43
02
13
10
02
12
11
00
23
H
HiLo
62
40
14
54
03
22
10
02
10
10
01
14
J
HiLo
31
30
23
45
32
36
21
01
10
10
00
03
K
HiLo
21
30
11
04
65
45
30
01
10
10
11
04
Q
HiLo
10
20
00
04
01
21
33
81
34
15
10
13
U
HiLo
31
20
10
04
01
12
31
60
33
14
12
14
V
HiLo
10
20
10
04
01
10
31
41
46
30
14
25
X
HiLo
21
20
10
15
00
10
21
32
44
11
31
27
NYMEX/COMEX Gold (GC)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
G
HiLo
34
18
93
21
10
22
20
02
11
10
01
00
J
HiLo
33
11
16
15
61
42
20
11
11
10
11
01
M
HiLo
31
11
03
02
21
08
72
22
31
20
10
11
Q
HiLo
20
11
02
01
10
04
12
17
113
20
21
11
V
HiLo
40
21
01
01
10
02
10
04
35
14
83
21
Z
HiLo
90
32
11
31
01
03
10
02
33
10
04
15
287
Contract Highs and Lows in Selected Markets, 1980–2002
NYMEX Heating Oil #2 (HO)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
01
23
12
10
10
21
12
21
01
32
40
59
G
HiLo
89
00
33
01
10
21
12
11
00
42
20
03
H
HiLo
53
36
00
22
30
12
13
11
10
22
30
03
J
HiLo
42
03
46
00
42
12
12
21
10
22
20
12
K
HiLo
43
02
26
10
00
44
32
11
20
22
20
12
M
HiLo
33
02
15
10
41
00
45
11
20
43
10
12
N
HiLo
32
03
16
20
10
33
00
45
30
32
10
11
Q
HiLo
31
03
13
10
10
24
36
00
31
63
00
21
U
HiLo
11
13
12
00
20
13
14
64
00
84
00
11
V
HiLo
12
13
12
00
20
23
13
23
63
00
52
11
X
HiLo
02
23
12
10
20
23
12
23
11
73
00
33
Z
HiLo
22
14
13
10
20
22
11
21
02
52
55
00
CME/IMM Japanese Yen (JY)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
51
14
33
43
13
32
02
11
02
10
21
10
M
HiLo
42
01
10
14
20
15
44
33
11
10
22
20
U
HiLo
32
01
10
14
20
02
21
24
24
53
31
10
Z
HiLo
43
11
11
13
21
12
10
12
22
30
32
25
288
TRADING OPTIONS TO WIN
CME Live Cattle (LC)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
G
HiLo
30
103
24
12
13
01
10
11
03
11
10
14
J
HiLo
10
10
43
104
26
01
11
01
01
10
11
14
M
HiLo
20
21
31
22
33
34
43
10
00
13
10
05
Q
HiLo
30
10
10
22
12
13
12
93
22
03
12
03
V
HiLo
40
10
20
23
03
01
11
41
15
51
13
14
Z
HiLo
55
00
00
03
02
01
20
10
23
11
42
75
CME Live/Lean Hogs (LH)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
G
HiLo
31
12
33
42
20
32
02
04
21
11
11
23
J
HiLo
31
10
32
43
53
32
02
04
11
00
11
13
M
HiLo
31
00
12
52
52
42
24
05
00
01
10
13
N
HiLo
31
01
11
32
51
00
54
37
01
01
11
12
Q
HiLo
31
01
21
11
30
21
05
81
05
12
01
23
V
HiLo
41
01
11
11
30
12
04
21
44
52
03
12
Z
HiLo
44
01
01
31
10
22
03
01
32
42
01
54
289
Contract Highs and Lows in Selected Markets, 1980–2002
CME Random Length Lumber (LB)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
44
73
21
00
20
21
23
03
01
11
03
22
H
HiLo
42
32
34
34
31
20
24
02
00
11
02
10
K
HiLo
10
42
32
21
46
43
33
10
01
02
02
00
N
HiLo
12
21
41
11
41
24
22
54
02
03
11
00
U
HiLo
14
41
10
10
21
20
23
14
35
13
41
00
X
HiLo
42
31
20
00
12
31
22
11
03
04
24
42
NYMEX Natural Gas (NG)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
01
12
00
20
00
00
01
10
10
30
00
37
G
HiLo
27
00
22
10
00
10
01
10
10
20
00
11
H
HiLo
14
24
00
11
00
10
01
10
20
20
00
11
J
HiLo
14
13
31
00
01
20
01
10
10
10
00
11
K
HiLo
14
02
11
41
00
31
01
10
00
00
00
11
M
HiLo
11
02
01
40
32
00
14
20
00
00
00
01
N
HiLo
12
02
01
30
11
44
00
20
00
11
00
01
Q
HiLo
12
01
00
30
10
21
25
00
21
11
00
01
U
HiLo
13
01
01
10
10
01
31
44
00
21
00
00
V
HiLo
13
12
00
20
10
01
11
11
33
00
21
00
X
HiLo
12
13
00
20
10
01
12
10
11
42
00
01
Z
HiLo
23
12
00
20
00
01
02
10
10
20
34
00
290
TRADING OPTIONS TO WIN
NYBOT Frozen Concentrated Orange Juice (JO)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
56
72
12
01
10
11
02
01
11
13
31
22
H
HiLo
21
27
33
33
00
11
12
30
10
21
12
32
K
HiLo
31
03
03
25
41
23
11
21
20
31
11
22
N
HiLo
22
03
11
21
30
03
24
45
10
31
11
31
U
HiLo
42
02
01
10
30
02
14
13
12
54
21
41
X
HiLo
32
11
15
00
