Chng 11QUYN CHN C PHIU

Khi nim quyn chn (Options) L mt cng c cho php ngi s hu n c quyn mua (quyn chn mua) hoc bn (quyn chn bn) mt hng ha c s, vi mt mc gi xc nh, trong mt khong thi gian nht nh.

Ch : quyn, ch khng phi ngha v. C th s dng vi nhiu loi ti sn c s: hng ha, ng tin, chng khon Tr ph v nhn ph quyn v ngha v.

Quyn chn c phiu c giao dch trn th trng ti chnh gn nh cng lc vi giao dch c phiu ph thng. T 1973, giao dch tr nn si ng. Mang li linh hot cao cho cc nh u t trong vic thit k cc chin lc u t: Dng gim ri ro thng qua ro chn Dng tng ri ro thng qua u c.

Hp ng quyn chn: iu khon Loi c phiu c giao dch Gi thc hin: l mc gi m ngi gi quyn chn s phi tr (call) hoc c nhn (put). Quy m hp ng: 100 c phn (chun) Thi hiu (ngy ht hiu lc) Kiu thc hin quyn Th tc giao c phiu hay thanh ton

Quyn chn: M v chu u Quyn chn M cho php ngi nm gi thc hin quyn c mua (call) hoc bn (put) vo bt k thi im no cho ti ngy o hn quyn (c gi tr cao hn). Quyn chn Chu u ch cho php thc hin quyn vo ng ngy o hn.

Yt gi quyn chn c phiu Gi c yt trn c s mt c phn. Gi thc t l gi mt hp ng, gm 100 c phn. Biu tng th hin tt c cc thng tin ca quyn chn. V d: AAPL 100522C0020000 Thi hn: Nm; thng, ngy Loi quyn chn: C (call) Gi thc hin: bng $ v phn thp phn

Giao dch quyn chn: OTC Nh giao dch phi lin h vi ngi bn v ngi mua cc options; tnh n nh ti chnh ca ngi bn quyn chn phi c bn mi gii bo m. Ngi bn quyn phi k gi cc c phn ti cng ty mi gii, hoc phi t tin cc. Cc quyn chn cng mt c phiu tn ti vi nhng mc gi thc hin v thi hn khc nhau. khi mun thc hin quyn, ngi mua phi trc tip lm vic vi ngi bn.

Giao dch trn SGD tp trung Loi b c ri ro i tc Mt hp ng quyn chn c chun ha ng vi quyn c mua (bn) 100 c phn. Thi im o hn hp ng c chun ha, theo ba chu k, Chu k 1: thng 1/thng 4/ thng 7/thng 10 Chu k 2: thng 2/thng 5/thng 8/thng 11 Chu k 3 thng 3/thang 6/thng 9/thng 12

K hn hp ng c 3, 6 v 9 thng.

Gi thc hin c chun ha: Ty theo mc gi c phiu, gi thc hin thay i vi gin cch khc nhau. Khi gi th trng ca c phiu chuyn ng ra bn ngoi di gi thc hin ca cc quyn chn ang tn ti, cc quyn chn vi gi thc hin mi s c cho b sung.

V d, c phiu ang c gi 30$/cp vi quyn chn thng 1 s c gi thc hin l 30; nu gi c phiu tng ln 32,5$, SGD c th b sung mt quyn chn vi gi thc hin 35$.

Gi ca quyn chn Ph (premiums): mc gi m ngi mua tr c quyn thc hin vic mua (bn) Gi ng ca ca quyn chn thay i khi gi ng ca ca c phiu c s thay i.

Vi cng thi gian o hn QCM no c gi thc hin cao hn s c gi thp hn v ngc li. QCB no c gi thc hin cao hn s c gi cao hn, v ngc li.

Cng ty thanh ton b tr (OCC) L mt t chc t nhn c chc nng bo m cc iu khon ca hp ng quyn chn c p ng nu quyn c thc hin. NT m ti khon ti cc cng ty mi gii thnh vin v giao dch thng qua cng ty . Mi lnh buc phi c mt ngi mua v mt ngi bn khp vi nhau. Sau khi khp c cc lnh mua, bn, OCC s pht hnh cc quyn chn cn thit.

K qu i vi bn bn quyn chn V OCC bo m cho vic thc hin hp ng, n i hi tin t cc ca bn bn quyn chn. Khon t cc c quy nh mt phn bi khi lng theo quyn chn in the money, v l ch bo v khon ngha v tim nng ca bn bn. Lnh gi k qu

Quyn chn hay c phiu? Mua QCM v bn QCB l hai chin lc da trn d bo tng gi (bullish strategies); Mua QCB v bn QCM l hai chin lc da trn d bo gim gi (bearish strategies). V gi tr ca quyn chn ph thuc vo gi th trng ca c phiu c s mua quyn chn = mua hoc bn trc tip mt c phiu. V sao chin lc quyn chn c th c a thch hn so vi chin lc c phiu?

