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Opcie a opčné stratégie
Peter KRIŠTOFÍKEkonomická fakulta UMBBanská Bystrica, Slovensko
Povedali o derivátoch ...The key to understanding derivatives is a deeper understanding
of all that's underlying. (Morgan Stanley)
Derivatives are nothing more than a set of tools. And just as a saw can build your house, it can cut off your arm if it isn't
used properly. (Walter D. Hops)
Derivatives are not the devil incarnate. But they may not be the Holy Grail either. (Andrew M. Coleman)
Derivatives are financial weapons of mass destruction, carrying dangers that, while now latent, are potentially lethal.
(Warren Buffet)
Derivatives don't kill companies. People kill companies. (Anonymous)
Motívy pre obchodovanie s
derivátmi
HEDGING
Presunutie rizík na subjekty, ktoré sú ochotné a schopné ich prevziať /zmiernenie, rozkladanie/
Elimináciu rizík je možné dosiahnuť zaujatím presne opačných pozícií, v aktívach, ktoré sú dokonale korelované
Zisky a straty z jednotlivých obchodov sa navzájom kompenzujú, výsledkom čoho je zaistenie pozície
Účinný a efektívny mechanizmus riadenia finančných rizík (trhové…kreditné)
TRADING
Dosiahnutie zisku na základe očakávaní o budúcom vývoji kurzu a zaujatím adekvátnej pozície /Bull vs. Bear/
Zisk vs. Riziko Gearing/Leverage Zostavenie jednoduchých/komplexných
stratégií Vytvorenie štruktúr s rôznou rizikovou
expozíciou /volatilita.../
ARBITRÁŽ
Dosiahnutie zisku bez podstúpenia rizika
Cenové diferencie na rôznych trhoch medzi derivátovými trhmi v rovnakom čase medzi derivátovým a spotovým trhom (cash&carry, reverse cash&carry)
• Zabezpečenie efektívneho trhu bez cenových anomálií
• Existencia transakčných nákladov
Financial Engineering
Kombinácia dvoch alebo viacerých investičných produktov na vytvorenie nového produktu.
Vytvorenie nových resp. zdokonalenie existujúcich finančných nástrojov a ich použitie v existujúcich/nových oblastiach
Typickým prípadom je situácia, keď neexistuje základný produkt, ktorý uspokojuje potreby jednotlivých strán.
Riadenie rizík & Financial Engineering
Reštrukturalizácia existujúcich charakteristík finančných transakcií
Komplexné riadenie finančných rizík Produkty použité arbitrážistami:
Synthetic long position on stock (viď neskôr) Synthetic short position on stock (viď neskôr)
OPCIA
Opcia predstavuje právo (ale nie povinnosť) na nákup alebo predaj určitého podkladového aktíva za
vopred dohodnutú cenu k stanovenému dátumu v budúcnosti.
Za toto právo zaplatí kupujúci opcie predávajúcemu opčnú prémiu.
Typy opcií
kúpna (call) predajná (put)
kupujúci (long)
právo kúpiť právo predať
predávajúci(short)
povinnosť predať povinnosť kúpiť
Profil zisku a stratycall opcia
long call opcia
+
-
Zisk
Strata
Premia
Zisk
Exspiračná cena
Strata
Bod zlomu
Cena bázy
short call opcia
+
-
Zisk
Strata
Premia
Zisk
Exspiračná cenaStrata
Bod zlomu
Cena bázy
Profil zisku a stratyput opcia
long put opcia
+
-
Zisk
Strata
premia
Zisk
EC
Strata
Bod zlomu
Cena bázy
short put opcia
+
-
Zisk
Strata
premia
Zisk
ECLoss
Bod zlomu
Cena bázy
Opčné stratégie
Základné druhy stratégií
Cenové rozdiely medzi jednotlivými
spotovými trhmi
Rozdiely medzi cenami naspotovom a termínovom trhu
Rozdiely medzi cenami jednotlivýchnástrojov na termínovom trhu
Hedgingové stratégiePrioritne zamerané na
zmierňovanie rizík. Sekundárny
cieľ dosahovanie zisku.
Tradingové stratégiePrioritne zamerané na
dosahovanie čo najvyššieho
zisku pri čo najnižšom riziku.
Singulárne
Kombinované
Arbitrážne stratégie
Riziková arbitráž
Dosahovanie zisku pri
minimálnej úrovni rizika.
