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<< /Title (Exploiting Earnings Volatility An Innovative New Approach To Evaluating Optimizing And Trading Option Strategies To Profit From Earnings Announcements Epdf Download) /Author (United Nations,3m Company,Edward Elgar Publishing,Createspace Independent Publishing Platform,Routledge,Springer Nature,World Bank Publications,Times Books,Kluwer Law International B.V.,Walter de Gruyter GmbH & Co KG,Houghton Mifflin Harcourt,Emerald Group Publishing,<title--->Exploiting Earnings Volatility</title---><title--->An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements</title---><desc--->Exploiting Earnings Volatility introduces an innovative new framework for evaluating, optimizing, and trading option strategies to profit from earnings-related pricing anomalies. Leveraging his extensive background in option-pricing and decades of experience in investment management and trading, Brian Johnson developed this inventive approach specifically to design and manage option earnings strategies. In an Active Trader article titled "Modeling Implied Volatility," Mr. Johnson introduced a formula for aggregating discrete volatility measures into a single metric that can be used with conventional option pricing formulas to accurately model implied volatility before and after earnings announcements. The practical application of this formula has profound implications for option trading and strategy development. Exploiting Earnings Volatility is written in a clear, understandable fashion and explains how to use this novel approach to 1\) solve for the expected level of earnings volatility implicitly priced in an option matrix, 2\) calculate historical levels of realized and implied earnings volatility, 3\) develop strategies to exploit divergences between the two, and 4\) calculate expected future levels of implied volatility before and after earnings announcements. Furthermore, Exploiting Earnings Volatility also includes two Excel spreadsheets. The Basic spreadsheet employs minimal input data to estimate current and historical earnings volatility and utilizes those estimates to forecast future levels of implied volatility around earnings announcements. The Integrated spreadsheet includes a comprehensive volatility model that simultaneously integrates and quantifies every component of real-world implied volatility, including earnings volatility. This powerful tool allows the user to identify the precise level of over or undervaluation of every option in the matrix and to accurately forecast future option prices and option strategy profits and losses before and after earnings announcements. The Integrated spreadsheet even includes an optimization tool designed to identify the option strategy with the highest level of return per unit of risk. Written specifically for investors who have familiarity with options, this practical guide begins with a detailed review of volatility and an explanation of the aggregate implied volatility formula. A separate chapter provides a conceptual and mathematical explanation of "True Greeks," accurate measures of risk and return sensitivity that reflect the real-world behavior of options. New option Greeks that are specific to earnings announcements are also introduced. Four chapters explain how to use the Basic and Integrated spreadsheets and two chapters document trade examples that use actual market data and analytical results from both spreadsheets to design a unique option strategy to exploit earnings-related pricing and volatility anomalies. The final chapter examines practical considerations and prospective applications of these innovative new tools. This book introduces a new analytical framework that may sound complicated at first, but is really quite intuitive. The formulas presented in the book are limited to basic high-school algebra. Mathematical relationships are also explained intuitively and depicted graphically. Most important, you will not need to perform any of these calculations manually. Exploiting Earnings Volatility includes a link to Excel spreadsheets that perform all of the calculations described in the book. The unique price and volatility behavior of options before and after discrete earnings announcements is an enigma to most option traders, even to many professionals. The aggregate volatility formula is relatively simple, but it has profound implications. When integrated with a real-world volatility model, it offers unique insights into earnings volatility, price behavior, option strategy construction, and prospective value-added opportunities.</desc---><title--->Option Income Strategy Trade Filters</title---><title--->An In-Depth Article Demonstrating the Use of Trade Filters to Enhance Returns and Reduce Risk</title---><desc--->Brian Johnson, a professional investment manager with many years of trading and teaching experience, is the author of two pioneering books on options: 1\) Option Strategy Risk / Return Ratios: A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy, and 2\) Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements. His new in-depth \(100+ page\) article, Option Income Strategy Trade Filters, represents the culmination of years of research into developing a systematic framework for optimizing the timing of Option Income Strategy \(OIS\) trades. His research was based on the analysis of 15,434 OIS trades, each with a comprehensive set of objective, tradable entry and exit rules. The results for each of the 15,000 plus trades were scaled to a constant dollar amount at risk, to ensure all trades were equally-weighted when calculating the performance metrics. The back-test results were all based on actual option prices and are summarized in this article for a selection of back-testing filters, making this one of the most comprehensive studies of option income strategy results ever published. The results of over 100 different back-tests are provided. The OIS strategy back-test results for ten different types of filters are evaluated in this article, including unique filter combinations that delivered exceptional results. A custom market-edge hypothesis was created in advance for each filter type, which was then used to evaluate the filter-specific results. This critical step helped identify robust, exploitable relationships, rather than spurious correlations. Several of the resulting filters generated over 95% winning trades, with average returns of over six percent per trade \(including losing trades\). The ratios of cumulative gains to cumulative losses were over 20 to 1 for a few of the best performing filters. Option Income Strategy Trade Filters is written in a clear, understandable fashion and provides detailed examples of how to create and test market-edge hypotheses using the recent advances in back-testing software. Very few formulas were included. As a result, the material in the article should be accessible to all option traders. Useful for traders with a wide range of option trading experience, this practical guide begins with a detailed review of option income strategies, including basic examples that provide the requisite foundation for subsequent chapters. Portions of this crucial background material also appeared in Brian Johnson's first book: Option Strategy Risk / Return Ratios. Chapter 2 includes a comprehensive description of the option income strategy, position