Risk Reversal in Visual C#.NET

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Risk Reversal
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The term risk reversal is used in a couple of different ways in trading In foreign-exchange trading, risk reversal is the difference in delta and volatility between similar call and put options In options trading outside of FOREX (Foreign Exchange Market), risk reversal is an aggressive vertical trade that can be done long or short in the market When doing a risk reversal long the market, you are selling a put option and buying a call option in the same expiration month If you are doing a short risk reversal, you are selling a call and buying a put option in the same expiration month In equity trading, risk reversals are also called synthetic long or short
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Basic Options Spreads 135
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Long risk reversals are excellent trades for taking a fairly aggressive long position in the market without being directly at risk of owning the underlying outright Risk reversals are a bene t under high-volatility conditions because they provide the upside potential of the underlying asset but allow for a trading range in the underlying during the term of the option Using the chart for Procter & Gamble (PG) (see Figure 612), we can see that the company has found a short-term bottom in the last month or so of trading Let s assume that our hypothetical analysis has PG as a good long-term buy You would like to have PG in your portfolio, but you are concerned about buying the market too high and having a retest of the recent lows against your position You have a couple of choices with this type of scenario With the volatility as it is currently, you have a call option that is not too unfairly valued given the recent volatility However, from a historical standpoint looking back to the summer of 2008 and before, the current volatility is elevated, meaning that the outright call option premium may be overvalued or priced too high for estimated market movement to offset time decay and volatility risk You could purchase the outright PG stock and risk to the support level of your
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choice You can also take a long risk reversal which would be to sell a put while purchasing the call option so as to provide the strong delta of the position and reduce the premium outlay In doing so, you would create a low point where the stock would be exercised into the underlying stock at a better price You would also be creating a long call position that would increase to delta 100 if the market continued higher Looking at Figure 613, we have the PG option chain where we can see that the implied volatility is not as high as on some other assets we have looked at, but it still gives cause for concern on de ating volatility over the term of a call option The bull call spread is not aggressive enough in delta, so you are looking for ways to offset the volatility and time value risk to the trade, with the strong upside potential of the underlying stock The risk reversal can accomplish several goals for this position It can allow you to enter the market with a short put and long call position with an aggressive delta and the potential to exercise either option into your desired long-term long In Figure 613 we have the option model for PG puts and calls and the underlying Procter & Gamble stock trading at 4963 If we consider going out of the money a little to reduce option premium
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Basic Options Spreads 137
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Profit/loss by change in PG common price $ 2,000 1,500 1,000 500 0 500 1,000 1,500 2,000 2750
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