(využítím cenových rozdielov)
Bezriziková arbitráž
Synthetic Long Position on Stock
+
-
Profit
Loss
Premium
Profit
Strike Price
Loss
Break even price
Stock price
Long position on call +
+
-
Profit
Loss
Premium
Profit
Strike Price
Loss
Break even price
Stock price
Short position on put =
Profit
Loss
Net option cost
Synthetic long position on stock
Synthetic Short Position on Stock
+
-
Profit
Loss
Premium
Profit
Strike price
Loss
Break even price
Stock price
Long position on put
+
+
-
Profit
Loss
Premium
Profit
Strike price Loss
Break even price
Stock price
Short position on call =
Profit
Loss
Net option cost
Synthetic short position on stock
Ktorú stratégiu použiť?
StockDirectio
n
Volatility Level
Low Neutral High
Up
Neutral
Down
Strategies
Covered Call Writing Put Writing Collar Straddle/Strangle Spreads
Bull Spreads Bear Spreads
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
8.50
9.80
11.1
012
.40
13.7
015
.00
16.3
017
.60
18.9
020
.20
21.5
0
Long Stock
Covered Call Writing
Covered Call Writing
Unlimited profit potential
Potential loss equivalent to the stock price
Establish a long position as it is more likely that the stock price will rise than fall-4,00
-3,00
-2,00
-1,00
0,00
1,00
2,00
3,00
8,50
9,80
11,10
12,40
13,70
15,00
16,30
17,60
18,90
20,20
21,50
Long Stock
Covered Call Writing
Do you really believe that the stock will continue to climb the next three months?
-4,00
-3,00
-2,00
-1,00
0,00
1,00
2,00
3,00
Long Stock
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Long Stock
Covered Call Writing
If your answer is no, then why not sell this potential to someone else who believes it is possible?
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Long Stock
How?
Determine an upside target price for the stock to reach in the next three months
Would you be ready to sell at this price?
If yes, sell a call option with a strike price close to your target price
Covered Call Writing
Hold or buy the underlying value and sell the call option, if you wish to: Profit from a price increase in the underlying
value Hedge against a small drop in the underlying
value Generate additional income
Covered Call Writing
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Long stock Short call option
Break-Even Point
Strike Price
Covered Call Writing
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
Covered call w rite position
Break-Even Point$14.00
Maximum Profit$17.50
Covered Call Writing
Example April 19th
Buy 1000 shares of ABC at $14 Debit: $14,000 (1000 shares x $14)
Sell 10 contracts ABC June 15 calls at $0.50 Credit: $500 (10 contracts x 100 shares x $0.50)
Covered Call Writing
Result Scenario 1
The stock price is above $15
What is the profit or loss?
Covered Call Writing
Result Scenario 2
The stock price stays at $14
What is the profit or loss?
Put Writing
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
8.50
9.80
11.1
012
.40
13.7
015
.00
16.3
017
.60
18.9
020
.20
21.5
0
Long Stock
Put Writing
Unlimited profit potential
Potential loss equivalent to the stock price
Establish a long position as you believe that it is more likely that the stock price will rise than fall
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Long Stock
Put Writing
Do you believe that the stock can lose its entire value in the next three months?
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Long Stock
Put Writing
If your answer is no, then why not sell that potential to someone else who believes it is possible?
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Long Stock
How? Determine a
downside target price for the stock to reach in the next three months
Would you be ready to buy at this price?
If yes, sell a put option with a strike price close to your target price
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Long Stock
Put Writing
Hold cash and sell put options, if: You wish to profit from a price increase in the
underlying value You expect a small drop in price of the
underlying value You wish to have the opportunity to buy the
underlying value at a better price You wish to generate additional income on
the cash position
Put Writing
-3.50
-3.00
-2.50
-2.00
-1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
Short put option
Break-Even Point
$11.50
Strike Price$12.50
Margin required to cover potential losses
Put Price$1.00
Put Writing
Example April 19th
You are ready to buy 1000 ABC shares at $25 The actual ABC stock price: $27
Sell 10 contracts of ABC June 25 puts at $1.00 Credit: $1000 (10 contracts x 100 shares x $1.00)
Margin required $25/share ($24 personal funds + $1 premium
received)
Put Writing
Result Scenario 1
The share price falls under $25
What is the profit or loss?
Put Writing
Result Scenario 2
The share price stays at $27
What is the profit or loss?
