assigned

after getting it wrong

for successful directional calendar

super calendar

taking a small loss

long, and implied volatility

impact of changes in

maximum profit and loss

neutral, bullish, and bearish

bullish becomes bearish

profitability by moneyness

payoff at front-month expiration

Calendar spreads

the phenomena and

bid/ask spread

daily erosion

implied volatility

skew

time decay

volatility risk premium

profitability without movement

sensitivities

Call option

breakeven level for

covered. See Covered calls

price components

Chicago Board Options Exchange (CBOE)

Competitive Market Makers (CMMs)

Covered calls

best use of

breakeven points

downside

upside (regret)

and daily price erosion

follow-up action

buying back

getting assigned

ordering

payoff, generic

the phenomena and

bid/ask spread

general impact on

skew

time decay

volatility risk premium

volatility slope

rates of return

option premium yield

return if called away

relative outcome from selling

rolling

down

loser, locking in

up

up and out

selecting

at-the-money

in-the-money,

out-of-the-money

stock-like or bond-like

stock rallies

using for downside protection

and volatility risk premium

Crude oil skew

D

Daily price erosion. See Theta

“Degree of the angle,”

Delta

impact on bid/ask spreads

and risk reversal

and vertical spreads

Designated Market Makers (DMMs)

Direction, magnitude, and time

earnings path

possible directions

relationship between magnitude and time

volatility

E

Electronic Access Members (EAMs)

Equity options

Google (GOOG) option bids and offers

by implied volatility

Exercise price

F

Forecast volatility

Future volatility

G

Gambling analogy

Gamma

Gold

option prices

skew

Google (GOOG)

butterfly

covered call execution

option bids and offers

by implied volatility

Greeks

for call option

delta

gamma

for put option

rho

theta

vega

H

Heteroskedasticity

Horizontal spreads. See Calendar spreads

I

IBM

skew

vertical spread payoff

Implied volatility

Black-Scholes model

assumptions

example

inputs to

sensitivity of option prices to changes in inputs

and calendar spreads

correlation between market prices and

and skew

assumptions

hedging options

size

by strike price

when it occurs

where it occurs

and vertical spreads

In-the-money

covered calls

puts, selling

Inherent value

International Securities Exchange (ISE)

L

Leverage theory of volatility slope

Linear interpolation

M

Magnitude. See Direction, magnitude, and time

Market makers

Market participants

Moneyness

Multi-legged spreads, bid/ask of

N

Naked call selling

New York Stock Exchange, market makers in

O

Onyx Pharmaceutical (ONXX) covered call execution

Option basics

cost and value

inherent value

time value

describing

moneyness

put options

specifics

Option pricing models

and implied volatility

Black-Scholes model

Option spreads, bid/ask for

Option strategies

Option theory

Options math website

Out-of-the-money

covered calls

puts, selling

Overwrites. See Covered calls

P

Premium

inherent value

time value

changes in

Primary Market Makers (PMMs)

Put option

breakeven level for

inherent value

price components

selling

at-the-money

to buy stock at a discount

buying back

buywrites

follow-up action

and the greeks

in-the-money

out-of-the-money

outcome of

the phenomena and

rolling

Q

QQQ risk reversal

after a rally

R

Realized volatility

Return, rates of

option premium yield

return if called away

Rho

Risk premium, volatility

by asset class

assumptions

and covered calls

definition of

size

over time

Risk reversal

follow-up action

closing trade

leaving as is

rolling call

ineffective

and longer-dated expirations

time to expiration and deltas

prior to expiration

alternatives

after the passage of time

after a rally

and skew

using

Rolling

covered calls

down

loser, locking in

up

up and out

puts

down

down and out

up

Royal Bank of Canada

Russell 2000 Exchange Traded Fund (IWM)

S

Skew

and calendar spreads

and covered calls

implied volatility and

assumptions

hedging options

size

by strike price

when it occurs

where it occurs

and risk reversal

and selling puts

and vertical spreads

volatility slope and

S&P 500

changes in VIX by changes in

SPX options

at-the-money call option volatility risk premium

bids and offers

by implied volatility

put options, volatility risk premium for

SPY (S&P ETF)

covered call execution

option bids and offers

by implied volatility

risk reversal

payoff

skew and delta for

selling puts to buy at a discount

Standard deviation

formula for

Starbucks

Strike price

T

Theta

and calendar spreads

changes in over time

and option time value erosion

after rolling up and out

and vertical spreads

Time. See Direction, magnitude, and time

Time spreads. See Calendar spreads

Time value

changes in

by expiration

by strike price

and decay

and calendar spreads

and covered calls

erosion

and selling puts

theta

U

Underlying asset

V

Vega

and vertical spreads

Vertical spreads

aggressiveness of

breakevens

call spreads, skew, and trough

follow-up action

greeks

delta

vega

implied volatility and cost of

long put/short call

differences

similarities

risk and reward

skew and

terminology

width vs. cost

Volatility

asymmetry

for different time periods

implied

Black-Scholes model

and calendar spreads

correlation between market prices and

and skew

and vertical spreads

realized

risk

smile

smirk

standard deviation of returns

of daily percentage price changes

expected outcome ranges for

types of

forecast

future

Volatility feedback theory of volatility slope

Volatility Index (VIX)

Volatility risk premium

by asset class

assumptions

and calendar spreads

and covered calls

definition of

and selling puts

size

over time

Volatility slope

asymmetry

correlation between market prices and implied volatility

and covered calls

and selling puts

and skew

theories regarding

Y

Yahoo!

option prices

skew