CFA三级基础培训项目：衍生工具和货币管理_打印版.docx

.CFA面覆匚!笺亩答.MkeyChowMikeyChowAia也睡R婿揉，笺婧蟠.H果副外醵副G外汁!k勘H升髓炳汁汁.JS笠黍倏Jfi70谶三-数源摞胡L袁帽。在A殷期3翔！A骰翔白翔！6童鼓知晋&)$!)50笺亩DZ% 口外口爆成殷痛 1?能弱解I口口f嗝Ri三%i!EYa¾jd2flW居口j居TopicinCFALevelIIIStudy Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11Study Session 12-13Study Session 14Study Session 15Study Session 16SessionContentStudySession1-2ETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTA11ONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOLIOMANAGEMENT(l)8t(2)EQUITYPORTFOLIOMANAGEMENT(l)8i(2)ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENTPRIVATEWEALTHMANAGEMENT(1)&(2)PORTFOLIOMANAGEMENTFORINSTITUTIONALINVESTORSTRADING,PERFORMANCEEVALA11ONfANDMANAGERSELECTIONCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENT专收国新muFrameworkRiskManagementApplicationsofDerivativesSS6:DerivativesandCurrencyManagementR15:OptionStrategiesR16:Swaps,Forwards,andFuturesStrategiesR17：CurrencyManagement：AnIntroduction巨业创新，虐值OptionStrategiesFramework行业固新，is«1.ReviewsofOptionFundamentals2.SyntheticAsset3.OptionStrategies4.OPtionGreeks5.VolatilitySmile行业&1斯tinReviewsofOptionFundamentalsMoneynessMoneynessInthemoney:Immediateexercisewouldgenerateapositivepayoff.Atthemoney:Immediateexercisewouldgeneratenopayoff.Outofthemoney:Immediateexercisewouldgenerateanegativepayoff.Thefollowingtablesummarizesthemoneynessofoptionsbasedonthestock'scurrentprice,S,andtheoption'sexercisestrikeprice,X.MoneynessCalloptionPutOptionIn-the-moneyS-Xs-XAt-the-moneyS=XS=XOut-of-the-moneySXS*X与业$新muReviewsofOptionFundamentalsIntrinsicValueandTimeValueIntrinsicValuetheamountofimmediateexercise.Intrinsicvalueofcalloption:C=maxO,S-XIntrinsicvalueofputoption:P=ma×O,×-STimeValueThedifferencebetweenthepriceofanoption(calleditspremium)anditsintrinsicvalueisduetoitstimevalueGenerally,thelesstimetoexpire,thelesstimevalueOptionvalue=intrinsicvalue+timevalueBeforeexpiration:optionvalue>intrinsicvalue8-224Atexpiration:optionvalue=intrinsicvalueM业色断nnReviewsofOptionFundamentalsFactorsaffectthevalueofanoptionSensitivityFactorCallsPutsUnderlyingpricePositivelyrelatedNegativelyrelatedVolatilityPositivelyrelatedPositivelyrelatedRisk-freeratePositivelyrelatedNegativelyrelatedTimetoexpirationPositivelyrelatedPositivelyrelated*StrikepriceNegativelyrehtdPositivelyrelatedPaymentsontheunderlyingNegativelyrelatedPositivelyrelatedCarryingcostPositivelyrelatedNegativelyrelatedrThereisanexceptiontothegeneralrulethatEuropeanputoptionthetasarenegative.Theputvaluemayincreasesastheoptionapproachesmaturityiftheoptionisdeepin-the-moneyandclosetomaturity.ReviewsofOptionFundamentalsTheBSMModeltoValueanoptionG=SXN(4)-Xx/XN(d)2HistoricalvolatilityandimpliedvolatilityHistoricalvolatilityisusinghistoricaldatatocalculatethevarianceandstandarddeviationofthecontinuouslycompoundedreturns.However,themarketpriceandtheBSMpricearenotalwaysthesame.IfwehaveS,0×,R(andTzwecansettheBSMpriceequaltothemarketpriceandthenworkbackwardstogetthevolatility.Thisvolatilityiscalledtheimpliedvolatility10-224专业固葡tinReviewsofOptionFundamentalsPayoffforoptions1.ongcall:cfMax(0,STX)Shortcall:cf-Max(0rSTX)1.ongput:p十MaX(0,X-SShortput:Pf-Max(0,X-S>Profitsforoptions1.ongcall:cfMax(0,S)-coShortcall:cf-Max(0rS)+c1.ongput:p吊MaX(0,X-S)r-pShortput:Pf-Max(0,X-S肘po Synthetic AssetPut call parityPut call parity: C +(】；=S + C p +Positions replicating(7Condition B:p = c + X/ +R )-S= = s + p(1+月加 尸）M业 色断 