1 Finance instruments Currency Vanilla options Introduction Currency Barrier options

2 ST LONG CALL Payoff k Introduction Long position = The holder have the right to purchase the underline asset = Paying a premium Not include premium Call option

3 K ST Payoff SHORT CALL Short position = The writer obligate to sell the underline asset = Getting a premium Not include premium Call option Introduction

4 ST LONG PUT Payoff k Long position = The holder have the right to sell the underline asset = Paying a premium Not include premium Put option Introduction

5 ST SHORT PUT Payoff k Short position = The writer obligate to buy the underline asset = Getting a premium Not include premium Put option Introduction

6 ST Payoff ST Payoff K ST Payoff ST Payoff The options allow us to split /brake the risk of the underline asset NOT INCLUE PRIMUM Introduction Summary

7 Example Spot: ,000,000 : ILS Amount Premium : %2 Expiry : 3 months 0Strike: 3.7 Currency derivatives Buying call Euro put Ils

8 EUR > 3.7 The option will be exercised EUR < 3.7 The option will expired Three months later IF Currency derivatives Buying call Euro put Ils

9 Euro<3.7 Euro > =3.7x(1.02)= breakeven EuroILS profits Sensitivity analysis Currency derivatives Buying call Euro put Ils

10 Euro payoff Ils %2 (20,000) Graphical presentation Buying call Euro put Ils Currency derivatives

11 Buying $ CALL strike X Selling $ PUT strike Y X>Y LONG The two options for the same expiry date Currency derivatives Collar option

12 Example Currency derivatives Collar option ( % Buying $ call, Ils put strike 4.06 ( 2 ( % Selling $ put, Ils call strike ( 1.5

13 $ Payoff Ils % Graphical presentation Currency derivatives Collar option

14 Sensitivity analysis Currency derivatives Collar option

15 Buying call strike (%0.5) Selling call (%0.3) The same expiry date Payoff Bull Spread with Call $ %0.2 Currency derivatives Bull spread Example

16 Buying call strike Y Selling call strike X The same expiry date OR Payoff X Y Bear Spread Currency derivatives Bear spread Buying put strike Y Selling put strike X The same expiry date

17 ¥ / $ ¥/ $ Buying forward Delivery : 3 months Forward rate Currency derivatives Covered call

18 getting premium Currency derivatives Covered call ¥ / $ Writing $ call ¥ put

19 Currency derivatives Covered call Sensitivity analysis

20 payoff ¥ 30,527 $ Currency derivatives Covered call Graphical presentation

21 Option that have an embedded price level ( barrier ), which if reached will either create a vanilla option or eliminate the existence of a vanilla option Exotic option Barrier options Definition

22 Dollar Call / Canadian Put strike 1.55 expiring in 1 month that has a knock out trigger at 1.50 Spot rate:1.54 Exotic option Barrier options Example Barrier is out-of-the - money option with respect to the strike

23 Exotic option Barrier options Example TRIGGER payoff 1.55 $

24 Dollar Call / Canadian Put strike 1.55 expiring in 1 month that has a knock in trigger at 1.50 Spot rate:1.54 Exotic option Barrier options Example Barrier is out-of-the - money option with respect to the strike

25 Exotic option Barrier options Example TRIGGER payoff 1.55 $

26 Dollar Call / Canadian Put strike 1.50 expiring in 1 month that has a knock out trigger at 1.56 Spot rate:1.54 Exotic option Barrier options Barrier is in-the -money option with respect to the strike Reverse knock out

27 Exotic option Barrier options TRIGGER payoff 1.50 $ Reverse knock out

28 Dollar Call / Canadian Put strike 1.50 expiring in 1 month that has a knock in trigger at 1.56 Spot rate:1.54 Exotic option Barrier options Barrier is in-the -money option with respect to the strike Reverse knock in

29 Exotic option Barrier options TRIGGER payoff 1.50 $ Reverse knock in