INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap020 Options Markets Introduction.ppt

CHAPTER20 OptionsMarkets Introduction 2 Derivativesaresecuritiesthatgettheirvaluefromthepriceofothersecurities Derivativesarecontingentclaimsbecausetheirpayoffsdependonthevalueofothersecurities OptionsaretradedbothonorganizedexchangesandOTC Options 3 TheOptionContract Calls Acalloptiongivesitsholdertherighttobuyanasset AttheexerciseorstrikepriceOnorbeforetheexpirationdateExercisetheoptiontobuytheunderlyingassetifmarketvalue strike 4 TheOptionContract Puts Aputoptiongivesitsholdertherighttosellanasset AttheexerciseorstrikepriceOnorbeforetheexpirationdateExercisetheoptiontoselltheunderlyingassetifmarketvalue strike 5 TheOptionContract Thepurchasepriceoftheoptioniscalledthepremium Sellers writers ofoptionsreceivepremiumincome Ifholderexercisestheoption theoptionwritermustmake call ortake put deliveryoftheunderlyingasset 6 Example20 1ProfitandLossonaCall AJanuary2010callonIBMwithanexercisepriceof 130wassellingonDecember2 2009 for 2 18 TheoptionexpiresonthethirdFridayofthemonth orJanuary15 2010 IfIBMremainsbelow 130 thecallwillexpireworthless 7 Example20 1ProfitandLossonaCall SupposeIBMsellsfor 132ontheexpirationdate Optionvalue stockprice exerciseprice 132 130 2Profit Finalvalue Originalinvestment 2 00 2 18 0 18Optionwillbeexercisedtooffsetlossofpremium CallwillnotbestrictlyprofitableunlessIBM spriceexceeds 132 18 strike premium byexpiration 8 Example20 2ProfitandLossonaPut ConsideraJanuary2010putonIBMwithanexercisepriceof 130 sellingonDecember2 2009 for 4 79 OptionholdercansellashareofIBMfor 130atanytimeuntilJanuary15 IfIBMgoesabove 130 theputisworthless 9 Example20 2ProfitandLossonaPut SupposeIBM spriceatexpirationis 123 Valueatexpiration exerciseprice stockprice 130 123 7Investor sprofit 7 00 4 79 2 21Holdingperiodreturn 46 1 over44days 10 IntheMoney exerciseoftheoptionwouldbeprofitableCall exercisepricemarketpriceOutoftheMoney exerciseoftheoptionwouldnotbeprofitableCall marketpriceexerciseprice AttheMoney exercisepriceandassetpriceareequal MarketandExercisePriceRelationships 11 American theoptioncanbeexercisedatanytimebeforeexpirationormaturityEuropean theoptioncanonlybeexercisedontheexpirationormaturitydateIntheU S mostoptionsareAmericanstyle exceptforcurrencyandstockindexoptions Americanvs EuropeanOptions 12 StockOptionsIndexOptionsFuturesOptionsForeignCurrencyOptionsInterestRateOptions DifferentTypesofOptions 13 NotationStockPrice STExercisePrice XPayofftoCallHolder ST X ifST X0ifST XProfittoCallHolderPayoff PurchasePrice PayoffsandProfitsatExpiration Calls 14 PayofftoCallWriter ST X ifST X0ifST XProfittoCallWriterPayoff Premium PayoffsandProfitsatExpiration Calls 15 Figure20 2PayoffandProfittoCallOptionatExpiration 16 Figure20 3PayoffandProfittoCallWritersatExpiration 17 PayoffstoPutHolder0ifST X X ST ifST XProfittoPutHolderPayoff Premium PayoffsandProfitsatExpiration Puts 18 PayoffstoPutWriter0ifST X X ST ifST XProfitstoPutWriterPayoff Premium PayoffsandProfitsatExpiration Puts 19 Figure20 4PayoffandProfittoPutOptionatExpiration 20 OptionversusStockInvestments Couldacalloptionstrategybepreferabletoadirectstockpurchase Supposeyouthinkastock currentlysellingfor 100 willappreciate A6 monthcallcosts 10 contractsizeis100shares Youhave 10 000toinvest 21 OptionversusStockInvestments StrategyA Investentirelyinstock Buy100shares eachsellingfor 100 StrategyB Investentirelyinat the moneycalloptions Buy1 000calls eachsellingfor 10 Thiswouldrequire10contracts eachfor100shares StrategyC Purchase100calloptionsfor 1 000 Investyourremaining 9 000in6 monthT bills toearn3 interest Thebillswillbeworth 9 270atexpiration 22 InvestmentStrategyInvestmentEquityonlyBuystock 100100shares 10 000OptionsonlyBuycalls 101000options 10 000LeveragedBuycalls 10100options 1 000equityBuyT bills 3 9 000Yield OptionversusStockInvestment 23 StrategyPayoffs 24 Figure20 5RateofReturntoThreeStrategies 25 StrategyConclusions Figure20 5showsthattheall optionportfolio B respondsmorethanproportionatelytochangesinstockvalue itislevered PortfolioC T billspluscalls showstheinsurancevalueofoptions C sT billpositioncannotbeworthlessthan 9270 Somereturnpotentialissacrificedtolimitdownsiderisk 26 ProtectivePutConclusions Putscanbeusedasinsuranceagainststockpricedeclines Protectiveputslockinaminimumportfoliovalue Thecostoftheinsuranceistheputpremium Optionscanbeusedforriskmanagement notjustforspeculation 27 CoveredCalls Purchasestockandwritecallsagainstit CallwritergivesupanystockvalueaboveXinreturnfortheinitialpremium IfyouplannedtosellthestockwhenthepricerisesaboveXanyway thecallimposes selldiscipline 28 Table20 2ValueofaCoveredCallPositionatExpiration 29 Figure20 8ValueofaCoveredCallPositionatExpiration 30 Straddle Longstraddle Buycallandputwithsameexercisepriceandmaturity Thestraddleisabetonvolatility Tomakeaprofit thechangeinstockpricemustexceedthecostofbothoptions Youneedastrongchangeinstockpriceineitherdirection Thewriterofastraddleisbettingthestockpricewillnotchangemuch 31 Table20 3ValueofaStraddlePositionatOptionExpiration 32 Figure20 9ValueofaStraddleatExpiration 33 Spreads Aspreadisacombinationoftwoormorecalls ortwoormoreputs onthesamestockwithdifferingexercisepricesortimestomaturity Someoptionsarebought whereasothersaresold orwritten Abullishspreadisawaytoprofitfromstockpriceincreases 34 Table20 4ValueofaBullishSpreadPositionatExpiration 35 Figure20 10ValueofaBullishSpreadPositionatExpiration 36 Collars Acollarisanoptionsstrategythatbracketsthevalueofaportfoliobetween