CaseHedging Examples - Oregon State University案例与套期保值的例子-俄勒冈州立大学

Click to edit Master title style,*,*,*,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Case&Hedging Examples,Delta Neutral,Consider our strategy of a long Straddle:,A long Put and a long Call,both at the same exercise price.,What we are interested in is the Stock price movement,either way,and with symmetric returns.,Case:Pine Street Capital,Hedge Fund(HF)vs Mutual Fund(MF),“Market-Neutral/Positive-Alpha,“Market-Neutral as a Simple Hedge:,Short the“Market,Put the“Market,Straddle Example,Intel at$20,with riskless rate at 3%and time to maturity of 3 months.Volatility for Intel is 35%.,Calls(w/X=20)at$1.47,Puts(w/X=20)at$1.32,Straddle Example,Buy 10 calls and 10 puts,Cost=(10*$1.47*100)+(10*$1.32*100),Cost=2790,Straddle Example,Intel,$22,C=$2.78,P=$0.63,Value=(10*2.78*100)+(10*.63*100),Value=$3410,Gain=$620,Intel,$18,C=$0.59,P=$2.45,Value=(10*0.59*100)+(10*2.45*100),Value=$3040,Gain=$250,More Gain to upside so actually,BULLISH,!,Delta-Neutral,Delta of Call is 0.5519,Delta of Put is-0.4481,Note:Position Delta=,(10*100*.5519)+(10*100*-0.4481)=+103.72,BULLISH!,Delta Ratio is:,0.4481/0.5519 =0.812,which means we will need.812 calls to each put(or 8 calls and 10 puts).,Delta-Neutral,Straddle Example,Buy 8 calls and 10 puts,Cost=(8*$1.47*100)+(10*$1.32*100),Cost=2496,Note:Position Delta=,(8*100*.5519)+(10*100*-0.4481)=-6.65,Roughly Neutral,Delta-Neutral,Straddle Example,Intel,$22,C=$2.78,P=$0.63,Value=(8*2.78*100)+(10*.63*100),Value=$2854,Gain=$358,Intel,$18,C=$0.59,P=$2.45,Value=(8*0.59*100)+(10*2.45*100),Value=$2922,Gain=$426,Now Gains roughly symmetric;delta-neutral,