1 / 37

Option Market & Strategies

Option Market & Strategies. Handout 20. Option and Stock Index Option. Termasuk Produk Derivatives Exchanges: CBOE, PHLX, NYSE, AMEX, PSE Harga Option berubah dengan berubahnya harga saham Standard contract size = 100 shares Seseorang bisa masuk ke pasar opsi sbg:

barny
Download Presentation

Option Market & Strategies

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Option Market &Strategies Handout 20 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  2. Option and Stock Index Option • Termasuk Produk Derivatives • Exchanges: • CBOE, PHLX, NYSE, AMEX, PSE • Harga Option berubah dengan berubahnya harga saham • Standard contract size = 100 shares • Seseorang bisa masuk ke pasar opsi sbg: • Buyer (put maupun call): membayar premium • Seller disebut juga writer (put maupun call): menerima pembayaran premium • Premium adalah harga pembelian kontrak opsi Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  3. Option and Stock Index Option • Puts and calls Contract Specification: • Underlying asset • Strike price / exercise price • Expiration or maturity • Contract size (100) • Exercise style: • American (exercise any time, usually individual stock) • European (usually stock index) • Delivery or settlement procedure (kalau diexercise butuh bbp hari untuk delivery setelah ada notice) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  4. Wall Street Journal Option Price Quotes 1. Name of option 2. Strike price; p=put 3. Expiration: Saturday following the third Friday 5. Call option price 7. Put option price Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  5. Why Buy Options? • Anda bisa beli 100 lb saham X at $80 per lb atau beli call option dengan exercise price $80, seharga $5. • Dalam kedua kasus tersebut anda sama-sama main 100 saham, dan posisi anda akan dipengaruhi oleh harga saham X • Dalam pembelian saham, anda membayar $8000 dan mendapat 100 lb • Dalam pembelian opsi, anda membayar $500 dan berhak membeli $100 lb pada harga SP (di sini=$80/lb) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  6. Why Buy Options? • Jika harga saham naik menjadi $90: • Investasi di saham: Laba= ($9,000-$8,000)= $1000 • ROI=$1000 / $8,000 = 12.50% • Investasi di Call: Anda mengexercise hak beli anda • Setalah di settle: Laba= ($9,000-$8,000- $500)= $500 • ROI = $500/500 = 100% • Jika dana $8000 tadi anda belikan opsi semua, anda dapat membeli $8000/$500=16 kontrak • Total laba=16x$500 = $8000 (instead of $1000) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  7. Why Buy Options? • Jika harga turun ke $70: • Investasi Saham: Rugi=($7,000 - $8,000)= - $1000 • ROI= -$1000 / $8,000 = -12.50% • Investasi di Call: anda cancel (bayar premium $500). Jadi rugi = -$500 (untuk bermain 100lb) • ROI = $500/$500 = -100% • Jika dana $8000 tadi dibelikan opsi call semua, maka kerugian mencapai= - $8000 • Jika P=$80: BEP di investasi saham; tetapi di Call: option is worthless (dan anda tetap membayar $500 per 1 kontrak) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  8. Stock vs Call Returns Investasi di Saham: • Beli 100 lb TRX at $50 per share. TC=$5000 • If P=$60: TR=$6000 • ROI=$10/$50= 20%. • If P=$40: TR = $40000 • ROI=-20% Investasi di Call Option: • Buy 1 call contract seharga $2/lb atau $200 per contract, pada SP= $50. • $200 sudah dibayar di depan Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  9. Stock vs Call Returns • If P=$60: exercise. Profit=($60 -$50)x100 =$1000, setelah dikurangi cost of the option $200 maka Profit==$800. ROI=400%. • If P=$40: Cancell, anda rugi $200 (sebesar premium yg sudah dibayar) • Jika ini anda exercise, anda membayar $50 untuk saham yang dihargai $40; jadi rugi $1000 per contract + $200 premium Exercise: • Beli put option at $0.50 per share dengan SP=$20. What if P=$18? What if P= $22? Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  10. Seller and Buyer of option • Seller of a call option= call writer • Seller of a put option= put writer • Membeli call: beli hak untuk membeli saham, dsb (the underlying contract) • Writer: • Sebagi penjual contract; harus penuhi hak yang dimiliki pembeli. • Call Writer: Jika pembeli call meng exercise maka writer harus bisa menyediakan (saham, etc yang dibeli pemegang kontrak) pada SP Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  11. Seller and Buyer of option • Put Witer: jika pembeli put meng exercise, maka writer harus membeli (saham, etc yg dijual pemegang put contract) pada SP • Jika pemegang kontrak tidak meng exercise: writer tetap terima premium • Premium: disebut Initial Cash Flow • Bagi buyer: Initial cash outflow • Bagi writer: intial cash Inflow • Terminal Cash Flow: payoff yg terjadi • Bagi buyer: Inflow • Bagi seller: outflow Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  12. Contoh Payoff Beli call option IBM, SP=$80, c=$4/share: • Initial cash flow= -$400 for you and = +$400 for call writer • If P=$90: exercise • Anda peroleh terminal inflow $10 per share. Payoff =$1000 bagi anda • Writer harus keluar terminal outflow=$10 per share. Payoff= -$1000 bagi writer • If P=$70. Buyer & seller: zero cash flow (no pay off) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  13. Contoh Payoff Beli put option IBM, SP=$80, c=$4/share: • Initial cash flow: -$400 for you and= +$400 for put writer • If P=$90: not exercise; zero cash flow. • If P=$70, exercise; peroleh terminal inflow $10 per share. Writer harus keluar terminal outflow $10 per share. • Zero-sum game Call buyer & Writer Payoff Misal: SP=$50.If P<$50: zero payoff If P>$50, payoff is as in diagram Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  14. 60 40 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 -40 -60 Call Option Payoffs Buy a call Write a call Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  15. 60 40 Buy a put 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 Write a put -40 -60 Put Option Payoffs Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  16. 60 40 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 -40 -60 Call Option Profits Buy a call Write a call Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  17. 60 40 Buy a put 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 Write a put -40 -60 Put Option Profits Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  18. Option Strategies Hedging dengan Protective Put • Pegang saham TelMex yang hari ini berharga $50. Disamping itu beli put option dengan SP=$50 at $4 premium. • If P >= $50 : put option dicancel dan anda bayar $4 per share • If P < $50 : anda exercise. Put writer akan bayar anda $50 per share. • Berapapun harga yg terjadi, anda menerima $50 (at $4 cost). Anda memproteksi against a price decline Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  19. Protective Put P SV c=ICF TCF Net 70 65 60 55 50 45 40 35 30 70 -4 - 66 65 -4 - 61 60 -4 - 56 55 -4 - 51 50 -4 - 46 45 -4 +5 (=50-45) 46 40 -4 +10 (=50-40) 46 35 -4 +15 (=50-35) 46 30 -4 +20 (=50-20) 46 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  20. Option Strategies Hedging Dengan Covered Call • Covered call: write (jual) call untuk lindungi saham yang anda miliki. • Sell call SP$50 at $4 premium. • If P =< $50: pemegang kontrak call akan cancell • Anda selaku writer terima $4/sh • If P > $50: pemegang kontral call akan exercise; anda harus serahkan saham at $50 (walaupun harga lebih mahal) dan menerima $4 (no matter what) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  21. Covered Call P SV c=ICF TCF Net 70 +4 -20 (50-70) 54 65 +4 -15 (=50-65) 54 60 +4 -10 (=50-60) 54 55 +4 -5 (=50-55) 54 70 65 60 55 50 45 40 35 30 50 +4 - 54 45 +4 - 49 40 +4 - 44 35 +4 - 39 30 +4 - 34 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  22. Jika Harga Tidak Fluktuatif: Protective Put P SV c=ICF TCF Net 52 51 50 49 48 47 46 45 40 52 -4 - 48 51 -4 - 47 50 -4 - 46 49 -4 +1 (=50-49) 46 48 -4 +2 (=50-48) 46 47 -4 +3 (=50-47) 46 46 -4 +4 (=50-46) 46 45 -4 +5 (=50-45) 46 40 -4 +10 (=50-40) 46 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  23. Jika Harga Tidak Fluktuatif: Covered Call P SV c=ICF TCF Net 52 51 50 49 48 47 46 45 40 52 +4 -2 (=50-52) 54 51 +4 -1 (=50-51) 54 50 +4 - 54 49 +4 - 53 48 +4 - 52 47 +4 - 51 46 +4 - 50 45 +4 - 49 40 +4 - 44 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  24. Protective Put: • Harga akan terlindungi sampai sama dengan SP, tapi at the cost of Premium Covered Call • Harga akan ikut turun seperti market price tetapi disini dilindungi dengan tambahan nilai sebesar premium Jika penurunan harga tidak besar (relatif terhadap premium): • Protective Put lebih baik sebab setelah dikompensir dengan premium, penurunan harga pasar yang terjadi masih memberikan nilai yang relatif tinggi Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  25. Spekulasi dengan Straddle Long Straddle (beli Put &Call sekaligus) • Mis P=$50. Kita yakin harga akan sangat berfluktuasi • Buy call & buy put, both at SP=$50. • Jika P naik tajam ($70) call memberikan payoff (beli