Microsoft Word - Derivative words.docx

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1 : Exercise price = Strike price = Striking price = Strike = Delivery price : Maturity date = Expiration date = Delivery date % % % ,000, , ,000, ,000 ｨC : : ; ; ; ; : ; : Max 1 70 ; ｨ Max 1 70 ; : Max 1 70 ; ｨ Max 1 70 ; : Max 1 70 ; 706ｨ Max 1 70 ; : Max 1 70 ; 756ｨ Max 1 70 ; : Max 1 70 ; ｨ Max 1 70 ; : Max 1 70 ; ｨ Max 1 70 ; ｨC , ｨC

2 ( ) : ( ) (Plain-vanilla) ( ) Contract Front Month ) ( ) ( All or Non Accreting Swap Accrual Note Adjusted Contract Size Adjusted last settlement price Alpha Asian (Average) Option Asked Price Asset Swap Asset-Backed Security (ABS) Auction Order Automatic Exercise Front Month Contract Back Month Contract Back spread Basis Point (BPS) basis risk Basket Option

3 ( ) (Public) (bull spread) (bear spread) ( ) B (Slightly OTM) Bearish Strategy Best-of-Two Option Bid Price Bid-offer (asked) spread Big Dogs Binary Option or Allor-Nothing Options or Digital Options. Binomial Tree Model Bank Check Company Bond Options Bonus Issue or Scrip Issue or Capitalization Issue Bottom straddle Bottom Vertical Combination Box Spread B-Piece Broker's Collateral Broker's Operational Account Bull Calendar Spread Bull Spread 2

4 ( ) (Step-up bond) (Step) Catastrophe Loss Index ( ) (SPV) Bullet Bond Bullish Strategy Cabinet Trade Callable Bond Canary Option Capital Gain Capped-Style Option Carry Carry Trade Cash Bonus Catastrophe Bond (CAT) Catastrophe Swaps Central Counterparty (CCP) Certificate of Deposit Contract For Differences (CFD) Chase Secured Loan Trust Note (CLST) Clearing House Interbank Payments System (CHIPS) 3

5 (Exotic Option) (CMT Yield) (Asset Backed Security) Collateralized Mortgage ) (Obligation Mortgage Backed ) (Sesurity ( ) (First In First Out) Christmas Tree Clean Price Clearing Account Clearing and Settlement Fees Clearing Participant Client Client Records Client-Broker Agreement Clients ｯ Segregated Account Cliquet Option or Ratchet Option Closed-End Funds or Closed-End investment or Closed-End Mutual Fund Close-Out Position or Position Squaring Closing Buy Transaction Closing Sell Transaction CMT Derivative CMT Yield (Constant Maturity Treasury Yield) Collateralized Bond (Debt) Obligation (CBO) Collateralized Loan Obligation (CLO) Collateralized Mortgage Obligation (CMO) Combination Order or Alternative 4

6 / ( ) ( ) ) ( Order or One-Cancels- The-Other Orders Commission Brokers Commodity Options Common Share Common Stock Composite (Cross) Option Compound Option Concentration Risk Confirmation Conservative Hedging Contingency order Contract for Difference Contract Multiplier Contract Size Contract Specifications Convertible Bonds Convexity Corporate Action Corporate events Cost of Carry Costless Collar (Zero- Cost Collar) 5

7 ( ) ) ( ) ( (Brady) ( ) ( ) ( ) / ( ) ( ) (Barrier Option) Counterparty Risk Credit Derivatives Credit 1 7Event Credit Linked Note (CLN) Credit Spread Credit Option on Brady Bonds (COBRA) Credit Risk Credit Spread Option Credit Spread Swap Credit Default Swap (CDS) or Credit Derivative Contract Cross Currency Option Cross Currency Swap Crossed Market Cross-Margining or Spread Margin Cumulative Parisian Barrier Option 6

