Question 1)
I buy the October 65 put in Hutchinson for a premium of HKD 5.20. The share price is currently
HKD 62.50
Where will I start to make money on this trade ('breakeven point')
a) HKD 57.30 and higher
b) HKD 57.30 and lower
c) HKD 59.80 and lower
FINA4370
Dr. B. K. Meister
9 September, 2016
Dr. B. K. Meister
FINA4370
9 September, 2016
1/7
Something to think about: I
Why is there so much trading? (USA: 235+% of GDP, China:
115+% of GDP, (World Bank, 2014)
Why does stock market volatility seem highe
4370, 1st Semester 2014  2015
C
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Fundamentals of Derivatives Trading
Applying Options Theory in the Marketplace
Tobias Hekster
Senior Stragegist, True Partner Fund
Adjunct Professor, National Taiwan University
1
True Partner Education Ltd 2014
C
Derivatives Trading: Analysis and Strategies
C U H K
Volatility Arbitrage
1
True Partner Education Ltd 2014
Volatility Arbitrage
C U H
K
Up until now, we have primarily focused on the Market Maker:
Look at the options on ONE instrument
Fit a logical c
FINA 4370, Term 1 2014  2015
C
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H
K
Derivatives Trading Strategies
Tobias Hekster
Senior Strategist, True Partner Advisor
Adjunct Professor, National Taiwan University
1
True Partner Education Ltd 2014
C U H K
FINA4370: Derivatives Trading Strategies
FINA 4370, Term 1 2014  2014
C
U
H
K
Derivatives Trading Strategies
Tobias Hekster
Senior Strategist, True Partner Advisor
Adjunct Professor, National Taiwan University
1
True Partner Education Ltd 2014
C U H K
FINA4370: Derivatives Trading Strategies
Question 1
I am long 200 gamma in China Mobile. Share price is HKD 70 and the implied volatility is 32%.
What would I expect my daily theta to be?
a) HKD 160
b) HKD 196
c) HKD 320
d) HKD 392
Question 2
I am short 200 gamma in China Mobile. Share price is
Question 1:
Option A:

Maturity 30 days

Gamma: 20

Theta: 3.50
Option B:

Maturity 60 days

Gamma: 10

Theta: 1.50
An explanation for this volatility structure could be
a) Earnings between 30 and 60 days from now
b) Earnings between now and 30 days
China Foto Press
Outofhome advertisers may find more success by switching to digital displays and integrating their communications strategy with city planning and infrastructure.
Advertising in a
New Age of Media
The rise of digital media will require
t