股票期權(quán)概覽-文庫吧資料
2024-10-08 19:53本頁面
【正文】 ontract do not have to worry about default. Additionally, since it takes the opposite side of every transaction, it has no risk (other than the small risk of default on a trade). ? Also handles assignment of exercise notices Examples of Options ? Direct options are traded on: ? Stocks, bonds, futures, currencies, etc. ? There are options embedded in: ? Convertible bonds ? Mortgages ? Insurance contracts ? Most corporate capital budgeting projects ? etc. ? Even stocks are options! Option Terminology ? Strike (Exercise) Price this is the price at which the underlying security can be bought or sold ? Premium the price which is paid for the option. For equity options this is the price per share. The total cost is the premium times the number of shares (usually 100). ? Expiration Date – This is the date by which the option must be exercised. Usually the Saturday following the third Friday of the month. In practice, this means the third Friday. ? Moneyness – This describes whether the option currently has an intrinsic value above 0 or not: ? IntheMoney – ? for a call this is when the stock price exceeds the strike price, ? for a put this is when the stock price is below the strike price ? OutoftheMoney – ? for a call this is when the stock price is below the strike price, ? for a put this is when the stock price exceeds the strike price ? Americanstyle options which can be exercised before expiration ? Europeanstyle options which cannot be exercised before expiration The Intrinsic Value of Options ? The intrinsic value of an option is the profit (not profit!) that would be received if the option were exercised immediately ? For call options: IV = max(0, S X) ? For put options: IV = max(0, X S) ? At expiration, the value of an option is its intrinsic value ? Before expiration, the market value of an option is the sum of the intrinsic value and the time value ? Since options can always be sold before expiration, it is never optimal to exercise them early. If you did so, you would lose the time value. You’d be better off to sell the option, collect the premium, and then take your position in the underlying security. Profits from Buying a Call 1 0 0 05 0 0050010001500202225003000350040000 20 40 60 80 100Sto c k Pr i c e a t Ex p i r a ti o nProfitS = 5 0X = 5 0r = 5 %t = 9 0 d a y ss = 3 0 %C a l l Pr i c e = 3 . 2 7Selling a Call 4 0 0 03 5 0 03 0 0 02 5 0 02 0 0 01 5 0 01 0 0 05 0 0050010000 20 40 60 80 100Sto c k Pr i c e a t Ex p i r a ti o nProfitS = 5 0X = 5 0r = 5 %t = 9 0 d a y ss = 3 0 %C a l l Pr i c e = 3 . 2 7Profits from Buying a Put 5 0 0050010001500202225003000350040000 20 40 60 80 100Sto c k Pr i c e a t Ex p i r a ti o nProfitS = 5 0X = 5 0r = 5 %t = 9 0 d a y ss = 3 0 %Pu t Pr i c e = 2 . 6 5Selling a Put 4 0 0 03 5 0 03 0 0 02 5 0 02 0 0 01 5 0 01 0 0 05 0 005000 20 40 60 80 100Sto c k Pr i c e a t Ex p i r a ti o nProfitS = 5 0X = 5 0r = 5 %t = 9 0 d a y ss = 3 0 %Pu t Pr i c e = 2 . 6 5Combination Strategies ? We can construct strategies consisting of multiple options to achieve results that aren’t otherwise possible, and to create cash flows that mimic other securities ? Some examples: ? Buy Write ? Straddle ? Synthetic Securities The BuyWrite Strate
高考資料相關推薦
鄂ICP備17016276號-1