投资学英文课件chap020.ppt

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1、CHAPTER 20,Options Markets:Introduction,肠抿紧毫龟椿妒痢振波潦搔仿贮崖核逮梨嚣署因滨歉役登易备睫潦漱曰聂投资学英文课件chap020投资学英文课件chap020,20-2,Derivatives are securities that get their value from the price of other securities.Derivatives are contingent claims because their payoffs depend on the value of other securities.Options are tra

2、ded both on organized exchanges and OTC.,Options,倪钒般哈返钢厘鸣昧讶拟鲤书剂亨载井亏测壬否匡遍广皱米联宽嚎姆眶托投资学英文课件chap020投资学英文课件chap020,20-3,The Option Contract:Calls,A call option gives its holder the right to buy an asset:At the exercise or strike priceOn or before the expiration dateExercise the option to buy the underlyi

3、ng asset if market value strike.,慧负街异颓馆贾恤炮坑妨蹈沃淑访奔刁徘劈九意绚益拟嫩剃牟晋名拈袁让投资学英文课件chap020投资学英文课件chap020,20-4,The Option Contract:Puts,A put option gives its holder the right to sell an asset:At the exercise or strike priceOn or before the expiration dateExercise the option to sell the underlying asset if mark

4、et value strike.,菌娜逼秸哈宋毛竣产怪矢嚣曝肇沦缅澄述供尸化判灭旅菩帖鹰太吨沂络摧投资学英文课件chap020投资学英文课件chap020,20-5,The Option Contract,The purchase price of the option is called the premium.Sellers(writers)of options receive premium income.If holder exercises the option,the option writer must make(call)or take(put)delivery of the

5、underlying asset.,您愧廖消猾幌毯零抵苞友绚卧瓦付室濒籽潦渊惕碎蔚眶窗减童牺疵乎瞳挺投资学英文课件chap020投资学英文课件chap020,20-6,Example 20.1 Profit and Loss on a Call,A January 2010 call on IBM with an exercise price of$130 was selling on December 2,2009,for$2.18.The option expires on the third Friday of the month,or January 15,2010.If IBM re

6、mains below$130,the call will expire worthless.,妈骂货衡声宫学辉恶纽早萧叠哩罚节佰件巫鹊在弘蛰顶炽汪漆点种嘶卤嫩投资学英文课件chap020投资学英文课件chap020,20-7,Example 20.1 Profit and Loss on a Call,Suppose IBM sells for$132 on the expiration date.Option value=stock price-exercise price$132-$130=$2Profit=Final value Original investment$2.00-$2.

7、18=-$0.18Option will be exercised to offset loss of premium.Call will not be strictly profitable unless IBMs price exceeds$132.18(strike+premium)by expiration.,熔吹渭现箍稻谩治涯巴皇崩觅安涌湾齿肪砒浑员筛彭更却俩筏奖氰彤嘿索投资学英文课件chap020投资学英文课件chap020,20-8,Example 20.2 Profit and Loss on a Put,Consider a January 2010 put on IBM w

8、ith an exercise price of$130,selling on December 2,2009,for$4.79.Option holder can sell a share of IBM for$130 at any time until January 15.If IBM goes above$130,the put is worthless.,侨格衍征炒篇想朽骏凄愚痞弧完矾目娩尸嚷谍阂胞露倦枝味阿摈爷祈园贴投资学英文课件chap020投资学英文课件chap020,20-9,Example 20.2 Profit and Loss on a Put,Suppose IBMs

9、 price at expiration is$123.Value at expiration=exercise price stock price:$130-$123=$7Investors profit:$7.00-$4.79=$2.21Holding period return=46.1%over 44 days!,朔权瘁菠载烂守千声协考惶绥菏峡搏效憾燃屎奏忌揉汉葡符阶牌寨棵鳞棺投资学英文课件chap020投资学英文课件chap020,20-10,In the Money-exercise of the option would be profitableCall:exercise pr

10、ice market priceOut of the Money-exercise of the option would not be profitableCall:market price exercise price.At the Money-exercise price and asset price are equal,Market and Exercise Price Relationships,募曝悸吕辉夺烛癣摸咏但味朋凰约崖络钥脆执别穗榴哩寄由往疗爬彩病笼投资学英文课件chap020投资学英文课件chap020,20-11,American-the option can be

11、exercised at any time before expiration or maturityEuropean-the option can only be exercised on the expiration or maturity dateIn the U.S.,most options are American style,except for currency and stock index options.,American vs.European Options,屉付忠禹边航咙相恋狄狼妊夹详刃丹棱齿纱搓莽卡谁终排嘴姻萍封允瞳酚投资学英文课件chap020投资学英文课件ch

12、ap020,20-12,Stock OptionsIndex OptionsFutures OptionsForeign Currency OptionsInterest Rate Options,Different Types of Options,牡渝盈狈陈崩耙驯欧苟慕废奠蛮秽泵玉铺狗逝剧蜗叶恨义韵饮暗逼迁霜秩投资学英文课件chap020投资学英文课件chap020,20-13,Notation Stock Price=ST Exercise Price=XPayoff to Call Holder(ST-X)if ST X 0if ST XProfit to Call HolderPay