8 ( ) Cross Rates Cross Order Committee on Uniform Securities Identification Procedures (CUSIP) CUSIP Number Custodian Bank Daily Clearing Price Daily Price Limit Day Trade Day Order Declaration Day Degree-Day Swaps Delivery notice Delivery Notice Day Delivery Period Delivery Point Delivery Versus Payment Delta Delta Neutral Delta-Hedged 7

9 ( ) (1 71 7) ( ) Derivative Products Company (DPC) Diagonal Spread Digital Option or Binary or All-or- Nothing Option Dirty Price Discount rate Distribution in Specie Domestic Market Double Barrier Option Double-Edged Sword Duration Dynamic Hedging Early Exercise (Assignment) Employee Stock Option (ESO) Endowment Warrant Equity Derivatives 8

10 ( ) (Hedge Fund) " " " " Equity Futures Contracts Equity Swap Equity-Linked Security (ELKS) Equivalent Martingale Measure or Risk Neutral Measures Equivalent Strategy Euro Interbank Offered Rate (Euribor) Euro LIBOR European Style Option Contract Evening up Event Driven Strategies Exchange Delivery Settlement Price(EDSP) Exchange for Physical (EFP) Exchange Option Exchange Traded Options (ETOs) Executive Stock Options Exotic Options External Market Extra Margin 9

11 ( ) Extrinsic Value Fair Value Fairway Bond or Corridor Bond or Index Range Note or Range Accrual Note or Index Floater Fake Market Order Fast Market FIFO (First In First Out) Fill-And-Kill (FAK) Finite Difference Models First Trading Day Flexible Exchange Option (FLEX) Floor Broker or Pit Broker Floor Trader Foreign Exchange Markets (Forex) Forward Curve Forward Purchase Forward Rate Forward Sale Forward Start Option 10

12 ( ) ) ( (2) (1) ( ) " " " " ( ) Freddie Mac Fungibility Futures Contract Adjustment Futures Contract Market Value Futures Contract Month Futures Contract Price Futures Contract Specification Futures Option Gearing Good-Till-Cancelled (GTC) Good-Till-Date (GTD) Green Shoe option Gross Basis Haircut Hamster Option or Hoarding Option Hedge Parameters or Greeks or Risk Sensitivities or Risk Measures Hedge ratio Hermaphrodite Option or As-You-Like Warrant or Chooser Option 11

13 ( ) Herstatt risk or Cross- Currency Settlement risk or Foreign Exchange Risk Historical Volatility (HV) or Statistical Volatility Hot Tips Implied Volatility (IV) or Vols Implied Volatility Skew or Vertical Skew Inactive Orders Index option Index Amortizing Swap (IAS) Index Amortizing Rate (IAR) Swap or Index Principal Swap Individual Equity Options Inflation-Linked Security or Real Return Security Inter-Commodity Spread Inter-Delivery Spread Interest Rate Cap Interest Rate Options Inter-market Spread Intra-Day Margin Intra-market Spread or Time Spread Inverse Floater 12

14 Inverted Market Issuer Jelly Roll Kitchen Sink Bond or MBS Knock-in Option ( ) Knock-out Option Ladder Option Last Trading Day Long-Term Equity Anticipation Securities (LEAPS) Low Exercise Price Option (LEPO) Limit Order Listed Option or Exchange-Traded Options Loan Participation Fund Locked Market Lombard loan Long The Basis Butterfly Spread Long Condor 13

15 ( ) ( ) (William Margrabe) (Hedge Fund) (limit order) Periodic Interest Rate Cap (Set-up Cap) Low Exercise Price Options (LEPOs) Volatility Implied Volatility Macaulay Duration Rainbow Option Margrabe Option Market Index Target- Term Security (MITTS) Market maker Market Neutral Strategy Market-On-Open Order (MOO) Market-to-Limit Order (MTL) 14