model, and trade plan used to generate the back-test data. Every entry and exit rule is explained in detail, including actual graphical examples. The performance metrics for the 15,434 unfiltered OIS trades are summarized at the end of this chapter, which provide a performance benchmark for evaluating the effectiveness of the trade filters introduced in the next three chapters. The trade filters are grouped by classification, with a chapter devoted to each class or type. The market-edge hypotheses and corresponding results for trend filters are analyzed in Chapter 3. Unlike trend filters, discriminating filters exclude an increasing percentage of trades as the filter condition or threshold becomes more extreme or restrictive. The discriminating filter market-edge hypotheses and results are analyzed in Chapter 4. Chapter 5 is devoted entirely to a very unique and powerful example of a discriminating filter: the OIS Universal Filter \(OISUF\). The final chapter examines practical considerations and prospective applications of trade filters and other resources in managing option income strategies in actual market conditions.</desc---><title--->Option Strategy Hedging and Risk Management</title---><title--->An In-Depth Article Introducing an Interactive Analytical Framework for Hedging Option Strategy Risk</title---><desc--->Brian Johnson, an investment professional with over 30 years of experience, is the author of three pioneering books on options: 1\) Option Strategy Risk / Return Ratios, 2\) Exploiting Earnings Volatility, and 3\) Option Income Strategy Trade Filters. His new in-depth \(80+ page\) article, Option Strategy Hedging and Risk Management, presents a comprehensive analytical framework and accompanying spreadsheet tools for managing and hedging option strategy risk. Drawing on his extensive background in option-pricing and on decades of experience in investment management and trading, Brian Johnson developed these practical techniques to hedge the unique and often overlooked risks associated with trading option strategies. These revolutionary new tools can be applied to any option strategy, in any market environment. Option Strategy Hedging and Risk Management is written in a clear, easy-to-understand fashion and explains how to apply market-specific hedging techniques, using several different hedging vehicles. Created especially for readers who have some familiarity with options, this practical guide begins with a review of position sizing, including a detailed analysis of the implicit assumptions and embedded risks that could have disastrous consequences, particularly for option traders. Chapter 2 includes a comprehensive description and analysis of the actual option strategy, position model, and trade rules that are used to create real-world option strategy hedges in the subsequent chapters. This is followed by a thorough explanation and a concrete example of how to use futures to hedge option strategy exit risk. Surprisingly, futures are not well understood in the option community and very few traders employ this simple, effective, and virtually free hedging tool. The next two chapters present a common analytical and hedging framework that is used to identify the most cost-effective hedging solutions for an actual option strategy in a real-world market environment. The process used to identify the lowest-cost hedging solution using actual VIX call options is explained in Chapter 4, followed by the same hedging analysis using put options on the underlying security in Chapter 5. All hedging examples in the article use real-time market prices and actual analytical results. Proprietary research is included in the article to provide validation for the analytical framework. The article was written to be accessible to a wide audience, so very few mathematical formulas are provided in the text. However, several important formulas are included to facilitate the understanding of important concepts, and to provide further research opportunities for inquisitive traders. The article also includes thirty separate graphs and tables to illustrate how the tools can be used in practice. Perhaps most important, Option Strategy Hedging and Risk Management includes a download link to the accompanying Excel spreadsheet with macros designed to perform all of the position sizing and hedging calculations in the article. Chapters 1, 3, 4, and 5 all have their own dedicated tabs in the spreadsheet. The data from the article is included in the spreadsheet, which allows the reader to reproduce all of the examples from the article. All of the spreadsheet functions are automated through the use of push-button macros, making spreadsheet operation as simple as possible. Finally, Chapter 6 examines practical considerations and prospective applications of these innovative new tools.</desc---><title--->Advances in Business and Management Forecasting</title--->,Oxford University Press on Demand,CFA Institute Research Foundation,FT Press,McGraw-Hill Education,Lexington Books,Financial Times/Prentice Hall,Springer,Inter-American Development Bank,Cosimo Reports,OECD Publishing,MDPI,John Wiley & Sons) /Subject (Exploiting Earnings Volatility An Innovative New Approach To Evaluating Optimizing And Trading Option Strategies To Profit From Earnings Announcements published by : United Nations 3m Company Edward Elgar Publishing Createspace Independent Publishing Platform Routledge Springer Nature World Bank Publications Times Books Kluwer Law International B.V. Walter de Gruyter GmbH & Co KG Houghton Mifflin Harcourt Emerald Group Publishing <title--->Exploiting Earnings Volatility</title---><title--->An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements</title---><desc--->Exploiting Earnings Volatility introduces an innovative new framework for evaluating, optimizing, and trading option strategies to profit from earnings-related pricing anomalies. Leveraging his extensive background in option-pricing and decades of experience in investment management and trading, Brian Johnson developed this inventive approach specifically to design and manage option earnings strategies. In an Active Trader article titled "Modeling Implied Volatility," Mr. Johnson introduced a formula for aggregating discrete volatility measures into a single metric that can be used with conventional option pricing formulas to accurately model implied volatility before and after earnings announcements. The practical application of this formula has profound implications for option trading and strategy development. Exploiting Earnings Volatility is written in a clear, understandable fashion and explains how to use this novel approach to 1\) solve for the expected level of earnings volatility implicitly priced in an option matrix, 2\) calculate historical levels of realized and implied earnings volatility, 3\) develop strategies to exploit divergences between the two, and 4\) calculate expected future levels of implied volatility before and after earnings announcements. Furthermore, Exploiting Earnings Volatility also includes two Excel spreadsheets. The Basic spreadsheet employs minimal input data to estimate current and historical earnings volatility and utilizes those estimates to forecast future levels of implied volatility around earnings announcements. The Integrated spreadsheet includes a comprehensive volatility model that simultaneously integrates