保本商品之介绍.pptxVIP

選擇新世代- 選擇權衍生之金融商品及交易策略日盛證券 新金融商品處 曾志強OutlinesI. 選擇權之交易策略選擇權之定義、基本策略選擇權策略之天龍八部II. 選擇權衍生之交易策略投資組合保險(Option based portfolio insurance)投資組合管理(Portfolio management with derivatives)III. 選擇權衍生之金融商品保本型商品(Principal guaranteed instrument)運用新奇選擇權之保本型商品Sean Tseng選擇權之交易策略 - 選擇權之定義、基本策略- 選擇權策略之天龍八部選擇新世代 The option eraHamlet: To be, or not to be, is the question.Trader: To buy, or not to buy; to sell, or not to sell, is the question.Sean Tseng選擇新世代 The option eraIn nowadays, To buy, or not to buy, to sell, or not to sell, is no more a question.It is your Option.Sean TsengWhat is option?Option是一種買賣契約, 投資人花了權利金, 買進Option之後, 便有權利在特定期間內, 向Option之賣方以事先定好的價格(履約價)買進或賣出標的.於集中市場中交易.買賣雙方可自由進出Speculator, hedger, market maker, etc.Sean Tseng現貨, 期貨及選擇權Spot 現貨: 一把蔥10元Future 期貨: 颱風前夕,約定三天後一把蔥12元.Option 選擇權:颱風前夕,約定三天後一把蔥12元,但是要看過貨色才決定.菜販:要先付一元權利金.狀況一:三天後一把蔥市價變成14元, futures? option?狀況二:三天後一把蔥市價變成10元, futures? option?狀況三:三天後一把青蔥變黃蔥,根本不值錢,菜販怎麼辦?Sean Tseng現貨, 期貨及選擇權狀況三:三天後一把青蔥變黃蔥,根本不值錢,菜販(A)怎麼辦? 進價10元,忍受9元損失(10 – 1 = 9)為規避狀況三之風險菜販(A)向別家菜販(B)約好,三天後一把蔥用10元賣給你,但我有後悔的權利.菜販B: fine, 但我要0.5元的權利金.菜販(A):10 –10=01-0.5 = 0.5Sean TsengRefreshCall option put option買權(Call option)The right to buy買方支付權利金，取得買進標的之權利賣方收取權利金，負擔賣出標的之義務賣權(Put option)The right to sell買方支付權利金，取得賣出標的之權利賣方收取權利金，負擔買進標的之義務Sean TsengRefreshLong call 買買權損益分析Long Index Call Option:Payoff = max(S-K,0)FuturesCallKpremiumIndex level(S)*max. profit: unlimited*max. loss: premium*initial investment: debit*breakeven point: K+premiumSean TsengRefreshShort call 賣買權損益分析Short Index Call Option:Payoff = - max(S-K,0)Index level*max. profit: premium*max. loss: unlimited*initial investment: credit*breakeven point: K+premiumSean TsengRefreshLong put 買賣權損益分析Long Index Put Option:Payoff = max(K-S,0)Index level*max. profit: K-premium*max. loss: premium*initial investment: debit*breakeven point: K-premiumSean TsengRefreshShort put 賣賣權損益分析Short Index Put Option:Payoff = - max(K-S,0)Index level*max. profit: premium*max. loss: K-premium*initial investment: credit*b