Collar
Hold or buy the underlying value Buy a put option and sell a call
option, if you wish to: Hedge against a drop in the underlying price Profit from a price increase Establish a hedging strategy at low cost
Collar
-2
-1,5
-1
-0,5
0
0,5
1
1,5
2
Long stock Long put option Short call option
Put Strike Price$12.50
Call Strike Price$17.50
Break-Even Point$11.50
Break-Even Point$18.35
Stock Price$15.00
Collar
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
Collar
Break-Even Point$15.15
Maximum Loss$12.50
Maximum Profit$17.50
Collar
-3,00
-2,00
-1,00
0,00
1,00
2,00
3,00
Collar
Break-Even Price $15.15Maximum Loss
$12.50
Maximum Profit $17.50
Maximum Profit = Strike price of the call option – Stock price + Premium received – Premium paid
Maximum Loss = Stock price – Strike price of the put option – Premium received + Premium paid
Break-Even Price = Stock price + Premium received – Premium paid
Straddle
Simultaneously buy a call option and a put option with the same strike price and the same expiry month Volatility play Take advantage of leverage Take advantage of wide swings in the price of
the underlying shares Uncertain about the price direction
Straddle
-2
-1
0
1
2
3
4
5
10,00 11,25 12,50 13,75 15,00 16,25 17,50 18,75 20,00
Call option Put option
Call Price$1.25
Put Price$1.30
-3
-2
-1
0
1
2
3
4
5
10,00 11,25 12,50 13,75 15,00 16,25 17,50 18,75 20,00
Call option Put option Straddle
Call Price$1.25
Put Price$1.30
Straddle$2.55
Break-Even Point
$12.45 $17.55
Straddle
-3
-2
-1
0
1
2
3
4
5
10,00 11,25 12,50 13,75 15,00 16,25 17,50 18,75 20,00
Call Option Put Option Straddle
Price of Call$1.25
Price of Put$1.30
Price of Straddle
$2.55
Break-Even Price
$12.45 $17.55
Straddle
Maximum Profit = Unlimited
Maximum Loss = Cost of premiums paid
Break-Even Price = Strike Price – Premium and strike price + Premium
Strangle
A strangle is a close cousin of a straddle
A strangle strategy also requires the simultaneous buy of a call option and a put option with the same expiry month but with different strike prices (Out-of-the-money)
Strangle
-4
-3
-2
-1
0
1
2
3
4
Call option Put option Strangle
Put Price$0.90
Call Price$0.75
Break-Even Prices
Strangle$1.65
$11.35 $18.65
Strangle
Maximum Profit = Unlimited
Maximum Loss = Cost of premiums paid
Break-Even Price = Strike price (X1) – Premium and strike price (X2) + Premium
-4
-3
-2
-1
0
1
2
3
4
Call Option Put Option Strangle
Price of Put$0,90
Price of Call$0.75
Break-Even Price
Price of Strangle
$1.65
$11.35 $18.65
Covered Strangle
Hold or buy the underlying value and simultaneously sell an out-of-the-money call option and a put option with the same expiry month, for a quantity equivalent to the shares held, if you wish to:
Profit from a price increase in the underlying value Hedge against a small drop in the underlying value A small drop in the underlying price is expected Have the opportunity to buy the underlying at
a better price Generate additional income on the share position Generate additional income on the cash position
Covered Strangle
-4
-3
-2
-1
0
1
2
3
4
9,00 10,00 11,00 12,00 13,00 14,00 15,00 16,00 17,00 18,00 19,00 20,00 21,00
Call option Put option
Put Price$0.90
Call Price$0.75
Covered Strangle
-4
-3
-2
-1
0
1
2
3
4
9,00 10,00 11,00 12,00 13,00 14,00 15,00 16,00 17,00 18,00 19,00 20,00 21,00
Call option Put option Strangle
Put Option$0.90
Call Option$0.75
Break-Even Price
Strangle$1.65
$11.35 $18.65
Covered Strangle
-4,00-3,00-2,00
-1,000,001,002,00
3,004,00
Strangle Stock
Break-Even Price
Long Stock$15
Strangle$1.65
$11.35 $18.65
Covered Strangle
-8-7-6-5-4-3-2-101234
Combined position
Steeper loss lineTwice more shares
Limited profits following the sale of the initial share
position
Break-Even Price
$13.35
Covered Strangle
-8-7-6-5-4-3-2-101234
Combined Position
Rapidly increasing losses
Twice more shares
Capped profits following sale of initial position
Break-Even Price
$13.35
Maximum Profit = Strike price of the call option – Stock price + Premiums received
Maximum Loss = Stock price – Premiums received
Break-Even Price = Stock price – Premiums received