and quantifies every component of real-world implied volatility, including earnings volatility. This powerful tool allows the user to identify the precise level of over or undervaluation of every option in the matrix and to accurately forecast future option prices and option strategy profits and losses before and after earnings announcements. The Integrated spreadsheet even includes an optimization tool designed to identify the option strategy with the highest level of return per unit of risk. Written specifically for investors who have familiarity with options, this practical guide begins with a detailed review of volatility and an explanation of the aggregate implied volatility formula. A separate chapter provides a conceptual and mathematical explanation of "True Greeks," accurate measures of risk and return sensitivity that reflect the real-world behavior of options. New option Greeks that are specific to earnings announcements are also introduced. Four chapters explain how to use the Basic and Integrated spreadsheets and two chapters document trade examples that use actual market data and analytical results from both spreadsheets to design a unique option strategy to exploit earnings-related pricing and volatility anomalies. The final chapter examines practical considerations and prospective applications of these innovative new tools. This book introduces a new analytical framework that may sound complicated at first, but is really quite intuitive. The formulas presented in the book are limited to basic high-school algebra. Mathematical relationships are also explained intuitively and depicted graphically. Most important, you will not need to perform any of these calculations manually. Exploiting Earnings Volatility includes a link to Excel spreadsheets that perform all of the calculations described in the book. The unique price and volatility behavior of options before and after discrete earnings announcements is an enigma to most option traders, even to many professionals. The aggregate volatility formula is relatively simple, but it has profound implications. When integrated with a real-world volatility model, it offers unique insights into earnings volatility, price behavior, option strategy construction, and prospective value-added opportunities.</desc---><title--->Option Income Strategy Trade Filters</title---><title--->An In-Depth Article Demonstrating the Use of Trade Filters to Enhance Returns and Reduce Risk</title---><desc--->Brian Johnson, a professional investment manager with many years of trading and teaching experience, is the author of two pioneering books on options: 1\) Option Strategy Risk / Return Ratios: A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy, and 2\) Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements. His new in-depth \(100+ page\) article, Option Income Strategy Trade Filters, represents the culmination of years of research into developing a systematic framework for optimizing the timing of Option Income Strategy \(OIS\) trades. His research was based on the analysis of 15,434 OIS trades, each with a comprehensive set of objective, tradable entry and exit rules. The results for each of the 15,000 plus trades were scaled to a constant dollar amount at risk, to ensure all trades were equally-weighted when calculating the performance metrics. The back-test results were all based on actual option prices and are summarized in this article for a selection of back-testing filters, making this one of the most comprehensive studies of option income strategy results ever published. The results of over 100 different back-tests are provided. The OIS strategy back-test results for ten different types of filters are evaluated in this article, including unique filter combinations that delivered exceptional results. A custom market-edge hypothesis was created in advance for each filter type, which was then used to evaluate the filter-specific results. This critical step helped identify robust, exploitable relationships, rather than spurious correlations. Several of the resulting filters generated over 95% winning trades, with average returns of over six percent per trade \(including losing trades\). The ratios of cumulative gains to cumulative losses were over 20 to 1 for a few of the best performing filters. Option Income Strategy Trade Filters is written in a clear, understandable fashion and provides detailed examples of how to create and test market-edge hypotheses using the recent advances in back-testing software. Very few formulas were included. As a result, the material in the article should be accessible to all option traders. Useful for traders with a wide range of option trading experience, this practical guide begins with a detailed review of option income strategies, including basic examples that provide the requisite foundation for subsequent chapters. Portions of this crucial background material also appeared in Brian Johnson's first book: Option Strategy Risk / Return Ratios. Chapter 2 includes a comprehensive description of the option income strategy, position model, and trade plan used to generate the back-test data. Every entry and exit rule is explained in detail, including actual graphical examples. The performance metrics for the 15,434 unfiltered OIS trades are summarized at the end of this chapter, which provide a performance benchmark for evaluating the effectiveness of the trade filters introduced in the next three chapters. The trade filters are grouped by classification, with a chapter devoted to each class or type. The market-edge hypotheses and corresponding results for trend filters are analyzed in Chapter 3. Unlike trend filters, discriminating filters exclude an increasing percentage of trades as the filter condition or threshold becomes more extreme or restrictive. The discriminating filter market-edge hypotheses and results are analyzed in Chapter 4. Chapter 5 is devoted entirely to a very unique and powerful example of a discriminating filter: the OIS Universal Filter \(OISUF\). The final chapter examines practical considerations and prospective applications of trade filters and other resources in managing option income strategies in actual market conditions.</desc---><title--->Option Strategy Hedging and Risk Management</title---><title--->An In-Depth Article Introducing an Interactive Analytical Framework for Hedging Option Strategy Risk</title---><desc--->Brian Johnson, an investment professional with over 30 years of experience, is the author of three pioneering books on options: 1\) Option Strategy Risk / Return Ratios, 2\) Exploiting Earnings Volatility, and 3\) Option Income Strategy Trade Filters. His new in-depth \(80+ page\) article, Option Strategy Hedging and Risk Management, presents a comprehensive analytical framework and accompanying spreadsheet tools for managing and hedging option strategy risk. Drawing on his extensive background in option-pricing and on decades of experience in investment management and trading, Brian Johnson developed these practical techniques to hedge the unique and often overlooked risks associated with trading option strategies. These revolutionary new tools can be applied to any option strategy, in any market environment. Option Strategy Hedging and Risk Management is written in a clear, easy-to-understand fashion and explains how to apply market-specific hedging techniques, using