Chapter 6 Basic Option Strategies 衍生工具与风险管理课件.ppt

D. M. Chance An Introduction to Derivatives and Risk Management, 6th ed. Chapter 6: Basic Option Strategies I’m not a seat-of-the-pants person, and options trading is a seat-of-the-pants business. Elizabeth Mackay Women of the Street (by Sue Herera), 1997, p. 25 Important Concepts in Chapter 6 Profit equations and graphs for buying and selling stock, buying and selling calls, buying and selling puts, covered calls, protective puts and conversions/reversals The effect of choosing different exercise prices The effect of closing out an option position early versus holding to expiration Terminology and Notation Note the following standard symbols C = current call price, P = current put price S0 = current stock price, ST = stock price at expiration T = time to expiration X = exercise price P = profit from strategy The number of calls, puts and stock is given as NC = number of calls NP = number of puts NS = number of shares of stock Terminology and Notation (continued) These symbols imply the following: NC, NP, or NS 0 implies buying (going long) NC, NP, or NS 0 implies selling (going short) The Profit Equations Profit equation for calls held to expiration P = NC[Max(0,ST - X) - C] For buyer of one call (NC = 1) this implies P = Max(0,ST - X) - C For seller of one call (NC = -1) this implies P = -Max(0,ST - X) + C Terminology and Notation (continued) The Profit Equations (continued) Profit equation for puts held to expiration P = NP[Max(0,X - ST) - P] For buyer of one put (NP = 1) this implies P = Max(0,X - ST) - P For seller of one put (NP = -1) this implies P = -Max(0,X - ST) + P Terminology and Notation (continued) The Profit Equations (continued) Profit equation for stock P = NS[ST - S0] For buyer of one share (NS = 1) this implies P = ST - S0 For short seller of one share (NS = -1) this implies P = -ST + S0 Terminology and Notation (continued) Different Holding Periods Three holding periods: T1 T2