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An increase in open interest along with an increase in price is said by proponents of technical analysis [4] to confirm an upward trend. Similarly, an increase in open interest along with a decrease in price confirms a downward trend. An increase or decrease in prices while open interest remains flat or declining may indicate a possible trend ...
Open interest (futures) is the number of "open" contracts or open interest of derivatives in the futures market. Open interest in a derivative is the sum of all contracts that have not expired, been exercised or physically delivered. Moreover, the open interest is the number of long positions or, equivalently, the number of short positions.
A ladder is also similar to a condor, the key difference being that a condor has an additional option; for example, a long call condor is similar to a long call ladder but with an extra call at a higher strike. [4] A ladder's Greeks are generally similar to a strangle. [1]
An interest rate future is a futures contract (a financial derivative) with an interest-bearing instrument as the underlying asset. [1] It is a particular type of interest rate derivative . Examples include Treasury-bill futures, Treasury-bond futures and Eurodollar futures.
Inflation derivative; Inflation swap; Intellidex; Interest rate cap and floor; Interest rate derivative; Interest rate future; Interest rate option; Interest rate swap; Intermarket spread; International Securities Lending Association; International Swaps and Derivatives Association; Intrinsic value (finance) Iron butterfly (options strategy ...
In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of different interest rate indices that can be used in this definition.
For example, in the portfolio = +, an option has the value V, and the stock has a value S. If we assume V is linear , then we can assume S δ V δ S ≈ V {\displaystyle S{\frac {\delta V}{\delta S}}\approx V} , therefore letting k = δ V δ S {\displaystyle k={\frac {\delta V}{\delta S}}} means that the value of Π {\displaystyle \Pi } is ...
Margrabe's model of the market assumes only the existence of the two risky assets, whose prices, as usual, are assumed to follow a geometric Brownian motion.The volatilities of these Brownian motions do not need to be constant, but it is important that the volatility of S 1 /S 2, σ, is constant.