several different hedging vehicles. Created especially for readers who have some familiarity with options, this practical guide begins with a review of position sizing, including a detailed analysis of the implicit assumptions and embedded risks that could have disastrous consequences, particularly for option traders. Chapter 2 includes a comprehensive description and analysis of the actual option strategy, position model, and trade rules that are used to create real-world option strategy hedges in the subsequent chapters. This is followed by a thorough explanation and a concrete example of how to use futures to hedge option strategy exit risk. Surprisingly, futures are not well understood in the option community and very few traders employ this simple, effective, and virtually free hedging tool. The next two chapters present a common analytical and hedging framework that is used to identify the most cost-effective hedging solutions for an actual option strategy in a real-world market environment. The process used to identify the lowest-cost hedging solution using actual VIX call options is explained in Chapter 4, followed by the same hedging analysis using put options on the underlying security in Chapter 5. All hedging examples in the article use real-time market prices and actual analytical results. Proprietary research is included in the article to provide validation for the analytical framework. The article was written to be accessible to a wide audience, so very few mathematical formulas are provided in the text. However, several important formulas are included to facilitate the understanding of important concepts, and to provide further research opportunities for inquisitive traders. The article also includes thirty separate graphs and tables to illustrate how the tools can be used in practice. Perhaps most important, Option Strategy Hedging and Risk Management includes a download link to the accompanying Excel spreadsheet with macros designed to perform all of the position sizing and hedging calculations in the article. Chapters 1, 3, 4, and 5 all have their own dedicated tabs in the spreadsheet. The data from the article is included in the spreadsheet, which allows the reader to reproduce all of the examples from the article. All of the spreadsheet functions are automated through the use of push-button macros, making spreadsheet operation as simple as possible. Finally, Chapter 6 examines practical considerations and prospective applications of these innovative new tools.</desc---><title--->Advances in Business and Management Forecasting</title---> Oxford University Press on Demand CFA Institute Research Foundation FT Press McGraw-Hill Education Lexington Books Financial Times/Prentice Hall Springer Inter-American Development Bank Cosimo Reports OECD Publishing MDPI John Wiley & Sons) /Keywords (,Exploiting Earnings Volatility,An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements,Option Income Strategy Trade Filters,An In-Depth Article Demonstrating the Use of Trade Filters to Enhance Returns and Reduce Risk,Option Strategy Hedging and Risk Management,An In-Depth Article Introducing an Interactive Analytical Framework for Hedging Option Strategy Risk,Advances in Business and Management Forecasting,Xbox 360?For Dummies,Option Strategy Risk / Return Ratios,A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy,Trading Option Volatility,A Breakthrough in Option Valuation, Yielding Practical Insights Into Strategy Design, Simulation, Optimization, Risk Management, and Profits,Trading Options for Edge,Profit from Options and Manage Risk Like the Professional Trading Firms,The Handbook of Technology and Innovation Management,Infectious Greed,How Deceit and Risk Corrupted the Financial Markets,A Century of Innovation,The 3M Story,The Volatility Edge in Options Trading,New Technical Strategies for Investing in Unstable Markets,How I Became a Quant,Insights from 25 of Wall Street's Elite,Day Trading Options,Profiting from Price Distortions in Very Brief Time Frames,Strategic Management of Technological Innovation, Sixth Edition,The Volatility Machine,Emerging Economies and the Threat of Financial Collapse,The Derivatives Revolution,A Trapped Innovation and a Blueprint for Regulatory Reform,Capital Structure and Corporate Financing Decisions,Theory, Evidence, and Practice,Big Data,The Next Frontier for Innovation, Competition, and Productivity,Diversified Development,Making the Most of Natural Resources in Eurasia,Mastering the Market Cycle,Getting the Odds on Your Side,World Economic Situation and Prospects 2020,Behavioral Finance: The Second Generation,The Management of Technological Innovation,Strategy and Practice,Global Trends 2040,A More Contested World,A Mandate to Grow,Latin American and Caribbean Macroeconomic Report,World Investment Report 2020,International Production Beyond the Pandemic,Data Science for Economics and Finance,Methodologies and Applications,The Psychosocial Implications of Disney Movies,Global Trends 2030,Alternative Worlds,Understanding Economic Statistics: An OECD Perspective,If Not for Profit, for What?,A Behavioral Theory of the Nonprofit Sector Based on Entrepreneurship,The Handbook of Equity Market Anomalies,Translating Market Inefficiencies into Effective Investment Strategies,The REGTECH Book,The Financial Technology Handbook for Investors, Entrepreneurs and Visionaries in Regulation,Intellectual Property Rights and the Financing of Technological Innovation,Public Policy and the Efficiency of Capital Markets,Introduction to e-Business,Pairs Trading,Quantitative Methods and Analysis,Positional Option Trading,Global Business Strategy,Multinational Corporations Venturing into Emerging Markets,World Social Report 2020,Inequality in a Rapidly Changing World) /Creator (Acrobat Distiller 6.0.0 for Macintosh) /Producer (QuarkXPress™ 4.11: LaserWriter 8 |x|Acrobat Distiller 7.0 for Macintosh) /CreationDate (D:20221202171412+00'00') /ModDate (D:20221202171412+00'00') /Trapped /False >>
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Exploiting Earnings Volatility An Innovative New Approach To Evaluating Optimizing And Trading Option Strategies To Profit From Earnings Announcements Epdf Download
United Nations,3m Company,Edward Elgar Publishing,Createspace Independent Publishing Platform,Routledge,Springer Nature,World Bank Publications,Times Books,Kluwer Law International B.V.,Walter de Gruyter GmbH & Co KG,Houghton Mifflin Harcourt,Emerald Group Publishing,<title--->Exploiting Earnings Volatility</title---><title--->An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements</title---><desc--->Exploiting Earnings Volatility introduces an innovative new framework for evaluating, optimizing, and trading option strategies to profit from earnings-related pricing anomalies. Leveraging his extensive background in option-pricing and decades of experience in investment management and trading, Brian Johnson developed this inventive approach specifically to design and manage option earnings strategies. In an Active Trader article titled "Modeling Implied Volatility," Mr. Johnson introduced a formula for aggregating discrete volatility measures into a single metric that can be used with conventional option pricing formulas to accurately model implied volatility before and after earnings announcements. The practical application of this formula has profound implications