20
02
02
01
12
24
32
91
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
CBT Oats (O)
H
HiLo
12
27
03
72
41
32
01
01
11
10
31
01
K
HiLo
02
14
12
13
12
114
21
11
01
10
31
01
N
HiLo
11
11
01
30
31
15
38
42
10
20
12
21
U
HiLo
30
11
02
20
21
13
04
07
41
51
22
20
Z
HiLo
40
22
23
40
31
12
02
01
12
02
13
44
291
Contract Highs and Lows in Selected Markets, 1980–2002
NYMEX/COMEX Silver (SI)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
28
74
40
00
12
11
10
10
00
01
00
01
H
HiLo
12
33
18
73
51
11
11
01
30
00
00
02
K
HiLo
11
23
12
02
36
62
22
31
31
00
10
02
N
HiLo
10
33
12
00
21
03
17
95
41
00
10
00
U
HiLo
20
62
12
00
22
01
02
15
04
72
31
01
Z
HiLo
70
43
31
01
22
11
11
10
10
01
05
27
CBT Soybean Oil (BO)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
27
22
11
31
30
31
22
11
11
01
10
24
H
HiLo
34
04
34
41
40
22
23
21
11
01
10
01
K
HiLo
02
02
13
21
64
63
41
22
01
02
10
01
N
HiLo
00
02
01
11
51
01
77
63
12
03
10
00
Q
HiLo
01
02
00
11
51
00
54
28
62
03
20
10
U
HiLo
01
02
10
11
51
10
54
14
24
45
20
00
V
HiLo
00
02
20
10
52
10
54
12
22
05
35
20
Z
HiLo
32
12
41
11
30
11
14
21
21
03
12
34
292
TRADING OPTIONS TO WIN
CBT Soybean Meal (SM)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
14
34
20
20
20
32
13
21
11
01
12
33
H
HiLo
10
02
38
52
20
43
13
21
00
02
21
20
K
HiLo
00
02
16
12
44
71
42
22
00
02
21
10
N
HiLo
00
02
13
11
30
22
37
64
10
12
30
11
Q
HiLo
00
02
11
11
30
20
24
38
42
12
30
11
U
HiLo
00
02
11
00
30
21
14
14
44
32
52
11
V
HiLo
10
03
11
10
30
31
14
13
22
34
54
10
Z
HiLo
41
03
21
20
20
22
14
12
31
01
24
22
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
CBT Soybeans (S)
F
HiLo
13
33
20
21
10
62
23
14
20
03
22
01
H
HiLo
22
05
12
52
11
73
23
11
10
01
22
00
K
HiLo
01
04
01
13
41
84
53
12
10
01
22
00
N
HiLo
11
02
00
02
40
21
49
54
30
01
32
00
Q
HiLo
10
02
00
12
30
20
45
19
62
02
40
00
U
HiLo
11
01
00
02
40
30
13
14
56
34
21
20
X
HiLo
10
02
20
02
10
51
23
13
20
05
24
62
293
Contract Highs and Lows in Selected Markets, 1980–2002
NYBOT Sugar #11 (SB)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
23
16
00
75
23
12
10
02
30
11
20
20
K
HiLo
23
11
41
47
00
54
21
03
01
20
11
10
N
HiLo
14
01
12
21
33
74
00
56
01
10
10
10
V
HiLo
22
02
12
21
22
11
20
22
45
01
54
10
CME/IMM Swiss Franc (SF)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
22
22
24
62
21
12
12
05
10
31
11
10
M
HiLo
20
12
01
13
43
05
41
12
02
50
33
10
U
HiLo
20
12
00
12
12
00
04
23
44
51
43
21
Z
HiLo
105
41
13
11
02
10
03
03
21
31
21
25
CBT U.S. Treasury 10-Year Notes (TY)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
21
20
71
05
12
05
11
11
01
31
11
10
M
HiLo
11
20
30
20
14
42
05
03
02
31
11
20
U
HiLo
00
10
22
01
14
13
20
31
51
24
02
21
Z
HiLo
13
10
23
13
14
03
00
11
00
32
31
70
294
TRADING OPTIONS TO WIN
CBT U.S. Treasury 30-Year Bonds (US)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
51
11
52
27
13
24
10
00
01
22
11
20
M
HiLo
21
11
31
21
14
52
48
01
01
22
11
20
U
HiLo
11
01
20
11
12
21
11
12
74
78
03
10
Z
HiLo
44
01
24
11
13
12
00
12
11
21
21
72
NYMEX RFG II Unleaded Gasoline (HU)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
00
01
22
01
00
13
12
10
10
22
20
65
G
HiLo
75
00
11
01
10
12
12
00
00
32
20
03
H
HiLo
41
34
00
11
11
12
12
00
00
32
20
03
J
HiLo
21
02
54
00
12
22
11
01
00
32
20
01
K
HiLo
22
02
24
60
00
23
02
11
10
12
20
01
M
HiLo
11
02
04
10
81
00
13
13
10
22
20
01
N
HiLo
21
02
03
10
40
54
00
11
00
33
10
03
Q
HiLo
01
03
03
10
20
21
85
00
11
22
11
00
U
HiLo
02
03
02
30
20
12
14
61
00
31
12
00
V
HiLo
02
04
11
10
10
12
12
11
93
00
22
00
X
HiLo
01
05
11
00
20
12
12
01
40
64
00
21
Z
HiLo
21
05
10
11
10
12
12
00
20
22
64
00
295