Spreads
Simultaneous buy and sell of options (calls or puts) Bull spread
With call options With put options
Bear spread With call options With put options
Bull Spreads Bull spread
Purchase of an option financed in part by the sale of another option with a higher strike price
Bull call spread ABC = $15 Buy ABC June 15 C (X1) = $2.50 Sell ABC June 20 C (X2) = $0.50 Net cost of options = Sale (X2) – Purchase (X1) Net cost of options = $0.50 - $2.50 = -$2.00 Net cost of options = $2.00 Debit
Bull Call Spread
-4,00
-2,00
0,00
2,00
4,00
6,00
8,00
Long call position Short call position
Long Call Price (X1)
$2.50
Short Call Price (X2)
$0.50
Bull Call Spread
Maximum Profit = X2 – X1 – Net cost of options ($20 - $15 - $2 = $3)
Maximum Loss = Net cost of options ($2)
Break-Even Price = X1 + Net cost of options ($15 + $2 = $17)
-3,00
-2,00
-1,00
0,00
1,00
2,00
3,00
4,00
Bull Call Spread - Profit and Loss
Maximum Profit$3.00
Break-Even Price$17.00
Maximum Loss$2.00
Bull Spreads
Bull spread Purchase of an option financed in part by the sale of
another option with a higher strike price
Bull put spread ABC = $20 Buy ABC June 15 P (X1) = $0.50 Sell ABC June 20 P (X2) = $2.50 Net premium received = Sale (X2) – Purchase (X1) Net premium received = $2.50 - $0.50 = $2.00 credit
Bull Put Spread
-8,00
-6,00
-4,00
-2,00
0,00
2,00
4,00
Long put position Short put position
Short Put Price (X2)
$2.50
Long Put Price (X1)
$0.50
Bull Put Spread
-4,00
-3,00
-2,00
-1,00
0,00
1,00
2,00
3,00
Bull Put Spread - Profit and Loss
Maximum Profit$2.00
Break-Even Price$18.00
Maximum Loss$3.00
Maximum Profit = Net cost of options ($2)
Maximum Loss = X2 – X1 – Net cost of options ($20 - $15 - $2 = $3)
Break-Even Price = X2 – Net cost of options ($20 - $2 = $18)
Bear Spreads
Bear spreads Purchase of an option financed in part by the sale of
another option with a lower strike price
Bear call spread ABC = $15 Sell ABC June 15 C (X1) = $2.50 Buy ABC June 20 C (X2) = $0.50 Net premium received = Sale (X1) – Purchase (X2) Net premium received = $2.50 - $0.50 = $2.00 credit
Bear Call Spreads
-8,00
-6,00
-4,00
-2,00
0,00
2,00
4,00
Short call position (X1) Long call position (X2)
Short Call Price (X1)
$2.50
Long Call Price (X2)
$0.50
Bear Call Spread
Maximum Profit = Net cost of options ($2)
Maximum Loss = X2 – X1 – Net cost of options ($20 - $15 - $2 = $3)
Break-Even Price = X2 – Net cost of options ($20 - $3 = $17)
-4,00
-3,00
-2,00
-1,00
0,00
1,00
2,00
3,00
Bear Call Spread - Profit and Loss
Maximum Profit$2.00
Break-Even Price$17.00
Maximum Loss$3.00
Bear Spreads
Bear spreads Purchase of an option financed in part by the sale of
another option with a lower strike price
Bear put spread ABC = $20 Sell ABC June 15 P (X1) = $0.50 Buy ABC June 20 P (X2) = $2.50 Net cost of options = Sale (X1) – Purchase (X2) Net cost of options = $0.50 - $2.50 = -$2.00 Net cost of options = $2.00 Debit
Bear Put Spread
-4,00
-2,00
0,00
2,00
4,00
6,00
8,00
Short put position Long put position
Long Put Price (X2)
$2.50
Short Put Price (X1)
$0.50
Bear Put Spread
Maximum Profit = X2 – X1 – Net cost of options ($20 - $15 - $2 = $3)
Maximum Loss = Net cost of options ($2)
Break-Even Price = X2 – Net cost of options ($20 - $2 = $18)
-3,00
-2,00
-1,00
0,00
1,00
2,00
3,00
4,00
Bear Put Spread - Profit and Loss
Maximum Profit$3.00
Break-Even Price$18.00
Maximum Loss$2.00
Which Strategy?
Which Strategy?
Stock
Direction
Volatility Level
Low Neutral High
Up
Buy Calls
Bull Spreads
Calls: (B) ATM/(S) OTM
Puts: (B) ATM/(S) ITM
Buy the stock
Put Writing
Covered Call Writing
Bull Spreads
Calls: (B) ITM/(S) ATM
Puts: (B) OTM/(S) ATM
NeutralBuy
Straddle/StrangleGo on vacation
Write
Straddle/Strangle
Down
Buy Puts
Bear Spreads
Calls: (B) ATM/(S) ITM
Puts: (B) ATM/(S) OTM
Sell the stock
Call Writing
Bear Spreads
Calls: (B) OTM/(S) ATM
Puts: (B) ITM/(S) ATM
ITM = In-the-money ATM = At-the-money OTM = Out-of-the-money
(B) = Buy (S) = Sell
Source : Sheldon Natenveg, Option Volatility Pricing: Advanced Trading Strategies & Techniques, McGraw-Hill Publishers