n11SyntheticAssetSyntheticlong/shortforward1.ongcall+shortput=longforward1.ongput+shortcall=shortforwardSyntheticcall/put1.ongcall=longasset+longput1.ongput=shortasset+longcallExample1.Whichofthefollowingismostsimilartoalongputposition?A.Buystock,writecallB.Shortstock,buycallC.Shortstock,writecall2.Whichofthefollowingismostsimilartoalongcallposition?A.Buystock,buyputB.Buystock,writeputC.Shortstock,writeputExample圜CorrectAnswerforQl:B.Thelongcall"cutsoff,'theunlimitedlossesfromtheshortstockposition.CorrectAnswerforQ2:A.Thelongputprovidesafloorvaluetotheposition,makingthemaximumlossflatbelowtheexerciseprice.Theprofitandlossdiagramisthesameshapeasalongcall.M业HfjmnCoveredcallstrategyAninvestorcreatescoveredcallpositionbysellingacalloptiononastockthatisownedbytheoptionwriter.YieldenhancementThemostcommonmotivation.BywritinganOTMcalloption.Cashgenerationinanticipationoflimitedupsidemoves.ReducingapositionatafavorablepriceCoveredcallsmightbewritten,whenaninvestorholdsapositioninastockandintendstoreducethatholdinginthenearfuture.(Mcalloption)TargetpricerealizationHybridoftheprevioustwo.Callsarewrittenwithastrikepricejustabovethecurrentmarketprice.(OTMcalloption)CoveredcallstrategyProfit profile for a covered call19-224与业$新muCoveredcallstrategyCoveredcall:Inthisstrategy,someonewhoalreadyownssharessellsacalloptiongivingsomeoneelsetherighttobuytheirsharesattheexerciseprice.S-S0-max0,(ST-X)+CConclusion:WhenS?X,wehavemaximumgainST-SO-max0,0-X)+C=(»-)-(-X)+C=X-+CWhenSf,wehavemaximumlossS7.-So-max0,(Sr-X)+C=(O-)-O+C=C-SoBreakevenpointSf=SbC20-224M业好mnProtectiveputstrategyAprotectiveput(alsocalledportfolioinsuranceorahedgedportfolio)isconstructedbyholdingalongpositionintheunderlyingsecurityandbuyingaputoption.Youcanuseaprotectiveputlimitthedownsideriskatthecostoftheputpremium,P0.Youwillseebythediagramthattheinvestorwillstillbeabletobenefitfromincreasesinthestock'sprice,butitwillbelowerbytheamountpaidfortheput,P0.Noticethatthecombinedstrategylooksverymuchlikeacalloption.*ProtectiveputstrategyProtectiveputstrategy22-224三yy-a«-milProtectiveputstrategyProtectiveput:Someonesimultaneouslyholdsalongpositioninanassetandalongpositioninaputoptiononthatasset.Conclusion:WhenSXrtheprofitisunlimited(STS°)+max0,(XSt)PWhenSf,wehavemaximumloss(Sr-So)+max0,(Y-5)-P=O-S+X-P=X-S-PooBreakevenpoint:S尸5#PM业色断nnOptionasahedgeofashortpositionIfaninvestorstartswithashortpositionintheunderlying,theywillgainifthepricefallsandloseifthepricerises.Buyacall(probablyabovethecurrentstockprice)wouldprovideahedgeagainstthestockrising.Similarly,thesaleofaput(probablybelowthecurrentstockprice)sellsoffthebenefitofthestockfalling.ApplicatiOnSDeltaofthestrategyDeltaofcoveredcall=deltaofstock-deltaofcallstockDeltaofprotectiveput=deltaofstock+deltaofputBothcoveredcallandprotectiveputarenotdeltaneutral.CashsecuredputIfsomeonewritesaputoptionandsimultaneouslydepositsanamountofmoneyequaltotheexercisepriceintoadesignatedaccount,itiscalledwritingacash-securedput25-224ComparisonsbetweencoveredCalLprotectiveput,fiduciarycallandcash-securedput.M业固新0值圜Question:Abbeisusingtwooptionstrategiesincludingcoveredcall&protectiveputorforwardscombinedwithalongpositionin100sharesofABC,Inc.Thecalloptionhasadeltaof0.7andtheputoptionhasadeltaof-0.8.HowAbbeholdforwardpositionsthatshecouldkeepthesamepositiondeltaasthecoveredcall?Protectiveput?CorrectAnswerAbbecouldgoshortinaforwardcontractfor70sharestoduplicatethedeltaofacoveredcall.1.ongstockdelta+shortforwarddelta=1-0.7=0.3.Abbecouldgoshortpositioninaforwardcontractfor80sharestoduplicatethedeltaofaprotectiveput.1.ongstockdelta+shortforwarddelta=1-0.8=0.2.M业&新mnCollarAcollarisanoptionpositioninwhichtheinvestorislongsharesofstockandthenbuysaputwithanexercisepricebelowthecurrentstockpriceandwritesacallwithanexercisepriceabovethecurrentstockprice.Thecostoftheputislargelyandoftenpreciselyoffsetbytheincomefromwritingthecall.Profitandlossforacollar(wherethestrikepriceoftheput(XisusuallySmallerthanthatofthecall(XH).Profit=STStmax0,XIS)rPrrnax0,SIXWCQMaximumprofit=XQ产方CQMaximumIoss=SM±PDCoBreakevenprice=S守P乱oAcollarlimitthedownsideriskatacostofgivinguptheupsidereturn.与业$新mnBullspreadInabullspreadsusingcall:constructwithbuyingonecalloptionandwritinganotherwithahigherexerciseprice.Thebuyerofabullspreadusingcallexpectsthestockpricetoriseandthepurchasedcalltofinishin-the-money.However,thebuyerdoesnotbelievethatthepriceofthestockwillriseabovetheexercisepricefortheout-of-the-moneywrittencall.29-224Abullspreadlimitthedownsideriskatacostofgivinguptheupsidereturn.M业色断n11¼BullspreadBullspreadusingcallBullSpreadstrategyrequiresbuyingoneoptionandwritinganotherwithahigherexercisepriceunderthesameunderlyingassetandtimetomaturity.max0,(ST-XL)-max0,(St-Xh)-Cl+ChConclusion:WhenS?Xh,wehavemaximumprofitmaxQ(SlXl)-maxO,(SLXH)X+CH=(St-Xl)-(St-Xh)-Cl+Ch=Xh-Xl+Ch-C1.WhenSfXh,wehavemaximumloss:max0,(St-Xl)max0f(S-Xh)-Cl+C=0-0-Cl+C11=ChC1.Breakevenpoint:S干X什C11-Ch"24SiWa»'ISflBearspreadAbearspreadusingcallisthesaleofabullspread.Theinvestorsbuythehigherexercisepriceandwritesthelowerexerciseprice.Thisstrategyisdesignedtoprofitfromfallingstockprices.Investorscouldkeepthecallpremiumnetofcostoflongcallwhenthestockpricedecreases.Protectionfromlargeincreaseinstockpriceistheobjectiveoflongingacalloption.Thepayoffistheopposite(mirrorimage)ofthebullspreadusingcallandisshowninfollowingfigure.Abearspreadlimitthedownsideriskatacostofgivinguptheupsidereturn.BearspreadBearSpreadusingCallPositionbear spread using callM业固新0值BearspreadusingcallBearspreadrequiresbuyingcalloptionwithhigherexercisepriceandsellingthecalloptionwithlowerexerciseprice.max(O,S-Xh)-max(0,S-Xl)+Cl-ChConclusion:WhenSfXLwehavemaximumprofit:max(0,SfXH)max(0,S*rXl)+Cl一CH=00+Cl一CH=CLCHWhenSXh,wehavemaximumloss:max(0,S-XH)-max(0,S-Xl)+Cl-Ch=(St-Xh)(S-Xl)+Cl-Ch=XLlXH+CCHBreakevenpoint:S=X1+CpCM业Hfjmn圜Suppose:S尸44.50OCT45call=2.55OCT45put=2.92OCT50call=1.45OCT50put=6.801.WhatisthemaximumgainwithanOCT45/50bullcallspread?A.1.10B.3.05C.3.902.WhatisthemaximumlosswithanOCT45/50bearputspread?A.1.12B.3.88C.4383.WhatisthebreakevenpointwithanOCT45/50bullcallspread?A.46.10B.47.50C.48.88ExampleCorrectAnswerforQl:C.Withabullspread,themaximumgainoccursatthehighexerciseprice.Atanunderlyingpriceof50orhigher,thespreadisworththedifferenceinthestrikes,or50-45=5.Thecostofestablishingthespreadisthepriceofthelower-strikeoptionminusthepriceofthehigher-strikeoption:2.55-1.45=1.10.Themaximumgainis5.00-1.10=3.90.CorrectAnswerforQ2:B.Withabearspread,youbuythehigherexercisepriceandwritethelowerexerciseprice.Whenthisstrategyisdonewithputsrthehigherexercisepriceoptioncostsmorethanthelowerexercisepriceoption.Thus,youhaveadebitspreadwithaninitialcashoutlay,whichisthemostyoucanlose.TheinitialcashoutlayisthecostoftheOCT50putminusthepremiumreceivedfromwritingtheOCT45put6.80-2.92=3.88.37-224三yva«i-nilExample圜CorrectAnswerforQ3:A.YoubuytheOCT45callfor2.55andselltheOCT50callfor1.45,foranetcostof1.10.Youbreakevenwhenthepositionisworththepriceyoupaid.Thelongcallisworth1.10atastockpriceof46.10