16 (ATM) ( ) (Slightly OTM) Market Wide Position Limit Martingale system Minimum-Quantity Order Model Risk Modified Duration Money Market Monte Carlo Simulation Monthly Income Preferred Shares (MIPS) Morgan Stanley - Capital International Mortgage Backed Security Mortgage Bond, Loan, or Note M-Squared Nearby Futures ContrA ct Net Position Netting Neutral Calendar Spread 15

17 ( ) Non-Deliverable Forward (NDF) Non-Deliverable Swap (NDS) Notice of Intention to Deliver Notional Principal Amount Notional Value Novation Offsetting order One-Touch Option On-the-run Treasury Open Interests Open Offer Open Position Open Position Limit Opening buy transaction Opening sell transaction Option Class Option Pricing Curve Option Series Option's Lifetime Options on Futures Contract Options on Swaps Outperform Outperformance Option or Margrabe Option

18 ( ) ( ) (2) (1) : PAC Outstanding Obligation Over Price Overnight Rate Overwrite Paper Profit (Paper Loss) Parity Payoff Pegging Penalty Preference Equity Redemption Cumulative Stock (PERCS) Performance Bond Periodic Cap Pin risk Planned Amortization Class (PAC) Tranche Portfolio Insurance Position Traders Preferred Share Price Convergence Price Discovery Principal-Only (PO) Tranche Program Trading project finance Protective Put or Married Put Perfect hedging 17

19 ) ( Putable Bond Put-Call Parity Pyramiding Quanto Forward Quanto Option Rainbow Option Range Accrual Option Call Ratio Backspread Put Ratio Backspread Ratio spread Real Option Red Chip Replicating Portfolio Reverse Calendar Spread Reverse Conversion Rho Rights Offering (Issue) Risk Averse 18

20 Slightly ) ( ) (OTM Slightly ) ( ) (OTM (T) (T) Risk Bearer or Risk Seeker Risk Disclosure Document Risk Mutualisation Risk Neutral Portfolio Russian Option Synthetic Long Stock (Split Strikes) Synthetic Short Stock (Split Strikes) Scalpers Selling Hedge or Short Hedge Session Order Settlement & Delivery Fee Sharpe ratio Short Butterfly Sliding Validity Short Straddle Short Strangle 19

21 SPV S&P Shout Option Special Purpose Vehicle (SPV) or Securitization Conduit Speculation Spiders or SPDRs or Standard & Poor ｯs Depository Receipt Spot Date Spot Market or physical market or Cash Market Spot Rate ( ) Spread Order Spread Strategy ( ) spread trade Standard Parisian Barrier Option SPAN Standard Portfolio Analysis of Risk (SPAN) Step-up Bond Step-Payment Option " " Stochastic Volatility Models ( ) Combination Strategies

22 ( A B) B A Stock Consolidation ﾙ reverse stock split Stock Options Stock Repair Stock Split=Stock Subdivision Stop Limit Order Stop Loss Order Straddle Stress Test Strip Straps Structured Investment Products (SIPS) Stub Risk Suitability Swaptions Swing Option Synthetic Position Synthetic Sell 21

23 ( ) ( ) ( ) : Synthetic Short Stock (Split Strike) Synthetic long Stock Synthetic Stock Target Company Theoretical Intermarket Margin System (TIMS) Theta= time decay option Tick Size Trading Fee Trading for parity Trading Member Trading Period trading post Trading Session Transaction Fees Treasury Bill/Option Strategy (0/90 Strategy) Treasury Bonds Futures Treasury Notes Futures Trigger or Limit Prices Trust Preferred Stock Units Underlying Asset

24 ( ) ( ) (MSCI) ( ) Underlying Stock value date = effective date Vanilla Options variance swap Vertical Spread = price spread = money spread Volatility Volatility Skew Vomma Vulnerable Option Warrant Wasting Asset weather derivatives World Equity Benchmark Shares Worst-of-Two Option ﾙ best-of-two option Z-Bond Zero Cost Collar Zero Coupon Bond Zero Exercise Price Option 23