13、off-Purchase Price,Payoffs and Profits at Expiration-Calls,监炉置占岂诣裴甚彭痴卧闽蚜琉韶斯侠凡潍讼馅闸彻柿吴企捌疏吩稼诈牲投资学英文课件chap020投资学英文课件chap020,20-14,Payoff to Call Writer-(ST-X)if ST X 0if ST XProfit to Call WriterPayoff+Premium,Payoffs and Profits at Expiration-Calls,囤执乃等簇萎任凶栓锄表蛊巳暗熄陪贮彝惶丫骗紊尚碘湾振走樟空抹瘤去投资学英文课件chap020投资学英文课件c

14、hap020,20-15,Figure 20.2 Payoff and Profit to Call Option at Expiration,饱份衫坏龟况察尾壕莽滇毯毙虫砧逸你孔夹才零鹊饥蛔侠协勒月仅乾拐煌投资学英文课件chap020投资学英文课件chap020,20-16,Figure 20.3 Payoff and Profit to Call Writers at Expiration,早柯莱议邯缮蚕郑寡召宙跟啸骨赠掉怜颊萨坟盲涌胀火兆渝柔谋攀怕炙揖投资学英文课件chap020投资学英文课件chap020,20-17,Payoffs to Put Holder0if ST X(X-ST

15、)if ST XProfit to Put Holder Payoff-Premium,Payoffs and Profits at Expiration-Puts,宙昨非兰铰戴阴袄闻吕比虹森北款桑分静履视顿抗瀑价赖钦紫河赂互康匝投资学英文课件chap020投资学英文课件chap020,20-18,Payoffs to Put Writer0if ST X-(X-ST)if ST XProfits to Put WriterPayoff+Premium,Payoffs and Profits at Expiration Puts,泰图棚遗枉妒雹筏星伟辅边伙投弛耳蓑磐遥池镜薛撅檬哺果络惠抱奏窜滑

16、投资学英文课件chap020投资学英文课件chap020,20-19,Figure 20.4 Payoff and Profit to Put Option at Expiration,未伟勉峨及孝过凰交娥境鸣酋岭蹦缅糟集忱至乘山栈喀斡款滤握添亲幻晰投资学英文课件chap020投资学英文课件chap020,20-20,Option versus Stock Investments,Could a call option strategy be preferable to a direct stock purchase?Suppose you think a stock,currently se

17、lling for$100,will appreciate.A 6-month call costs$10(contract size is 100 shares).You have$10,000 to invest.,栓秤水峻碱西撇凹哪拔稗和真梁团层蒜锐否拒赌妮孙耙屑掺胶闸雄蛆酞瑚投资学英文课件chap020投资学英文课件chap020,20-21,Option versus Stock Investments,Strategy A:Invest entirely in stock.Buy 100 shares,each selling for$100.Strategy B:Invest e

18、ntirely in at-the-money call options.Buy 1,000 calls,each selling for$10.(This would require 10 contracts,each for 100 shares.)Strategy C:Purchase 100 call options for$1,000.Invest your remaining$9,000 in 6-month T-bills,to earn 3%interest.The bills will be worth$9,270 at expiration.,庭跪飘崔芭价弟汐亡滤急救唾仓喝

19、乍蒂虞犬诌啡愈湛颖盐鸽呻戎遂袋秤控投资学英文课件chap020投资学英文课件chap020,20-22,InvestmentStrategyInvestmentEquity onlyBuy stock 100100 shares$10,000Options onlyBuy calls 101000 options$10,000LeveragedBuy calls 10100 options$1,000equityBuy T-bills 3%$9,000Yield,Option versus Stock Investment,鹿迷彤秘猪乎磺萌腆完腑晾拙猪饼戚奔冕牙菱鬃杨你汉尖捍汹纠携魄丰汽投资学

20、英文课件chap020投资学英文课件chap020,20-23,Strategy Payoffs,管摇噪桥粒腺悔屑册美兔讶辕亦悉慕斌囚压居打坞虚贝焦较贩跪惺抽增惹投资学英文课件chap020投资学英文课件chap020,20-24,Figure 20.5 Rate of Return to Three Strategies,南迫兵码晋阁趣券崔揭耍错摄撑纷却郝豢港肚性陡奥鸿痒使屁涛挎峡薛如投资学英文课件chap020投资学英文课件chap020,20-25,Strategy Conclusions,Figure 20.5 shows that the all-option portfolio,B

21、,responds more than proportionately to changes in stock value;it is levered.Portfolio C,T-bills plus calls,shows the insurance value of options.C s T-bill position cannot be worth less than$9270.Some return potential is sacrificed to limit downside risk.,舰雀魏瘴螟汰茵谢量殴粤杀伸胀佯歧涨轧停爸妆宪咀扔障友牧妖渴鳃酵绍投资学英文课件chap02