for option trading and strategy development. Exploiting Earnings Volatility is written in a clear, understandable fashion and explains how to use this novel approach to 1) solve for the expected level of earnings volatility implicitly priced in an option matrix, 2) calculate historical levels of realized and implied earnings volatility, 3) develop strategies to exploit divergences between the two, and 4) calculate expected future levels of implied volatility before and after earnings announcements. Furthermore, Exploiting Earnings Volatility also includes two Excel spreadsheets. The Basic spreadsheet employs minimal input data to estimate current and historical earnings volatility and utilizes those estimates to forecast future levels of implied volatility around earnings announcements. The Integrated spreadsheet includes a comprehensive volatility model that simultaneously integrates and quantifies every component of real-world implied volatility, including earnings volatility. This powerful tool allows the user to identify the precise level of over or undervaluation of every option in the matrix and to accurately forecast future option prices and option strategy profits and losses before and after earnings announcements. The Integrated spreadsheet even includes an optimization tool designed to identify the option strategy with the highest level of return per unit of risk. Written specifically for investors who have familiarity with options, this practical guide begins with a detailed review of volatility and an explanation of the aggregate implied volatility formula. A separate chapter provides a conceptual and mathematical explanation of "True Greeks," accurate measures of risk and return sensitivity that reflect the real-world behavior of options. New option Greeks that are specific to earnings announcements are also introduced. Four chapters explain how to use the Basic and Integrated spreadsheets and two chapters document trade examples that use actual market data and analytical results from both spreadsheets to design a unique option strategy to exploit earnings-related pricing and volatility anomalies. The final chapter examines practical considerations and prospective applications of these innovative new tools. This book introduces a new analytical framework that may sound complicated at first, but is really quite intuitive. The formulas presented in the book are limited to basic high-school algebra. Mathematical relationships are also explained intuitively and depicted graphically. Most important, you will not need to perform any of these calculations manually. Exploiting Earnings Volatility includes a link to Excel spreadsheets that perform all of the calculations described in the book. The unique price and volatility behavior of options before and after discrete earnings announcements is an enigma to most option traders, even to many professionals. The aggregate volatility formula is relatively simple, but it has profound implications. When integrated with a real-world volatility model, it offers unique insights into earnings volatility, price behavior, option strategy construction, and prospective value-added opportunities.</desc---><title--->Option Income Strategy Trade Filters</title---><title--->An In-Depth Article Demonstrating the Use of Trade Filters to Enhance Returns and Reduce Risk</title---><desc--->Brian Johnson, a professional investment manager with many years of trading and teaching experience, is the author of two pioneering books on options: 1) Option Strategy Risk / Return Ratios: A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy, and 2) Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements. His new in-depth (100+ page) article, Option Income Strategy Trade Filters, represents the culmination of years of research into developing a systematic framework for optimizing the timing of Option Income Strategy (OIS) trades. His research was based on the analysis of 15,434 OIS trades, each with a comprehensive set of objective, tradable entry and exit rules. The results for each of the 15,000 plus trades were scaled to a constant dollar amount at risk, to ensure all trades were equally-weighted when calculating the performance metrics. The back-test results were all based on actual option prices and are summarized in this article for a selection of back-testing filters, making this one of the most comprehensive studies of option income strategy results ever published. The results of over 100 different back-tests are provided. The OIS strategy back-test results for ten different types of filters are evaluated in this article, including unique filter combinations that delivered exceptional results. A custom market-edge hypothesis was created in advance for each filter type, which was then used to evaluate the filter-specific results. This critical step helped identify robust, exploitable relationships, rather than spurious correlations. Several of the resulting filters generated over 95% winning trades, with average returns of over six percent per trade (including losing trades). The ratios of cumulative gains to cumulative losses were over 20 to 1 for a few of the best performing filters. Option Income Strategy Trade Filters is written in a clear, understandable fashion and provides detailed examples of how to create and test market-edge hypotheses using the recent advances in back-testing software. Very few formulas were included. As a result, the material in the article should be accessible to all option traders. Useful for traders with a wide range of option trading experience, this practical guide begins with a detailed review of option income strategies, including basic examples that provide the requisite foundation for subsequent chapters. Portions of this crucial background material also appeared in Brian Johnson's first book: Option Strategy Risk / Return Ratios. Chapter 2 includes a comprehensive description of the option income strategy, position model, and trade plan used to generate the back-test data. Every entry and exit rule is explained in detail, including actual graphical examples. The performance metrics for the 15,434 unfiltered OIS trades are summarized at the end of this chapter, which provide a performance benchmark for evaluating the effectiveness of the trade filters introduced in the next three chapters. The trade filters are grouped by classification, with a chapter devoted to each class or type. The market-edge hypotheses and corresponding results for trend filters are analyzed in Chapter 3. Unlike trend filters, discriminating filters exclude an increasing percentage of trades as the filter condition or threshold becomes more extreme or restrictive. The discriminating filter market-edge hypotheses and results are analyzed in Chapter 4. Chapter 5 is devoted entirely to a very unique and powerful example of a discriminating filter: the OIS Universal Filter (OISUF). The final chapter examines practical considerations and prospective applications of trade filters and other resources in managing option income strategies in actual market conditions.