INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap020 Options Markets Introduction.ppt

CHAPTER 20 Options Markets: Introduction Table 20.3 Value of a Straddle Position at Option Expiration Figure 20.9 Value of a Straddle at Expiration Spreads A spread is a combination of two or more calls (or two or more puts) on the same stock with differing exercise prices or times to maturity. Some options are bought, whereas others are sold, or written. A bullish spread is a way to profit from stock price increases. Table 20.4 Value of a Bullish Spread Position at Expiration Figure 20.10 Value of a Bullish Spread Position at Expiration 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. The call-plus-bond portfolio (on left) must cost the same as the stock-plus-put portfolio (on right): Put-Call Parity Stock Price = 110 Call Price = 17 Put Price = 5 Risk Free = 5% Maturity = 1 yr X = 105 117 115 Since the leveraged equity is less expensive, acquire the low cost alternative and sell the high cost alternative Put Call Parity - Disequilibrium Example Table 20.5 Arbitrage Strategy Option-like Securities Callable Bonds Convertible Securities Warrants Collateralized Loans INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin 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. Options The Option Contract: Calls A call option gives its holder the right to buy an asset: At the exercise or strike price On or before the expiration date Exercise the option to buy the underlying asset if market value strike.