,andtheOCT50callwouldexpireoutofthemoneyandthusbeworthless.Thebreakevenpointisthelowerexercisepriceof45plusthe1.10costofthespread,or46.10.M业HfjmnStraddleAlongstraddleiscreatedbypurchasingacallandaputwiththesamestrikepriceandexpiration.Bothoptionshavethesameexercisepriceandexpiration;Thisstrategyisprofitablewhenthestockpricemovesstronglyineitherdirection;Thisstrategybetsonvolatility.Ashortstraddlesellsbothoptionsandbetsonlittlemovementinthestock.Ashortstraddlebetsonthesamethingasthebutterflyspread,exceptthelossesarenotlimited;Itisabetthatwillprofitmoreifcorrectbutalsolosemoreifitisincorrect;Straddlesaresymmetricaroundthestrikeprice.Stock price40-224M业固新 »«ProfitandlossforastraddleProfit=max0,STX-C巾m白x0,X-SrPoMaximumprofit:unlimitedMaximumIoss=PC041-224Breakevenprice=X-(PCorX+(P十CM业HfjmnExampleHSupposeXYZstock=100.00100-strikecall=8.00100-strikeput=7.50Optionsarethreemonthsuntilexpiration1.IfSmithbuysastraddleonXYZstock,heisbestdescribedasexpectinga:A.highvolatilitymarketB,lowvolatilitymarket.C.averagevolatilitymarket.2.Thisstrategywillbreakevenatexpirationstockpricesof:A.92.50and108.50.B.92.00and108.00.C.84.50and115.50.3.Reachingabreakevenpointimpliesanannualizedrateofreturnclosestto:A.16%.B.31%.C.62%.ExampleCorrectAnswerforQl:A.Astraddleisdirectionallyneutral;itisneitherbullishnorbearish.Thestraddlebuyerwantsvolatilityandwantsitquickly,butdoesnotcareinwhichdirection.Theworstoutcomeisfortheunderlyingassettoremainstable.CorrectAnswerforQ2:C.Tobreakeven,thestockpricemustmoveenoughtorecoverthecostofboththeputandthecall.Thesepremiumstotal$15.50,sothestockmustmoveupto$115.50ordownto$84.50.CorrectAnswerforQ3:C.43-224Thepricechangetoabreakevenpointis15.50points,or15.5%ona100stock.Thisisforthreemonths.Thisoutcomeisequivalenttoanannualizedrateof62%,foundbymultiplyingby4(15.5%X4=62%).M业固新»«CalendarSpreadAstrategyinwhichsomeonesellsanear-datedcallandbuysalonger-datedoneonthesameunderlyingassetandwiththesamestrikeiscommonlyreferredtoasacalendarspread.Whentheinvestorbuysthemoredistantoption,itisalongcalendarspread.Theinvestorcouldalsobuyanear-termoptionandsellalonger-datedone,whichwouldbeashortcalendarspread;Asdiscussedpreviously,aportionoftheoptionpremiumistimevalue.Timevaluedecaysovertimeandapproacheszeroastheoptionexpirationdateapproaches.Takingadvantageofthistimedecayisaprimarymotivationbehindacalendarspread.Timedecayismorepronouncedforashort-termoptionthanforonewithalongtimeuntilexpiration;Acalendarspreadtradeseekstoexploitthischaracteristicbypurchasingalonger-termoptionandwritingashorter-termoption.44-224M业色新UfaCalendarSpread-ApplicationHereisanexampleofhowsomeonemightusesuchaspread.SupposeXVZstockistradingat45ashareinAugustXYZhasanewproductthatistobeintroducedtothepublicearlythefollowingyear.Atraderbelievesthisnewproductintroductionisgoingtohaveapositiveimpactontheshares;Untiltheexcitementassociatedwiththisannouncementstartstoaffectthestockprice,thetraderbelievesthatthestockwilllanguisharoundthecurrentlevel;BasedonthebullishoutlookforthestockgoingintoJanuary,thetraderpurchasestheXYZJAN45callat3.81.Notingthatthenear-termpriceforecastisneutral,thetraderalsodecidestosellaXYZSEP45callfor1.55NowmoveforwardtotheSeptemberexpirationandassumethatXYZistradingat45.TheSeptemberoptionwillnowexpirewithnovalue,whichisagoodoutcomeforthecalendarspreadtrader.IfthetraderstillbelievesthatXYZwillstayaround45intoOctoberbeforestartingtomovehigher,thetradermaycontinuetoexecutethisstrategy.AnXYZOCT45callmightbesol