</desc---><title--->Option Strategy Hedging and Risk Management</title---><title--->An In-Depth Article Introducing an Interactive Analytical Framework for Hedging Option Strategy Risk</title---><desc--->Brian Johnson, an investment professional with over 30 years of experience, is the author of three pioneering books on options: 1) Option Strategy Risk / Return Ratios, 2) Exploiting Earnings Volatility, and 3) Option Income Strategy Trade Filters. His new in-depth (80+ page) article, Option Strategy Hedging and Risk Management, presents a comprehensive analytical framework and accompanying spreadsheet tools for managing and hedging option strategy risk. Drawing on his extensive background in option-pricing and on decades of experience in investment management and trading, Brian Johnson developed these practical techniques to hedge the unique and often overlooked risks associated with trading option strategies. These revolutionary new tools can be applied to any option strategy, in any market environment. Option Strategy Hedging and Risk Management is written in a clear, easy-to-understand fashion and explains how to apply market-specific hedging techniques, using several different hedging vehicles. Created especially for readers who have some familiarity with options, this practical guide begins with a review of position sizing, including a detailed analysis of the implicit assumptions and embedded risks that could have disastrous consequences, particularly for option traders. Chapter 2 includes a comprehensive description and analysis of the actual option strategy, position model, and trade rules that are used to create real-world option strategy hedges in the subsequent chapters. This is followed by a thorough explanation and a concrete example of how to use futures to hedge option strategy exit risk. Surprisingly, futures are not well understood in the option community and very few traders employ this simple, effective, and virtually free hedging tool. The next two chapters present a common analytical and hedging framework that is used to identify the most cost-effective hedging solutions for an actual option strategy in a real-world market environment. The process used to identify the lowest-cost hedging solution using actual VIX call options is explained in Chapter 4, followed by the same hedging analysis using put options on the underlying security in Chapter 5. All hedging examples in the article use real-time market prices and actual analytical results. Proprietary research is included in the article to provide validation for the analytical framework. The article was written to be accessible to a wide audience, so very few mathematical formulas are provided in the text. However, several important formulas are included to facilitate the understanding of important concepts, and to provide further research opportunities for inquisitive traders. The article also includes thirty separate graphs and tables to illustrate how the tools can be used in practice. Perhaps most important, Option Strategy Hedging and Risk Management includes a download link to the accompanying Excel spreadsheet with macros designed to perform all of the position sizing and hedging calculations in the article. Chapters 1, 3, 4, and 5 all have their own dedicated tabs in the spreadsheet. The data from the article is included in the spreadsheet, which allows the reader to reproduce all of the examples from the article. All of the spreadsheet functions are automated through the use of push-button macros, making spreadsheet operation as simple as possible. Finally, Chapter 6 examines practical considerations and prospective applications of these innovative new tools.</desc---><title--->Advances in Business and Management Forecasting</title--->,Oxford University Press on Demand,CFA Institute Research Foundation,FT Press,McGraw-Hill Education,Lexington Books,Financial Times/Prentice Hall,Springer,Inter-American Development Bank,Cosimo Reports,OECD Publishing,MDPI,John Wiley & Sons
Exploiting Earnings Volatility An Innovative New Approach To Evaluating Optimizing And Trading Option Strategies To Profit From Earnings Announcements published by : United Nations 3m Company Edward Elgar Publishing Createspace Independent Publishing Platform Routledge Springer Nature World Bank Publications Times Books Kluwer Law International B.V. Walter de Gruyter GmbH & Co KG Houghton Mifflin Harcourt Emerald Group Publishing <title--->Exploiting Earnings Volatility</title---><title--->An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements</title---><desc--->Exploiting Earnings Volatility introduces an innovative new framework for evaluating, optimizing, and trading option strategies to profit from earnings-related pricing anomalies. Leveraging his extensive background in option-pricing and decades of experience in investment management and trading, Brian Johnson developed this inventive approach specifically to design and manage option earnings strategies. In an Active Trader article titled "Modeling Implied Volatility," Mr. Johnson introduced a formula for aggregating discrete volatility measures into a single metric that can be used with conventional option pricing formulas to accurately model implied volatility before and after earnings announcements. The practical application of this formula has profound implications for option trading and strategy development. Exploiting Earnings Volatility is written in a clear, understandable fashion and explains how to use this novel approach to 1) solve for the expected level of earnings volatility implicitly priced in an option matrix, 2) calculate historical levels of realized and implied earnings volatility, 3) develop strategies to exploit divergences between the two, and 4) calculate expected future levels of implied volatility before and after earnings announcements. Furthermore, Exploiting Earnings Volatility also includes two Excel spreadsheets. The Basic spreadsheet employs minimal input data to estimate current and historical earnings volatility and utilizes those estimates to forecast future levels of implied volatility around earnings announcements. The Integrated spreadsheet includes a comprehensive volatility model that simultaneously integrates and quantifies every component of real-world implied volatility, including earnings volatility. This powerful tool allows the user to identify the precise level of over or undervaluation of every option in the matrix and to accurately forecast future option prices and option strategy profits and losses before and after earnings announcements. The Integrated spreadsheet even includes an optimization tool designed to identify the option strategy with the highest level of return per unit of risk. Written specifically for investors who have familiarity with options, this practical guide begins with a detailed review of volatility and an explanation of the aggregate implied volatility formula. A separate chapter provides a conceptual and mathematical explanation of "True Greeks," accurate measures of risk and return sensitivity that reflect the real-world behavior of options. New option Greeks that are specific to earnings announcements are also introduced. Four chapters explain how to use the Basic and Integrated spreadsheets and two chapters document trade examples that use actual market data and analytical results from both spreadsheets to design a unique option strategy to exploit earnings-related pricing and volatility anomalies. The final chapter examines practical considerations and prospective applications of these innovative new tools. This book introduces a new analytical framework that may sound complicated at first, but is really quite intuitive. The formulas presented in the book are limited to basic high-school algebra. Mathematical relationships are also explained intuitively and depicted graphically. Most important, you will not need to perform any of these calculations manually. Exploiting Earnings Volatility includes a link to Excel spreadsheets that perform all of the calculations described in the book. The unique price and volatility behavior of options before and after discrete earnings announcements is an enigma to most option traders, even to many professionals. The aggregate volatility formula is relatively simple, but it has profound implications. When integrated with a real-world volatility model, it offers unique insights into earnings volatility, price behavior, option strategy construction, and prospective value-added opportunities.