章期权市场简介2lecture6 chap017讲座.pptx

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章期权市场简介2lecture6 chap017讲座.pptx

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CHAPTER17OptionsMarkets:Introduction

17-2Derivativesaresecuritiesthatgettheirvaluefromthepriceofothersecurities.Derivativesarecontingentclaimsbecausetheirpayoffsdependonthevalueofothersecurities.OptionsaretradedbothonorganizedexchangesandOTC.Options

17-3TheOptionContract:CallsAcalloptiongivesitsholdertherighttobuyanasset:examplenextpageAttheexerciseorstrikepriceOnorbeforetheexpirationdateExercisetheoptiontobuytheunderlyingassetifmarketvaluestrike.

Optionquotation17-4

WarrantsinHongKongWarrantTermsandIndicatorsWarrantNameSouthAfricaAGoldmanthirty-twoPublisherGoldmanSachsRelatedassetsSouthA50WarrantPrice(HKD)0.040Change(%)8.11WarrantTypeOrdinaryWarrantExerciseprice10.80UnderlyingPrice9.49Turnover($)600Call/PutSubscriptionITM/OTM(%)13.8%(OTM)Maturity(Year-Month-Day)2013-12-30LastTradingDate(Year-Month-Day)2013-12-19Maturity67ConversionRatio1LotSize2,000TechnicalinformationGearing(x)237.25Premium%(break-evenprice)14.23%(10.840)EffectiveGearing(x)22.87ImpliedVolatility22.08Overthepast30daysUnderlyingHistoricalVolatilityNotapplicableDelta9.64OutstandingRatio%30.40%Timelossvalue-4.02Technicalinformation17-5

TheChineseWarrantsBubble,byWeiXiongetal.

In2005-2008,overadozenputwarrantstradedinChinawentsodeepoutofthemoneythattheywerealmostcertaintoexpireworthless.Nonetheless,eachwarrantwastradedmorethanthreetimeseachdayatsubstantiallyinflatedprices.Thisbubbleisuniqueinthattheunderlyingstockpricesmakewarrantfundamentalspubliclyobservableandthatwarrantshavepredeterminedfinitematurities.Thissampleallowsustoexamineasetofbubbletheories.Inparticular,ouranalysishighlightsthejointeffectsofshort-salesconstraintsandheterogeneousbeliefsindrivingbubblesandconfirmsseveralkeyfindingsoftheexperimentalbubbleliterature.(JELG12,G