Opcie a opčné stratégie

1. Opcie a opčné stratégie Peter KRIŠTOFÍK Ekonomická fakulta UMB Banská Bystrica, Slovensko

2. 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)

3. Motívy pre obchodovanie s derivátmi

4. 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)

5. 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.../

6. 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

7. 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.

8. 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)

9. 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.

10. Typy opcií

11. Profil zisku a stratycall opcia + + Zisk Bod zlomu Zisk Zisk Exspiračná cena Zisk Premia Premia Cena bázy Cena bázy Strata Exspiračná cena Strata Strata Bod zlomu Strata - - long call opcia short call opcia

12. Profil zisku a stratyput opcia + + Bod zlomu Zisk Zisk Zisk EC Zisk Cena bázy premia premia Cena bázy Loss EC Strata Strata Bod zlomu Strata - - long put opcia short put opcia

13. Opčnéstratégie

14. Základné druhy stratégií

15. + + Profit Net option cost Break even price Profit Profit Strike Price Profit Profit Premium Stock price Premium Stock price Loss Strike Price Loss Loss Loss Loss Break even price - - Long position on call + Short position on put = Synthetic long position on stock Synthetic Long Position on Stock

16. + + Break even price Net option cost Profit Profit Profit Strike price Profit Profit Premium Stock price Stock price Premium Strike price Loss Loss Loss Loss Loss Break even price - - Long position on put + = Synthetic short position on stock Short position on call Synthetic Short Position on Stock

17. Ktorú stratégiu použiť?

18. Strategies • Covered Call Writing • Put Writing • Collar • Straddle/Strangle • Spreads • Bull Spreads • Bear Spreads

19. Covered Call Writing

20. 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

21. Covered Call Writing • Do you really believe that the stock will continue to climb the next three months?

22. Covered Call Writing • If your answer is no, then why not sell this potential to someone else who believes it is possible?

23. 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

24. 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

25. Break-Even Point Strike Price Covered Call Writing

26. Covered Call Writing Maximum Profit $17.50 Break-Even Point $14.00

27. 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)

28. Covered Call Writing • Result • Scenario 1 • The stock price is above $15 • What is the profit or loss?

29. Covered Call Writing • Result • Scenario 2 • The stock price stays at $14 • What is the profit or loss?

30. Put Writing

31. 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

32. Put Writing • Do you believe that the stock can lose its entire value in the next three months?

33. Put Writing • If your answer is no, then why not sell that potential to someone else who believes it is possible?

34. 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

35. 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

36. Margin required to cover potential losses Put Price $1.00 Strike Price $12.50 Break-Even Point $11.50 Put Writing

37. 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)

38. Put Writing • Result • Scenario 1 • The share price falls under $25 • What is the profit or loss?

39. Put Writing • Result • Scenario 2 • The share price stays at $27 • What is the profit or loss?

40. 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

41. Collar Break-Even Point $18.35 Put Strike Price $12.50 Stock Price $15.00 Break-Even Point $11.50 Call Strike Price $17.50

42. Collar Break-Even Point $15.15 Maximum Loss $12.50 Maximum Profit $17.50

43. Collar Break-Even Price $15.15 Maximum 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

44. 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

45. Straddle Put Price $1.30 Call Price $1.25

46. Straddle Put Price $1.30 Call Price $1.25 Break-Even Point $12.45 $17.55 Straddle $2.55

47. Straddle Price of Call$1.25 Price of Put$1.30 Break-Even Price $17.55 $12.45 Price of Straddle $2.55 Maximum Profit = Unlimited Maximum Loss = Cost of premiums paid Break-Even Price = Strike Price – Premium and strike price + Premium

48. 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)

49. Strangle Break-Even Prices Put Price $0.90 Call Price $0.75 $11.35 $18.65 Strangle $1.65

50. Break-Even Price Price of Call$0.75 Price of Put$0,90 $18.65 $11.35 Price of Strangle $1.65 Strangle Maximum Profit = Unlimited Maximum Loss = Cost of premiums paid Break-Even Price = Strike price (X1) – Premium and strike price (X2) + Premium