</desc---><title--->Option Income Strategy Trade Filters</title---><title--->An In-Depth Article Demonstrating the Use of Trade Filters to Enhance Returns and Reduce Risk</title---><desc--->Brian Johnson, a professional investment manager with many years of trading and teaching experience, is the author of two pioneering books on options: 1) Option Strategy Risk / Return Ratios: A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy, and 2) Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements. His new in-depth (100+ page) article, Option Income Strategy Trade Filters, represents the culmination of years of research into developing a systematic framework for optimizing the timing of Option Income Strategy (OIS) trades. His research was based on the analysis of 15,434 OIS trades, each with a comprehensive set of objective, tradable entry and exit rules. The results for each of the 15,000 plus trades were scaled to a constant dollar amount at risk, to ensure all trades were equally-weighted when calculating the performance metrics. The back-test results were all based on actual option prices and are summarized in this article for a selection of back-testing filters, making this one of the most comprehensive studies of option income strategy results ever published. The results of over 100 different back-tests are provided. The OIS strategy back-test results for ten different types of filters are evaluated in this article, including unique filter combinations that delivered exceptional results. A custom market-edge hypothesis was created in advance for each filter type, which was then used to evaluate the filter-specific results. This critical step helped identify robust, exploitable relationships, rather than spurious correlations. Several of the resulting filters generated over 95% winning trades, with average returns of over six percent per trade (including losing trades). The ratios of cumulative gains to cumulative losses were over 20 to 1 for a few of the best performing filters. Option Income Strategy Trade Filters is written in a clear, understandable fashion and provides detailed examples of how to create and test market-edge hypotheses using the recent advances in back-testing software. Very few formulas were included. As a result, the material in the article should be accessible to all option traders. Useful for traders with a wide range of option trading experience, this practical guide begins with a detailed review of option income strategies, including basic examples that provide the requisite foundation for subsequent chapters. Portions of this crucial background material also appeared in Brian Johnson's first book: Option Strategy Risk / Return Ratios. Chapter 2 includes a comprehensive description of the option income strategy, position model, and trade plan used to generate the back-test data. Every entry and exit rule is explained in detail, including actual graphical examples. The performance metrics for the 15,434 unfiltered OIS trades are summarized at the end of this chapter, which provide a performance benchmark for evaluating the effectiveness of the trade filters introduced in the next three chapters. The trade filters are grouped by classification, with a chapter devoted to each class or type. The market-edge hypotheses and corresponding results for trend filters are analyzed in Chapter 3. Unlike trend filters, discriminating filters exclude an increasing percentage of trades as the filter condition or threshold becomes more extreme or restrictive. The discriminating filter market-edge hypotheses and results are analyzed in Chapter 4. Chapter 5 is devoted entirely to a very unique and powerful example of a discriminating filter: the OIS Universal Filter (OISUF). The final chapter examines practical considerations and prospective applications of trade filters and other resources in managing option income strategies in actual market conditions.</desc---><title--->Option Strategy Hedging and Risk Management</title---><title--->An In-Depth Article Introducing an Interactive Analytical Framework for Hedging Option Strategy Risk</title---><desc--->Brian Johnson, an investment professional with over 30 years of experience, is the author of three pioneering books on options: 1) Option Strategy Risk / Return Ratios, 2) Exploiting Earnings Volatility, and 3) Option Income Strategy Trade Filters. His new in-depth (80+ page) article, Option Strategy Hedging and Risk Management, presents a comprehensive analytical framework and accompanying spreadsheet tools for managing and hedging option strategy risk. Drawing on his extensive background in option-pricing and on decades of experience in investment management and trading, Brian Johnson developed these practical techniques to hedge the unique and often overlooked risks associated with trading option strategies. These revolutionary new tools can be applied to any option strategy, in any market environment. Option Strategy Hedging and Risk Management is written in a clear, easy-to-understand fashion and explains how to apply market-specific hedging techniques, using several different hedging vehicles. Created especially for readers who have some familiarity with options, this practical guide begins with a review of position sizing, including a detailed analysis of the implicit assumptions and embedded risks that could have disastrous consequences, particularly for option traders. Chapter 2 includes a comprehensive description and analysis of the actual option strategy, position model, and trade rules that are used to create real-world option strategy hedges in the subsequent chapters. This is followed by a thorough explanation and a concrete example of how to use futures to hedge option strategy exit risk. Surprisingly, futures are not well understood in the option community and very few traders employ this simple, effective, and virtually free hedging tool. The next two chapters present a common analytical and hedging framework that is used to identify the most cost-effective hedging solutions for an actual option strategy in a real-world market environment. The process used to identify the lowest-cost hedging solution using actual VIX call options is explained in Chapter 4, followed by the same hedging analysis using put options on the underlying security in Chapter 5. All hedging examples in the article use real-time market prices and actual analytical results. Proprietary research is included in the article to provide validation for the analytical framework. The article was written to be accessible to a wide audience, so very few mathematical formulas are provided in the text. However, several important formulas are included to facilitate the understanding of important concepts, and to provide further research opportunities for inquisitive traders. The article also includes thirty separate graphs and tables to illustrate how the tools can be used in practice. Perhaps most important, Option Strategy Hedging and Risk Management includes a download link to the accompanying Excel spreadsheet with macros designed to perform all of the position sizing and hedging calculations in the article. Chapters 1, 3, 4, and 5 all have their own dedicated tabs in the spreadsheet. The data from the article is included in the spreadsheet, which allows the reader to reproduce all of the examples from the article. All of the spreadsheet functions are automated through the use of push-button macros, making spreadsheet operation as simple as possible. Finally, Chapter 6 examines practical considerations and prospective applications of these innovative new tools.