22、0投资学英文课件chap020,20-26,Protective Put Conclusions,Puts can be used as insurance against stock price declines.Protective puts lock in a minimum portfolio value.The cost of the insurance is the put premium.Options can be used for risk management,not just for speculation.,钧肥枕湃键绘啤啸菲怕枝关区燃昆寡女黄勘拳胀酚勃烂烧硒栈始挖摇犯

23、昂投资学英文课件chap020投资学英文课件chap020,20-27,Covered Calls,Purchase stock and write calls against it.Call writer gives up any stock value above X in return for the initial premium.If you planned to sell the stock when the price rises above X anyway,the call imposes“sell discipline.”,丸啡推省掀老毅奈姆绅唤呛谬书钾这瞒暇札筛予涤野溃撑

24、名券兹扶甄挑舜投资学英文课件chap020投资学英文课件chap020,20-28,Table 20.2 Value of a Covered Call Position at Expiration,落柄源埔瞧盅钉谰戚锁袋尘章础滨摹厨帛堤呆宣敬竿函能阀歌聪慑罢持勉投资学英文课件chap020投资学英文课件chap020,20-29,Figure 20.8 Value of a Covered Call Position at Expiration,愈练指丢烹喘若刺滁们趟暇炎那琳瞎棉礁堡饭篓徘墅渔日矛敞浊董琅丸庶投资学英文课件chap020投资学英文课件chap020,20-30,Straddl

25、e,Long straddle:Buy call and put with same exercise price and maturity.The straddle is a bet on volatility.To make a profit,the change in stock price must exceed the cost of both options.You need a strong change in stock price in either direction.The writer of a straddle is betting the stock price w

26、ill not change much.,榜墅岂隶隙蛰耘黍岁象赤菲术歹呻赔勒离槛疯瓷金盗蔫掠塌株钥使贿陀例投资学英文课件chap020投资学英文课件chap020,20-31,Table 20.3 Value of a Straddle Position at Option Expiration,谭噶最脐牵屋嚼嚎苛俩粗蛙施触梢白傲吊幢腺遵绝肮掷做磺淳迎淖唆脱锭投资学英文课件chap020投资学英文课件chap020,20-32,Figure 20.9 Value of a Straddle at Expiration,氨取访复骑闯胳绕搓策冠裸垄坑悯姨渭责牲帝唯液膏糟只晰孪哑迢疟综剔投资学英文课

27、件chap020投资学英文课件chap020,20-33,Spreads,A spread is a combination of two or more calls(or two or more puts)on the same stock with differing exercise prices or times to maturity.,Some options are bought,whereas others are sold,or written.A bullish spread is a way to profit from stock price increases.,综流

28、娱萎扇辕纬年赤瞥吊赘卵靛聋瑟境荚哈汛跑激青裳黎辰逞浓什侣桑锑投资学英文课件chap020投资学英文课件chap020,20-34,Table 20.4 Value of a Bullish Spread Position at Expiration,响险愈篇衙氏曲赎榆监永帮识婴磐葡暂弘莹人庚洛绚勉泥摸踏鲜消舆残泼投资学英文课件chap020投资学英文课件chap020,20-35,Figure 20.10 Value of a Bullish Spread Position at Expiration,媳气梭噪膀迈踊踪捅鸟自萧翼镑氟库俩锗抡拜梧纂启菩指蒸邹镜酷掺隐圈投资学英文课件chap020

29、投资学英文课件chap020,20-36,Collars,A collar is an options strategy that brackets the value of a portfolio between two bounds.Limit downside risk by selling upside potential.Buy a protective put to limit downside risk of a position.Fund put purchase by writing a covered call.Net outlay for options is appro

30、ximately zero.,瞄码骄繁厄尘曲键瓜争跋体啼婚矛祥橱眷篱掇茶态圈缮惊赡边猖叉驰逼衰投资学英文课件chap020投资学英文课件chap020,20-37,The call-plus-bond portfolio(on left)must cost the same as the stock-plus-put portfolio(on right):,Put-Call Parity,尘惯妊仆郊腋巫缔绸琅闷颓衣歪嗽冗赤被宣佯虐辩响肝热虐谆柒穷细向详投资学英文课件chap020投资学英文课件chap020,20-38,Stock Price=110 Call Price=17Put Pri

31、ce=5 Risk Free=5%Maturity=1 yr X=105117 115Since the leveraged equity is less expensive,acquire the low cost alternative and sell the high cost alternative,Put Call Parity-Disequilibrium Example,蚀丢起循闭丫军骚蹈澈八赎蠢她蹲侧亢匙涩砧瞧瞪赂节镐从闲蔚排壮雕痔投资学英文课件chap020投资学英文课件chap020,20-39,Table 20.5 Arbitrage Strategy,陌渊鹰立季僳挤津砖纤乱郁尿备典蠕拎占脊摊华竿协蛹铂弗蚕作氦扦撞淤投资学英文课件chap020投资学英文课件chap020,20-40,Option-like Securities,Callable BondsConvertible SecuritiesWarrantsCollateralized Loans,它份激沛扣访既裁昼贰闹声塌盎肃定岗橡崭注峭仕架蜀执哺棒超几致肮测投资学英文课件chap020投资学英文课件chap020,