【期权、期货及其他衍生产品第9版-赫尔】ch12

Chapter 12 Trading Strategies Involving Options Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20141 Strategies to be Considered Bond plus option to create principal protected note Stock plus option Two or more options of the same type (a spread) Two or more options of different types (a combination) Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 2 Principal Protected Note Allows investor to take a risky position without risking any principal Example: $1000 instrument consisting of 3-year zero-coupon bond with principal of $1000 3-year at-the-money call option on a stock portfolio currently worth $1000 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 3 Principal Protected Notes continued Viability depends on Level of dividends Level of interest rates Volatility of the portfolio Variations on standard product Out of the money strike price Caps on investor return Knock outs, averaging features, etc Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 4 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Positions in an Option & the Underlying (Figure 12.1, page 257) Profit STK Profit ST K Profit ST K Profit STK (a) (b) (c)(d) 5 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Bull Spread Using Calls (Figure 12.2, page 258) K1K2 Profit ST 6 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Bull Spread Using Puts Figure 12.3, page 259 K1K2 Profit ST 7 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Bear Spread Using Puts Figure 12.4, page 260 K1K2 Profit ST 8 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Bear Spread Using Calls Figure 12.5, page 261 K1K2 Profit ST 9 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Box Spread A combination of a bull call spread and a bear put spread If all options are European a box spread is worth the present value of the difference between the strike prices If they are American this is not necessarily so (see Business Snapshot 11.1) 10 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Butterfly Spread Using Calls Figure 12.6, page 262 K1K3 Profit STK2 11 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Butterfly Spread Using Puts Figure 12.7, page 264 K1K3 Profit STK2 12 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Calendar Spread Using Calls Figure 12.8, page 265 Profit ST K 13 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Calendar Spread Using Puts Figure 12.9, page 266 Profit ST K 14 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 A Straddle Combination Figure 12.10, page 267 Profit STK 15 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 Strip & Strap Figure 12.11, page 268 Profit KST Profit KST StripStrap 16 Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 2014 A Strangle Combination Figure 12.12, page 269 K1K2 Profit ST 17 Other Payoff Patterns When the strike prices are close together a butterfly spread provides a payoff consisting of a small “spike” If options with all strike prices were available any payoff pattern could (at