V d Hin ti, gi ca c phiu Microsoft l 70$/cph. Bn tin rng n s tng gi, (v cng c th s gim gi). Gi s QCM 6 thng, gi thc hin 70$ ang c gi bn 10$, v li sut 6 thng l 2%. Tng gi tr u t l 7000$ v Microsoft khng tr c tc.

Ba chin lc: Mua 100 c phn Microsoft Mua 700 QCM Microsoft, vi gi thc hin 70$ (7 hp ng, 100 c phn/h). Mua 100 QCM, vi gi 1000$. Phn cn li 6000$ u t vo tn phiu Kho bc 6 thng, li sut 2%.

Xem xt gi tr ca ba danh mc ny khi quyn chn o hn sau y 6 thng, nh mt hm s ca gi c phiu ti thi im .

Gi tr ca danh mc khi gi c phiu thay iGi c phiu Microsoft Danh mc A. 100 c phn B. 700 QCM C. 100 QCM + 6000$ tn phiu KB 65$ 6500$ 0 6120$ 70$ 7000$ 0 6120$ 75$ 7500$ 3500$ 6620$ 80$ 8000$ 7000$ 7120$ 85$ 8500$ 10500$ 7620$ 90$ 9000$ 14000$ 8120$

Li sut ca danh mcGi c phiu Microsoft Danh mc A. 100 c phn B. 700 QCM C. 100 QCM + 6000$ tn phiu KB 65$ -7,1% -100% -12,6% 70$ 0,0% -100% -12,6% 75$ 7,1% -50% -5,4% 80$ 14,3% 0 1,7% 85$ 21,4% 50,0% 8,9% 90$ 28,6% 100% 16,0%

So snh danh mc B, C vi danh mc A: Quyn chn to ra n by: Khi P < 70$ gi tr ca B = 0; li sut -100%. Tri li, mt mc tng nh ca P to mt mc tng ng k trong li sut ca quyn chn. Gi tr bo him tim nng. Danh mc C : thit k ring cho tng trng thi ri ro theo nhng cch sng to. Gii hn tuyt i v ri ro tn tht ca danh mc C (6210 $ v -12,6%) l mt c trng khc bit v hp dn.

Quyn chn ch s c phiu Da trn mt ch s th trng c phiu: OEX option: quyn chn kiu M; SPX option v DJX option: quyn chn kiu u.

Cc quyn chn ch s u thanh ton bng tin. Gi thc t ca quyn chn bng 100 ln mc gi trn c s ch s. V d: mua SPX call option, gi thc hin 1520$. Ti ngy o hn, S&P500 = 1540. Ngi mua nhn c: (1540$ - 1520) x 100 = 2000$

Gi tr ni ti ca quyn chn Khi nim: l gi tr (payoff) m ngi nm gi quyn chn nhn c nu gi c phiu c s khng thay i so vi gi tr hin thi. V d: nu mt quyn chn mua c gi thc hin X = 50$; Gi th trng ca c phiu ST = 45$: gi tr ni ti ca quyn chn bng 0. Nu ST = 55$, gi tr ni ti ca quyn chn l 5$.

Khi qut Gi tr ni ti ca QCM = MAX (X ST, 0) Gi tr ni ti ca QCB = MAX (ST X, 0) Nh u t hp l s ch thc hin quyn chn khi gi tr ni ti ca n l dng.

Gi tr thi gian ca quyn chn Gi ca quyn chn Gi tr ni ti = Gi tr thi gian ca quyn chn. Ti lc o hn, gi tr thi gian ca mt quyn chn = 0 Trc lc o hn Quyn chn kiu M c gi tr thi gian t nht l 0, thng l dng. Quyn chn kiu u, gi ca QCB c th thp hn gi tr ni ti, gi ca QCM c th cao hn gi tr ni ti, theo gi tr thi gian ca quyn chn c th m.

Payoffs v li nhun ca quyn chn Quyn chn l mt hp ng gia bn mua v bn bn. Dng tin ban u ca QC l gi ca quyn chn (premium); l dng vo vi ngi bn v dng ra vi ngi mua. Dng tin kt thc ca QC: khon li c th thc hin nh thc hin quyn, cn gi l payoffs.

V d: c phiu IBM c P = 80$/cph; QCM c gi thc hin X = 80$; ph quyn 4$. Dng tin ban u vi ngi mua: - 400$; vi ngi bn: + 400$. Ti lc o hn, ST = 90$, dng tin kt thc l 10$ vi ngi mua v 10$ vi ngi bn. Nu ST = 70$, c hai u c dng tin bng 0.

Hai bn lun c dng tin nh nhau, nhng ngc du. (zero-sum game).

PAYOFFS (LI NHUN GP) CA QUYN CHN MUA60 Payoffs ca quyn chn($)

40 20 Mua mt QCM

-20 -40 - 60

Bn mt QCM

50

Gi c phiu ($)

Gi tr QCM ti lc o hn Vi bn mua QCM: QCM c phiu Microsoft c X = 60$. Payoff = li nhun gp ca ngi mua QCM = ST X nu ST > X = 0 nu ST X Payoff l gi tr ca quyn chn khi o hn. Trn thc t, gi tr ca quyn chn lun 0. Nu gi th trng ST = 70$ > X, thc hin quyn chn mua payoff = 10$/cph

Vi khon ph quyn 14$,

Li nhun rng = 10$ - 14$ = - 4$ (l). Nu ST > X: thc hin quyn l gii php ti u, mc d c th khng c li nhun. (Gim l). Nu ST < X = 60$: quyn chn b b qua; l ti a l khon ph quyn.

