Buying and Selling Volatility

ISBN-13: 9780471968849 / Angielski / Twarda / 1997 / 200 str.

Kevin B. Connolly;Connolly

Opis

To make a profit, most individual investors and fund managers are forced to take a view on the direction of the price of something. The traditional investment strategy is to study all the aspects of the market place and decide on the value of the instrument under study. If the instrument is cheap, you buy, and if it is expensive, you sell. The traditional view taken is looking at only one dimension of a price sequence - the direction. Options can allow investors to completely ignore the direction of the price and to concentrate on the second dimension - the volatility of the price. It is possible to construct a portfolio containing a given stock and stock options and be completely indifferent to the direction of the price whilst profiting from the volatility of the price.

Spis treści

An Introduction to the Concept of Volatility Trading.

A Review of Some Basic Concepts.

The Price Profile of Derivatives before Expiry.

The Simple Long Volatility Trades.

The Short Volatility Trade.

Using Put Options in Volatility Trade.

Managing Combinations of Options.

More Complex Aspects of Volatility Trading.

Appendix.

Index.

O autorze

Kevin B. Connolly used to be Head of Quantitative Research at James Capel & Co. He then joined Cresvale International Asset Management as Director responsible for instituting scientific risk management for Cresvale′s principal Japanese warrants market–making section. He is currently undertaking research into complex volatility trading for Refco Overseas Ltd, and is setting up sales and trading systems for Japanese warrants and convertible bonds for Independent Capital Corporation. He also lectures at City University Business School and London Guildhall University, UK.

Blurb

The concept of profiting from trading volatility is not new, but is known to only a few players in the derivatives industry. Buying and Selling Volatility is the first book to explain this trading strategy in detail without using complex mathematics. Offering a new approach to the subject of options, seen purely from a volatility viewpoint, the author uses illustrations to clearly explain the connection between volatility and options. He explains how investors can profit from the volatility, or lack of volatility, of an option price regardless of whether the market rises or falls. Useful to both novice investors and professional traders, Buying and Selling Volatility also supplies the reader with a risk management software system that is comparable to those used commercially.