衍生工具与风险管理第6章课件

D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:1Chapter6:BasicOptionStrategiesI’mnotaseat-of-the-pantsperson,andoptionstradingisaseat-of-the-pantsbusiness.ElizabethMackayWomenoftheStreet(bySueHerera),1997,p.25D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:2ImportantConceptsinChapter6Profitequationsandgraphsforbuyingandsellingstock,buyingandsellingcalls,buyingandsellingputs,coveredcalls,protectiveputsandconversions/reversalsTheeffectofchoosingdifferentexercisepricesTheeffectofclosingoutanoptionpositionearlyversusholdingtoexpirationD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:3TerminologyandNotationNotethefollowingstandardsymbolsC=currentcallprice,P=currentputpriceS0=currentstockprice,ST=stockpriceatexpirationT=timetoexpirationX=exercisepriceP=profitfromstrategyThenumberofcalls,putsandstockisgivenasNC=numberofcallsNP=numberofputsNS=numberofsharesofstockD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:4TerminologyandNotation(continued)Thesesymbolsimplythefollowing:NC,NP,orNS0impliesbuying(goinglong)NC,NP,orNS0impliesselling(goingshort)TheProfitEquationsProfitequationforcallsheldtoexpirationP=NC[Max(0,ST-X)-C]•Forbuyerofonecall(NC=1)thisimpliesP=Max(0,ST-X)-C•Forsellerofonecall(NC=-1)thisimpliesP=-Max(0,ST-X)+CD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:5TerminologyandNotation(continued)TheProfitEquations(continued)ProfitequationforputsheldtoexpirationP=NP[Max(0,X-ST)-P]•Forbuyerofoneput(NP=1)thisimpliesP=Max(0,X-ST)-P•Forsellerofoneput(NP=-1)thisimpliesP=-Max(0,X-ST)+PD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:6TerminologyandNotation(continued)TheProfitEquations(continued)ProfitequationforstockP=NS[ST-S0]•Forbuyerofoneshare(NS=1)thisimpliesP=ST-S0•Forshortsellerofoneshare(NS=-1)thisimpliesP=-ST+S0D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:7TerminologyandNotation(continued)DifferentHoldingPeriodsThreeholdingperiods:T1T2TForagivenstockpriceattheendoftheholdingperiod,computethetheoreticalvalueoftheoptionusingtheBlack-Scholesorotherappropriatemodel.RemainingtimetoexpirationwillbeeitherT-T1,T-T2orT-T=0(wehavealreadycoveredthelatter)ForapositionclosedoutatT1,theprofitwillbewherethecloseoutoptionpriceistakenfromtheBlack-ScholesmodelforagivenstockpriceatT1.C].X),TT,[C(SN1Tc1D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:8TerminologyandNotation(continued)DifferentHoldingPeriods(continued)SimilarcalculationdoneforT2ForT,theprofitisdeterminedbytheintrinsicvalue,asalreadycoveredAssumptionsNodividendsNotaxesortransactioncostsWecontinuewiththeAOLoptions.SeeTable6.1,p.197.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:9StockTransactionsBuyStockProfitequation:P=NS[ST-S0]giventhatNS0SeeFigure6.1,p.198forAOL,S0=$125.9375Maximumprofit=,minimum=-S0SellShortStockProfitequation:P=NS[ST-S0]giventhatNS0SeeFigure6.2,p.199forAOL,S0=$125.9375Maximumprofit=S0,minimum=-D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:10CallOptionTransactionsBuyaCallProfitequation:P=NC[Max(0,ST-X)-C]giventhatNC0.LettingNC=1,P=ST-X-CifSTXP=-CifSTXSeeFigure6.3,p.200forAOLJune125,C=$13.50Maximumprofit=,minimum=-CBreakevenstockpricefoundbysettingprofitequationtozeroandsolving:ST*=X+CD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:11CallOptionTransactions(continued)BuyaCall(continued)SeeFigure6.4,p.201fordifferentexerciseprices.Notedifferencesinmaximumlossandbreakeven.Fordifferentholdingperiods,computeprofitforrangeofstockpricesatT1,T2,andTusingBlack-Scholesmodel.SeeTable6.2,p.202andFigure6.5,p.203.Notehowtimevaluedecayaffectsprofitforgivenholdingperiod.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:12CallOptionTransactions(continued)WriteaCallProfitequation:P=NC[Max(0,ST-X)-C]giventhatNC0.LettingNC=-1,P=-ST+X+CifSTXP=CifSTXSeeFigure6.6,p.205forAOLJune125,C=$13.50Maximumprofit=+C,minimum=-Breakevenstockpricesameasbuyingcall:ST*=X+CD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:13CallOptionTransactions(continued)WriteaCall(continued)SeeFigure6.7,p.206fordifferentexerciseprices.Notedifferencesinmaximumlossandbreakeven.Fordifferentholdingperiods,computeprofitforrangeofstockpricesatT1,T2,andTusingBlack-Scholesmodel.SeeFigure6.8,p.207.Notehowtimevaluedecayaffectsprofitforgivenholdingperiod.D.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:14PutOptionTransactionsBuyaPutProfitequation:P=NP[Max(0,X-ST)-P]giventhatNP0.LettingNP=1,P=X-ST-PifSTXP=-PifSTXSeeFigure6.9,p.208forAOLJune125,P=$11.50Maximumprofit=X-P,minimum=-PBreakevenstockpricefoundbysettingprofitequationtozeroandsolving:ST*=X-PD.M.ChanceAnIntroductiontoDerivativesandRiskManagement,6thed.Ch.6:15PutOptionTransactions(continued)BuyaPut(continued)SeeFigure6.10,p.209fordifferentexerciseprices.Notedifferencesinmaximumlossandbreakeven.Fordifferenthold