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1、Volatility&ArbitrageTrading©2002MarketCompass,Inc.www.marketcompass.comVolatility&ArbitrageTradingOptionsinvolveriskandarenotsuitableforeveryone.Priortobuyingorsellinganoption,apersonmustreceiveacopyofCharacteristicsandRisksofStandardizedOptions.Copiesmaybeobtainedfromyour
2、broker,oneoftheexchanges,orTheOptionsClearingCorporation.Examplesthatarecoveredinthismanualordiscussedthroughoutthecoursedonottakeintoconsiderationcommissionsandothertransactionfees,taxconsiderations,ormarginrequirements,whicharefactorsthatmayaffecttheeconomicoutcomeofanyi
3、nvestmentstrategy.Anystrategiesorexamplescoveredinthismanualordiscussedduringthepresentation,includingactualsecuritiesandpricedata,arestrictlyforillustrativeandeducationalpurposesandarenottobeconstruedasanendorsement,recommendationorsolicitationtobuyorsellsecuritiesofanyty
4、pe.Aninvestorshouldreviewtransactioncosts,marginrequirements,andtaxconsiderationswithhisbrokerandtaxadvisorbeforeenteringintoanyoptionsstrategy.CopyrightÓ1999-2000MarketCompassLLC.Allrightsreserved.Thismaterialmaynotbereproduced,eitherwhollyorinpart,withoutthewrittenconsen
5、tofMarketCompass.©2002MarketCompass,Inc.2www.marketcompass.comVolatility&ArbitrageTradingArbitrage(OptionsPricing)©2002MarketCompass,Inc.3www.marketcompass.comVolatility&ArbitrageTradingTheBuildingBlocksBynowthereadershouldbefamiliarwiththerisk/rewardcharacteristicsofsixfu
6、ndamentalpositions:LongStockShortStockLongCallShortCallLongPutShortPutRatherthanlookingateachoftheabovepositionsasindependentstrategies,thereadershouldnowlookatthemasbuildingblocks.Usedincombination,thesebuildingblockscancreateavarietyofstrategiestoaddressesany
7、marketsentiment.TheprocessofcombiningthesebuildingblocksiscalledthecreationofSynthetics.Forexample,assumeXYZistradingat$50andtheJuly50XYZcallsandputsareeachtradingat$2.ComparethefollowingP/Lgraphs:Purchasing1July50callP&LGraph700.00600.00500.00400.00300.00200.00100.00Loss-
8、Profit0.00-100.00-200.00-300.0042.0044.0046.0048.0050.0052.0054.0056.0058.00StockPricePur
