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Слайды и текст к этой презентации:
№2 слайд
![Options Derivatives are](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img1.jpg)
Содержание слайда: Options
Derivatives are securities that get their value from the price of other securities.
Derivatives are contingent claims because their payoffs depend on the value of other securities.
Options are traded both on organized exchanges and OTC. Chinese currency option next page
№6 слайд
![Warrants in Hong Kong Warrant](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img5.jpg)
Содержание слайда: Warrants in Hong Kong
Warrant Terms and Indicators
Warrant Name South Africa A Goldman thirty-two
Publisher Goldman Sachs
Related assets South A50
Warrant Price (HKD) 0.040
Change (%) 8.11
Warrant Type Ordinary Warrant
Exercise price 10.80
Underlying Price 9.49
Turnover ($) 600
Call / Put Subscription
ITM / OTM (%) 13.8% (OTM)
Maturity (Year - Month - Day) 2013-12-30
Last Trading Date (Year - Month - Day) 2013-12-19
Maturity 67
Conversion Ratio 1
Lot Size 2,000
Technical information
Gearing (x) 237.25
Premium% (break-even price) 14.23% (10.840)
Effective Gearing (x) 22.87
Implied Volatility 22.08
Over the past 30 days Underlying Historical Volatility Not applicable
Delta 9.64
Outstanding Ratio% 30.40%
Time loss value -4.02
Technical information
№7 слайд
![The Chinese Warrants Bubble,](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img6.jpg)
Содержание слайда: The Chinese Warrants Bubble, by Wei Xiong et al.
In 2005-2008, over a dozen put warrants traded in China went so deep out of the money that they were almost certain to expire worthless. Nonetheless, each warrant was traded more than three times each day at substantially inflated prices. This bubble is unique in that the underlying stock prices make warrant fundamentals publicly observable and that warrants have predetermined finite maturities. This sample allows us to examine a set of bubble theories. In particular, our analysis highlights the joint effects of short-sales constraints and heterogeneous beliefs in driving bubbles and confirms several key findings of the experimental bubble literature. (JEL G12, G13, O16, P34)
№10 слайд
![Example . Profit and Loss on](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img9.jpg)
Содержание слайда: Example 17.1 Profit and Loss on a Call
A January 2010 call on IBM with an exercise price of $130 was selling on December 2, 2009, for $2.18.
The option expires on the third Friday of the month, or January 15, 2010.
If IBM remains below $130, the call will expire worthless.
№11 слайд
![Example . Profit and Loss on](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img10.jpg)
Содержание слайда: Example 17.1 Profit and Loss on a Call
Suppose IBM sells for $132 on the expiration date.
Option value = stock price-exercise price
$132- $130= $2
Profit = Final value – Original investment
$2.00 - $2.18 = -$0.18
Option will be exercised to offset loss of premium.
Call will not be strictly profitable unless IBM’s price exceeds $132.18 (strike + premium) by expiration.
№14 слайд
![Market and Exercise Price](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img13.jpg)
Содержание слайда: Market and Exercise Price Relationships
In the Money - exercise of the option would be profitable
Call: exercise price < market price
Put: exercise price > market price
Out of the Money - exercise of the option would not be profitable
Call: market price < exercise price.
Put: market price > exercise price.
At the Money - exercise price and asset price are equal
№15 слайд
![American vs. European Options](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img14.jpg)
Содержание слайда: American vs. European Options
American - the option can be exercised at any time before expiration or maturity
European - the option can only be exercised on the expiration or maturity date
In the U.S., most options are American style, except for currency and stock index options.
№25 слайд
![Option versus Stock](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img24.jpg)
Содержание слайда: Option versus Stock Investments
Strategy A: Invest entirely in stock. Buy 100 shares, each selling for $100.
Strategy B: Invest entirely in at-the-money call options. Buy 1,000 calls, each selling for $10. (This would require 10 contracts, each for 100 shares.)
Strategy C: Purchase 100 call options for $1,000. Invest your remaining $9,000 in 6-month T-bills, to earn 3% interest. The bills will be worth $9,270 at expiration.
№29 слайд
![Strategy Conclusions Figure .](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img28.jpg)
Содержание слайда: Strategy Conclusions
Figure 17.5 shows that the all-option portfolio, B, responds more than proportionately to changes in stock value; it is levered.
Portfolio C, T-bills plus calls, shows the insurance value of options.
C ‘s T-bill position cannot be worth less than $9270.
Some return potential is sacrificed to limit downside risk.
№34 слайд
![Straddle Long straddle Buy](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img33.jpg)
Содержание слайда: Straddle
Long straddle: Buy call and put with same exercise price and maturity.
The straddle is a bet on volatility.
To make a profit, the change in stock price must exceed the cost of both options.
You need a strong change in stock price in either direction.
The writer of a straddle is betting the stock price will not change much.
№40 слайд
![Collars A collar is an](/documents_6/8e00d3683c47cdc58a9149c420adebb6/img39.jpg)
Содержание слайда: Collars
A collar is an options strategy that brackets the value of a portfolio between two bounds.
Limit downside risk by selling upside potential.
Buy a protective put to limit downside risk of a position.
Fund put purchase by writing a covered call.
Net outlay for options is approximately zero.
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