Notas Estructuradas

25
PROVEN STRATEGIES
for trading options on CME Group futures

A wORld Of OPTIONS ON A SINGlE POwERful PlATfORm.
With more than 2.2 billion contracts (valued at $1.1 quadrillion) traded in 2007, CME Group is the world’s largest and most diverse derivatives exchange. Building on the heritage of CME, CBOT and NYMEX, CME Group serves the risk management needs of customers around the globe. Asan international marketplace, CME Group brings buyers and sellers together on the CME Globex electronic trading platform and on trading floors in Chicago and New York. CME Group offers the widest range of benchmark products available across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals,and alternative investment products such as weather and real estate. Options on futures rank among our most versatile risk management tools, and we offer them on most of our products. Whether you trade options for purposes of hedging or speculating, you can limit your risk to the amount you paid up-front for the option while maintaining your exposure to beneficial price movements.

CME Group isthe trademark of CME Group, Inc. The Globe logo, Globex® and CME® are trademarks of Chicago Mercantile Exchange, Inc. CBOT® is the trademark of the Board of Trade of the City of Chicago. NYMEX, New York Mercantile Exchange, and ClearPort are trademarks of New York Mercantile Exchange. Inc. COMEX is a trademark of Commodity Exchange, Inc. Copyright © 2008 CME Group. All rights reserved

HOw TO uSETHIS BOOKlET

Pattern evolution:

Each illustration demonstrates the effect of time decay on the total option premium involved in the position. The left vertical axis shows the profit/loss scale. The horizontal zero line in the middle is the break-even point, not including commissions. Therefore, anything above that line indicates profits, anything below it, losses. The price of theunderlying instrument is represented along the bottom. “A,” “B” and “C” in the diagrams indicate the strike prices. The arrows show the impact of time decay on an option. Arrows on the diagram under the heading of “Pattern Evolution” indicate what impact the decay of option prices with time has on the total position. The purple line reflects the situation with four months left until expiration, the goldline the status with one month left and the green line the situation at expiration.

for more information, go to www.cmegroup.com/options.

TABlE Of CONTENTS
Long Futures Short Futures Long Synthetic Futures Short Synthetic Futures Long Risk Reversal (AKA Squash or Combos) Short Risk Reversal (AKA Squash or Combos) Long Call Short Call Long Put Short Put Bull Spread Bear Spread Long ButterflyShort Butterfly Long Iron Butterfly Short Iron Butterfly Long Straddle Short Straddle Long Strangle Short Strangle Ratio Call Spread Ratio Put Spread Call Ratio Backspread Put Ratio Backspread Box or Conversion 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

1

lONG fuTuRES
A

Pattern evolution:

when to use: When you are bullish on the market and uncertain aboutvolatility. You will not be affected by volatility changing. However, if you have an opinion on volatility and that opinion turns out to be correct, one of the other strategies may have greater profit potential and/or less risk. Profit characteristics: Profit increases as market rises. Profit is based strictly on the difference between the exit price and the entry price. loss characteristics: Lossincreases as market falls. Loss is based strictly on the difference between the exit price and the entry price. decay characteristics: None.
CATEGORY: Directional SYNTHETICS: Long call A, short put A

SHORT fuTuRES
A

2

Pattern evolution:

when to use: When you are bearish on the market and uncertain about volatility. You will not be affected by volatility changing. However, if you have...