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The second leg down : strategies for profiting after a market sell-off /
"Cut risk and generate profit even after the market drops The Second Leg Down offers practical approaches to profiting after a market event. Written by a specialist in global macro, volatility and hedging overlay strategies, this book provides in-depth insight into surviving in a volatile envir...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex, United Kingdom :
John Wiley & Sons, Ltd.,
2017.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Title Page; Copyright; Contents; Preface; Acknowledgements; About the Author; Chapter 1: Introduction; The Airplane Ticket Trade; The Bull Cycle; The Renegades; Claws of the Bear; Zugzwang; The Sceptics; A Sad Truth; Common Mistakes; Imprecise but Effective; Hedging Against Implausible Scenarios; A Black Swan in Correlation; Taking Profits; The Good, the Bad and the Ugly; The Great Escape; Having a Plan; Trend Following as a Defensive Strategy; Taking the Offensive; The Pre-Conditions for Market Crises; Banks: The Great Multiplier; A Change in Risk Regime; Endnotes.
- Chapter 2: ""Safe"" Havens and the Second Leg DownThe Matterhorn; Mrs. Watanabe's No. 1 Investment Club; The Risk of What Others are Holding; The Risk of What Others Are Likely to Do; Here We Go Again; Summary; Endnotes; Chapter 3: An Overview of Options Strategies; The Building Blocks: Calls and Puts; Why Buy a Call or Put?; The Black-Scholes Equation and Implied Volatility; The Implied Volatility Skew; Hedging Small Moves; Delta hedging: The Idealised Case; Practical Limits of Delta Hedging; Hedging Options with Other Options; Put and Call Spreads; Straddles and Strangles.
- The Deformable SheetSkew Dynamics for Risky Assets; The 1×2 Ratio Spread and Its Relatives; The Batman Trade; Implied Correlation and the Equity Index Skew; From Ratios to Butterflies; Calendar Spreads; Put/Call Parity Argument; Summary; Chapter 4: Hedging the Wings; Taking the Other Side of the 1×2; Comparing the 25 and 10 Delta Puts; Hedging Sovereign Bond Risk; Selling Put Ratio Spreads on the S & P 500; The Hypothetical Implied Distribution; Our Findings So Far; Back-Tests: A Cautionary Note; A Short Digression: Delta-Neutral or Comfortably Balanced?; The 665 Put.
- Implications of the Square Root StrategyFutures vs Spot; A Dramatic Example; A Cross-Sectional Study; The ""New"" VIX: Model-Independent, Though Not Particularly Intuitive; The Spot VIX: Oasis or Mirage?; Migrating to VIX Options; Reflections on Figure 4.36; Migrating to Different Markets: The V2X; Risk-Regime Analysis; Conditional Performance of Hedging Strategies; Summary; Chapter 5: The Long and the Short of It; Short-Dated Options; The Physicists Weigh In; Buying Time; Long-Dated Options; Far from the Madding Crowd; R Minus D; The Lumberjack Plot; Vega Grows in T − t
- Selective Application of the Weekly Options StrategySummary; Chapter 6: Trend Following as a Portfolio Protection Strategy; What is Trend Following?; Trend Following Dogma; The Crisis Alpha Debate; An Aside: Diversifying Across Time; Taking Advantage of a Correction; The Niederhoffer Argument; Chasing 1-Day Moves; Pushing the Analogy Too Far; Analysing the Data Directly; LEGO Trend Following; Summary; Notes; Chapter 7: Strategies for Taking Advantage of a Market Drop; The Elastic Band; Trading Reversals; More Texas-Style Hedging; Selling Index Put Spreads.