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 kúpna (call)predajná (put) kupujúci (long) právo kúpiťprávo predať predávajúci (short) povinnosť predaťpovinnosť kúpiť

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

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

13. Opčné stratégie

14. Základné druhy stratégií

15. 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

16. 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

17. Ktorú stratégiu použiť? Stock Direction Volatility Level LowNeutralHigh Up Neutral Down

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

19. Covered Call Writing

20. 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. Covered Call Writing Break-Even Point Strike Price

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

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

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

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 Call Price $1.25 Put Price $1.30

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

47. 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

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

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

51. 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

52. Covered Strangle Put Price $0.90 Call Price $0.75

53. Covered Strangle Put Option $0.90 Call Option $0.75 Break-Even Price Strangle $1.65 $11.35$18.65

54. Covered Strangle Break-Even Price Long Stock $15 Strangle $1.65 $11.35 $18.65

55. Covered Strangle Steeper loss line Twice more shares Limited profits following the sale of the initial share position Break-Even Price $13.35

56. Covered Strangle 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

57. 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

58. 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

59. Bull Call Spread Long Call Price (X1) $2.50 Short Call Price (X2) $0.50

60. 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) Maximum Profit $3.00 Break-Even Price $17.00 Maximum Loss $2.00

61. 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

62. Bull Put Spread Short Put Price (X2) $2.50 Long Put Price (X1) $0.50

63. Bull Put Spread 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)

64. 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

65. Bear Call Spreads Short Call Price (X1) $2.50 Long Call Price (X2) $0.50

66. 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) Maximum Profit $2.00 Break-Even Price $17.00 Maximum Loss $3.00

67. 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

68. Bear Put Spread Long Put Price (X2) $2.50 Short Put Price (X1) $0.50

69. 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) Maximum Profit $3.00 Break-Even Price $18.00 Maximum Loss $2.00

70. Which Strategy?

71. Stock Direction Volatility Level LowNeutralHigh 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 Neutral Buy Straddle/Strangle Go 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-moneyATM = At-the-moneyOTM = Out-of-the-money (B) = Buy(S) = Sell Source : Sheldon Natenveg, Option Volatility Pricing: Advanced Trading Strategies & Techniques, McGraw-Hill Publishers