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,单击此处编辑母版标题样式,*,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,1,Chapter 7,Options,2,Outlines,7.1 Concept of Options,7.2 Types of options,American options,vs.,European options,Call options vs. Put options,OTC Options vs. Exchange-Traded Options,7.3Option positions & payoffs,7.4 Terminology,7.5 Strategies using options,3,7.1 Concept of Options,Definition:,The right, but not the obligation, to buy (for a,call option,) or sell (for a,put option,) a specific amount of a given stock, commodity, currency, index, or debt, at a specified price (the strike price) during a specified period of time.,buyer,premium,Seller/writer,The options price,The right to buy or sell,4,7.1 concept of options,The price at which the asset can be purchased or sold is known as the,strike price/exercise price.,The date when the option expires is known as the exercise date, the,expiration date, or the maturity date,.,5,7.2 types of options:,American options,vs.,European options,American options,can be exercised at any time up to the expiration date.,European options,can be exercised only on the expiration date itself.,6,7.2 types of options:,OTC Options vs. Exchange-Traded Options,Options are traded very actively in the over-the-counter market as well as on exchanges.,The main advantage of an over-the-counter option is that it can be tailored by a financial institution to meet the needs of a client.,7,continued,Organized exchanges filled the need for standardized option contracts wherein the exchange would specify the contracts terms and conditions.,8,7.4 option positions & payoffs,A call option,is an option to buy a certain asset by a certain date for a certain price (the strike price),A put is an option,to sell a certain asset by a certain date for a certain price (the strike price),You can exercise an option if you wish, but you do not have to do so,Call option & put option,9,premium,One contract is for the purchase or sale of 100 shares,10,call option example,A trader buys one European call option contract on IBM stock(100 shares) .,strike price =$100/share,Current stock price=$98/share,Option price=$5/share,The expiration date is in two months.,The total costs of the contract is $500,30,20,10,0,-5,70,80,90,100,110,120,130,Profit ($),Terminal,stock price ($),Long Call on IBM,11,Question:,A trader sells a European call on a share for $4. The stock price is $47 and the strike price is $50. Under what circumstances dose the trader make a profit? Under what circumstances will the option be exercised? Draw a diagram showing the variation of the traders profit with the stock price at the maturity of the option.,12,A trader buys one European put option contract on Ford(100 shares).,Strike price=$70/share,Current stock price=$66/share,The expiration date is in three months,Option price/premium=$7/share,The total costs of the contract is $700,30,20,10,0,-7,70,60,50,40,80,90,100,Profit ($),Terminal,stock price ($),Long Put on Ford,put option example,13,7.4 option positions & payoffs,There are two sides to every option contract.,On one side is the trader who has taken the long position(i.e., has bought the option),On the other side is the trader who has taken a short position(i.e., has sold or written the option).,The writers profit or loss is the reverse of that for the purchaser of the option.,Option payoffs,14,7.4 option positions & payoffs,Four basic option positions are possible:,A long position in a call option,A short position in a call option,A long position in a put option,A short position in a put option,buyer,premium,Seller/writer,The right to buy or sell,Option payoffs,15,0,C,S,T,0,C,S,T,payoff,payoff,Option payoffs,16,0,P,payoff,P,0,payoff,Option payoffs,17,7.5 Terminology,An,in-the-money,option is one that would lead to a positive cash flow to the holder if it were exercised immediately.,An,at-the-money,option would lead to zero cash flow if it were exercised immediately.,An,out-of-the-money,option would lead to a negative cash flow if it were exercised immediately.,out of / in/at the money,18,In-the-money,At-the-money,Out-of-the-money,Call option,Put option,S-price of the underlying asset,X- the strike price,Clearly, an option will be exercised only if it is in the money.,19,Prior to expiration, the total value of an option comprises two components:,intrinsic value,and,time value.,Intrinsic value,: the maximum of zero and the value an option would have if it were exercised immediately.,call option,s intrinsic value,max,（,S,X,，,0,）,Put option,s intrinsic value,max,（,X,S,，,0,）,7.4 Terminology,intrinsic value & time value,期权价值（理论价格、期权费）内在价值时间价值,20,21,Time value,= Option Value - Intrinsic Value,intrinsic value & time value,Factors influence time value,Intrinsic value,time value,volatility,Remaining time,An options time value captures the possibility that the option may increase in value due to volatility in the underlying asset.,时间价值的含义,期权的时间价值（,Time Value）,是指在期权有效期内标的资产价格波动为期权持有者带来收益的可能性所隐含的价值。也就是说，时间价值是期权获利潜力的价值。显然，标的资产价格的波动率越高，期权的时间价值就越大。,22,Time value,the time until the,expiration date,The time value of an option is directly related to how much time an option has until expiration.,the,volatility,of the underlying instruments price.,Higher time value linked to higher volatility., intrinsic value,23,24,关于该图的几点理解,当期权处于平价状态的时候，标的资产无论如何波动也不可能使期权的多头有进一步的损失（不执行期权），但是却可能给期权多头带来巨大的收益，所以，此时波动对于期权多头来说，只有利没有弊；如果期权处于深度虚值状态，标的资产的价格变化到足以使期权变为实值的潜力几乎没有，人们将不愿意为时间价值支付更多；如果处于深度实值状态，由于内在价值相当大，时间价,值甚至会消失，因为此时其所,代表的获利潜力,或,使既得利益减少,的可能很小,，所以此时人们对时间价值的支付意愿也会下降。这样，由两边向中间递增，当期权处于平价状态时，时间价值最大。,25,对,时间价值的深入理解,期权时间价值的来源是什么呢？答案是，标的资产价格变化导致期权价格变化的不对称性,使得,期权总价值超过其内在价值，这就是期权时间价值的来源。换句话说，无论将来价格怎么波动，期权多头的亏损永远是有限的，而增加的盈利却可能是无限的，因此标的资产的波动对于期权所有者来说是利大于弊的，这种不对称导致多头愿意为了一段时间内的波动多付期权费，,从而产生了时间价值。,26,27,7.5 Strategies using options:,hedging,1.Options and Hedging,$90.48/share,28,100 IBM shares,$90.48/share,Oct,2006,Buy put options,Stock price falls bellow $85,Exercise option,Stock price stays above $85,Forgo option,The strategy guarantees that the shares can be sold for at least 85$ per share during the life of option,Oct,2007,Example,29,7.5 Strategies using options:,speculation,1.Options and Hedging,$90.48/share,30,Comparison of profits(losses) from two alternative strategies for using $9048 to speculate on IBM stocks,October 2007 Stock Price,Strategy,$70,$95,Buy shares,Buy call options,Buy 100 shares,Buy 16 call option contracts,31,Questions:,An investor buys a call option and sells a put option. The call and put options have the same strike prices and the same premiums. Describe the position of this investor?,An investor sells a European call on a share for $4. The stock price is $47 and the strike price is $50. Under what circumstances does the investor make a profit? Under what circumstances will the option be exercised? Draw a diagram showing the variation of the investors profit with the stock price at the maturity of the option.,32,
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