Contract Highs and Lows in Selected Markets, 1980–2002
CBT Soft Red Winter Wheat (W)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
21
47
32
55
40
11
02
12
00
20
00
02
K
HiLo
13
24
12
12
23
102
05
31
00
20
00
00
N
HiLo
20
22
11
22
10
13
18
85
01
30
00
10
U
HiLo
20
22
11
21
10
03
14
23
33
65
10
10
Z
HiLo
52
21
11
32
30
01
02
12
14
21
03
43
KCBT Hard Red Winter Wheat (KW)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
13
33
12
54
60
21
03
13
00
21
01
11
K
HiLo
11
21
03
13
44
84
13
41
00
11
01
00
N
HiLo
20
21
00
20
20
13
19
76
02
31
10
10
U
HiLo
11
21
01
10
30
13
14
25
23
53
31
10
Z
HiLo
62
21
01
21
30
12
02
13
12
21
02
45
IndexIllustration and table page references are italic.accidental counterparty risk, 30actual market value, 58advantage, gambling and, 5Against the Gods: The RemarkableStory of Risk, 236agricultural markets, 113analysis, of seasonal trades, 101–102analysts, 90–91arbitrage, 46, 83, 139–141Arthur Andersen, 42asset allocation, capacity risk and,32–33asset profitability curve, 47, 48at-the-money (ATM) straddle, 148–149,150–151Australian dollardistribution study of, 282historical gross movement studyof, 265Bachelier, Louis, 66–67banking, 16–20bank runs, 19Barrymore, Ethel, 262Baruch, Bernard, 210–211basket products, 38bear marketsvs. bull markets, 226preconditions for entering, 191–192strategies for, 188–206bearish put spread, 228Beat the Dealer, 238Bernstein, Peter, 236betting, proposition, 3–4bid-ask risk, 24
bid-ask spread, 8, 9, 48Black, Fischer, 35Black Monday, 14–15, 18, 82–83Black-Scholes-Merton model, 73Bohl, Bernie, 97bond indenture, 39, 40bond markets, 32, 39information risk and, 27bookie, 8bookie strategy, 253bookmakers, definition of, 8bookmaking, 7–16counterparty risk and, 10–12vs. gambling, 9–10British pounddistribution study of, 282historical gross movement studyof, 265brokers, 30–31Brown, Robert, 66Brownian motion, 66bull marketcauses of, 226–227parabolic, 229–231runaway, 226–237strategies for, 207–225vs. bear markets, 226calendar spread, 140call option, 48–49, 77Canadian dollardistribution study of, 282historical gross movement studyof, 266roll-out defense and, 133
297
298capacity risk, 31–34banking and, 18capital and, 49–50definition of, 15“gambler’s ruin,” 32leverage and, 15–16reduction of, 33–34, 74–75capitalcapacity risk and, 49–50efficient use of, 32management of, 92–93protecting, 123capital usage per trade, 114Caplan, David, 96, 146Capra, Frank, 19cattle, feederdistribution study of, 286historical gross movement studyof, 269cattle, livedistribution study of, 288historical gross movement studyof, 271Chicago Board Options Exchange(CBOE), 14–15as bookmaker, 7Chicago Board of Trade (CBOT), 224Chicago Mercantile Exchange (CME),15, 146PC-SPAN®, 92SPAN® and, 35–36Citibank, 20cocoaride-the-bear strategy in, 194–197distribution study of, 283historical gross movement studyof, 266coffeedistribution study of, 283historical gross movement studyof, 267risk period of, 119seasonal sell study of, 120statistical volatility of, 60suicide season of, 156Consolidated Chaos, 259–260contest risk, 49
Index
illustration of, 45, 46margin trading and, 35reduction of, 48–51slippage and, 23straddle and, 168trading and, 23–24copperdistribution study of, 283historical gross movement studyof, 267statistical volatility of, 60corndistribution study of, 284historical gross movement studyof, 268risk periods of, 119corrections, 101cottondistribution study of, 284historical gross movement studyof, 268counterparty riskaccidental, 30banking and, 17–20bookmaking and, 10–12brokers and, 30–31definition of, 6fraud, 30–31insurance and, 11–12Internet and, 30–31trading and, 29–3