pada harga $50 ketika harga pasar $70). • Jika P turun tajam ($30) put memberikan payoff (kita tetap terima $50 padahal harga pasar $30) • Jika harga memang fluktuatif, keuntungan itu cukup besar sehingga setelah dikurangi biaya pembelian 2 kontrak (=$8) kita masih untung • Long straddle lebih bagus jika harga fluktuatif Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  26. Long Straddle – if Fluctuates a lot Buying call option Buying put option P ICF TCF Prf1 ICF TCF Prf2 Net Prf • 70 -4 +20 16 -4 - -4 +12 • 60 -4 +10 6 -4 - -4 +2 • 55 -4 +5 1 -4 - -4 -3 • -4 +3 -1 -4 - -4 -5 • -4 +1 -3 -4 - -4 -7 • -4 - -4 -4 +2 -2 -6 • -4 - -4 -4 +5 +1 -3 • 40 -4 - -4 -4 +10 +6 2 • 30 -4 - -4 -4 +20 +16 12 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  27. Spekulasi dengan Short Straddle Short Straddle: Jual (call & put sekaligus) • Jika P $50: both options are worthless. Kita terima penghasilan sebesar 2 kali premium ($8) • Jika P>$50: • Put worthless (pemegang kontrak put membatalkan karena jual di spot akan lebih bagus). • Call: pemegang kontrak akan exercise (Kita menerima pembayaran $50 padahal di luar lebih) sehingga kita rugi • Namun jika harga tidak fluktuatif, maka kerugian kita hanya kecil saja, bisa tertutup oleh penghasilan yang sebesar 2 kali premium Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  28. Spekulasi dengan Short Straddle Short Straddle: Jual (call & put sekaligus) • If P<$80. • Call dicancel (buyer tidak mau membayar $50 ke kita karena di spot hanrga <50) • Put: exercised (oleh pemegang kontrak). You terima $50 padahal harga di spot lebih mahal, sehinga kita rugi. • Tetapi jika harga tidak fluktuatif maka kerugian itu relatif kecil dibandingkan penghasilan yang 2x premium, sehingga kita tetap laba Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  29. Short Straddle – if Less Fluctuates Selling call option Selling put option P ICF TCF Prf1 ICF TCF Prf2 Net Prf • 70 +4 -20 -16 +4 - +4 -12 • 60 +4 -10 -6 +4 - +4 -2 • 55 +4 -5 -1 +4 - +4 3 • +4 -3 +1 +4 - +4 5 • +4 -1 +3 +4 - +4 7 • +4 - +4 +4 -2 +2 6 • +4 - +4 +4 -5 -1 3 • 40 +4 - +4 +4 -10 -6 -2 • 30 +4 - +4 +4 -20 -16 -12 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  30. 60 40 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 -40 -60 Straddle Long straddle Short straddle Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  31. Stock Index Options • Pertama: S&P100 Index, dengan ticker OEX • Yg kedua: yang diperkenalkan oleh CBOE adalah S&P 500 Index options (SPX). • 1997 CBOE introduced DJX • Settlement: selalu cash settlement (delivery index is impractical) • Misal anda beli SPX call option dengan SP$920 • Misal S&P500 index = $940 (sebelum expiration date) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  32. Stock Index Options • Contract size=100 x SPX index, jadi call writer membayar 100 x $20 = $20000 • Contract size untuk stock index option umumnya= 100x harga (premium yang disebutkan dalam index option). • Jika harga (premium)=$2 maa contract size=$200 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  33. Wall Street Journal Index Option Quotes Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  34. Example • Beli 10-July 990 SPX call contracts at quoted price of $5 • Berapa anda bayar? • Misal saat expiration data S&P500 =1000. Berapa anda terima? • You pay: 10x100x$5=$5000 • If at expr date S&P500 =1000; anda exercise (you pay $990 when it is $1000) • You receive: 10x100x$100=$10000, paid in cash. • If S&P500= 950; anda cancell. You pay $5000 premium. Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  35. Options Clearing Corpporation (OCC) • Baik clearing maupun exchanges agency diatur oleh SEC. • OCC jamin in case of bankcruptcy • Anda order broker untuk beli option misal 10 August 100 put options on IBM. • Broker sampaikan order ke CBOE (ke salah satu dari banyak dealer IBM options) • CBOE dealer ambil posisi selaku writer atas 10 contract tsb. Order dikirim ke OCC. Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  36. OCC verify bahwa ada matching orders dari buyer dan seller. OCC ambil alih dealer’s position, dan bertindak selaku writer (for small fee) • As a writer OCC menjamin bahwa put contract anda akan dipenuhi jika nanti akan anda exercise. • Bagi dealer: OCC adalah pembeli, dan dealer wajib penuhi kewajibannya. • Dealer default risk sudah ditransfer ke OCC Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  37. THANK YOU Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

More Related