</desc---><title--->Advances in Business and Management Forecasting</title---> Oxford University Press on Demand CFA Institute Research Foundation FT Press McGraw-Hill Education Lexington Books Financial Times/Prentice Hall Springer Inter-American Development Bank Cosimo Reports OECD Publishing MDPI John Wiley & Sons
,Exploiting Earnings Volatility,An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements,Option Income Strategy Trade Filters,An In-Depth Article Demonstrating the Use of Trade Filters to Enhance Returns and Reduce Risk,Option Strategy Hedging and Risk Management,An In-Depth Article Introducing an Interactive Analytical Framework for Hedging Option Strategy Risk,Advances in Business and Management Forecasting,Xbox 360?For Dummies,Option Strategy Risk / Return Ratios,A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy,Trading Option Volatility,A Breakthrough in Option Valuation, Yielding Practical Insights Into Strategy Design, Simulation, Optimization, Risk Management, and Profits,Trading Options for Edge,Profit from Options and Manage Risk Like the Professional Trading Firms,The Handbook of Technology and Innovation Management,Infectious Greed,How Deceit and Risk Corrupted the Financial Markets,A Century of Innovation,The 3M Story,The Volatility Edge in Options Trading,New Technical Strategies for Investing in Unstable Markets,How I Became a Quant,Insights from 25 of Wall Street's Elite,Day Trading Options,Profiting from Price Distortions in Very Brief Time Frames,Strategic Management of Technological Innovation, Sixth Edition,The Volatility Machine,Emerging Economies and the Threat of Financial Collapse,The Derivatives Revolution,A Trapped Innovation and a Blueprint for Regulatory Reform,Capital Structure and Corporate Financing Decisions,Theory, Evidence, and Practice,Big Data,The Next Frontier for Innovation, Competition, and Productivity,Diversified Development,Making the Most of Natural Resources in Eurasia,Mastering the Market Cycle,Getting the Odds on Your Side,World Economic Situation and Prospects 2020,Behavioral Finance: The Second Generation,The Management of Technological Innovation,Strategy and Practice,Global Trends 2040,A More Contested World,A Mandate to Grow,Latin American and Caribbean Macroeconomic Report,World Investment Report 2020,International Production Beyond the Pandemic,Data Science for Economics and Finance,Methodologies and Applications,The Psychosocial Implications of Disney Movies,Global Trends 2030,Alternative Worlds,Understanding Economic Statistics: An OECD Perspective,If Not for Profit, for What?,A Behavioral Theory of the Nonprofit Sector Based on Entrepreneurship,The Handbook of Equity Market Anomalies,Translating Market Inefficiencies into Effective Investment Strategies,The REGTECH Book,The Financial Technology Handbook for Investors, Entrepreneurs and Visionaries in Regulation,Intellectual Property Rights and the Financing of Technological Innovation,Public Policy and the Efficiency of Capital Markets,Introduction to e-Business,Pairs Trading,Quantitative Methods and Analysis,Positional Option Trading,Global Business Strategy,Multinational Corporations Venturing into Emerging Markets,World Social Report 2020,Inequality in a Rapidly Changing World
2022-12-02T17:14:12+00:00
Acrobat Distiller 6.0.0 for Macintosh
2022-12-02T17:14:12+00:00
2022-12-02T17:14:12+00:00
,Exploiting Earnings Volatility,An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements,Option Income Strategy Trade Filters,An In-Depth Article Demonstrating the Use of Trade Filters to Enhance Returns and Reduce Risk,Option Strategy Hedging and Risk Management,An In-Depth Article Introducing an Interactive Analytical Framework for Hedging Option Strategy Risk,Advances in Business and Management Forecasting,Xbox 360?For Dummies,Option Strategy Risk / Return Ratios,A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy,Trading Option Volatility,A Breakthrough in Option Valuation, Yielding Practical Insights Into Strategy Design, Simulation, Optimization, Risk Management, and Profits,Trading Options for Edge,Profit from Options and Manage Risk Like the Professional Trading Firms,The Handbook of Technology and Innovation Management,Infectious Greed,How Deceit and Risk Corrupted the Financial Markets,A Century of Innovation,The 3M Story,The Volatility Edge in Options Trading,New Technical Strategies for Investing in Unstable Markets,How I Became a Quant,Insights from 25 of Wall Street's Elite,Day Trading Options,Profiting from Price Distortions in Very Brief Time Frames,Strategic Management of Technological Innovation, Sixth Edition,The Volatility Machine,Emerging Economies and the Threat of Financial Collapse,The Derivatives Revolution,A Trapped Innovation and a Blueprint for Regulatory Reform,Capital Structure and Corporate Financing Decisions,Theory, Evidence, and Practice,Big Data,The Next Frontier for Innovation, Competition, and Productivity,Diversified Development,Making the Most of Natural Resources in Eurasia,Mastering the Market Cycle,Getting the Odds on Your Side,World Economic Situation and Prospects 2020,Behavioral Finance: The Second Generation,The Management of Technological Innovation,Strategy and Practice,Global Trends 2040,A More Contested World,A Mandate to Grow,Latin American and Caribbean Macroeconomic Report,World Investment Report 2020,International Production Beyond the Pandemic,Data Science for Economics and Finance,Methodologies and Applications,The Psychosocial Implications of Disney Movies,Global Trends 2030,Alternative Worlds,Understanding Economic Statistics: An OECD Perspective,If Not for Profit, for What?,A Behavioral Theory of the Nonprofit Sector Based on Entrepreneurship,The Handbook of Equity Market Anomalies,Translating Market Inefficiencies into Effective Investment Strategies,The REGTECH Book,The Financial Technology Handbook for Investors, Entrepreneurs and Visionaries in Regulation,Intellectual Property Rights and the Financing of Technological Innovation,Public Policy and the Efficiency of Capital Markets,Introduction to e-Business,Pairs Trading,Quantitative Methods and Analysis,Positional Option Trading,Global Business Strategy,Multinational Corporations Venturing into Emerging Markets,World Social Report 2020,Inequality in a Rapidly Changing World
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