Li nhun gp v li nhun rng ca ngi mua QCM khi o hn20$ Payoff = Gi tr quyn khi o hn 10$

0

60 Chi ph ca quyn chn

70

80

ST

im ha vn (74$) Li nhun

-10$ -14$

Gi tr c phiu Microsoft (ST) Gi tr quyn chn mua

50$ 0

60$ 0

70$ 10

80$ 20

90$ 30

Vi bn bn QCM: gi c phiu cng cao hn 60$, linhun cng gim Payoff cho ngi bn QCM = - (ST X) nu ST > X = 0 nu ST X14$ X 60$ 74$

0

ST Li nhun

Payoff

Payoff,li nhun ca QCB khi o hn60$

Payoff = Gi tr ca QCB khi o hn Li nhun 0 60$ ST Gi ca quyn chn bn

Quyn chn bn: Vi ngi mua QCB Nu Microsoft c ST = 60$, mt QCB c X =70$ c th c thc hin em li 10$ cho ngi nm gi. Nu ST < 60$, vi mi 1$ gim ca gi c phiu, gi tr ca QCB khi o hn s tng thm 1$.

Payoff cho ngi mua QCB = 0 nu ST X = X ST nu ST < X

Vi ngi bn QCB: Bn mt QCB khng c bo m (naked put): c kh nng mt tin nu gi th trng gim. Bn mt QCB khng c bo m, out of the money: tng l mt cch to ra li nhun hp dn. Nu gi th trng khng gim mnh trc khi quyn ht hn, ngi mua s khng thc hin quyn, ngi bn yn tm thu ph quyn.

Dng quyn chn qun tr ri ro Quyn chn khng ch c mua, bn c lp, m cn c th kt hp vi nhau hoc vi mt c phiu, to thnh v s chin lc. Cc chin lc thng dng: QCB bo v QCM c bo m Put Call song hnh (Straddle) a dng thi hn hoc a dng gi thc hin (Spreads)

Quyn chn bn bo v(Protective Put) Khi mun u t vo c phiu nhng khng mun gnh chu khon l tim nng qu mt mc no : s dng chin lc mua c phiu + mua QCB trn c phiu . Gi thc hin X = 55$; ST = 52$ vo ngy o hn. Gi tr ngy o hn ca QCB: X ST = 55$ - 52$ = 3$

Payoff

A: C phiu ST B: Quyn chn bn

Payoff X

X

Payoff v li nhun

X

ST Li nhun

X C: Quyn chn bn bo v X (S0 + P) ST

X

So snh u t QCB bo v v u t c phiu

Li nhun

C phiu

Danh mc QCB bo v

S0 = X -P

ST

-S0

Quyn chn mua c bo m(Covered Call) Chin lc: Mua mt c phiu, ng thi bn mt QCM trn c phiu . C bo m: c sn c phiu giao khi quyn c thc hin. (covered naked). Khi gi th trng ca c phiu thp hn gi thc hin ? Khi n cao hn?

V d Mt qu hu tr nm gi 1000 c phn GXX, gi hin ti 130$/cph. Gi nh qu s bn ht c phiu nu gi ln ti 140$, v mt QCM o hn sau 90 ngy, X = 140$, gi (ph quyn) = 5$. Hnh ng: Qu s bn 10 hp ng QCM (100 cph/hng), thu 5000$ ph quyn. Nu ST > 140$, qu s b mt li nhun trn QCM. B li, qu c th thu li nhun khi bn 1000 c phn, vi ST = 140$.

Put-Call song hnh (Straddle) L s kt hp mua mt QCB v mt QCM, c cng mc gi thc hin X v cng thi hn T. c s dng khi nh u t tin chc vo s thay i ca gi, nhng khng chc v hng thay i. Straddle c gi tr cao nht khi gi c phiu tng ti mc cao nht hoc gim ti mc thp nht. Trng hp xu nht: gi c phiu khng thay i. L = P + C

Li nhun A: QCM X

Li nhun gp Li nhun rng

-C Li nhun X X-P B: QCB -P Li nhun C: QCM + QCB X XP-C - (P + C) P+C

ST

Li nhun gp

X

ST Li nhun rng

Li nhun gp Li nhun rng X ST

Li nhun gp (payoff) Li nhun gp ca QCM + Li nhun gp ca QCB Tng s

ST < X 0 + (X ST) X - ST

ST X ST X + 0 ST - X

Bng C: ng li nhun rng nm thp hn ng li nhun gp (payoff) mt khong bng chi ph mua straddle, P + C. Nu gi c phiu khng cch xa ng k so vi X th Straddle to ra mt khon l. Vic mua mt v th straddle ch c li nhun khi gi c phiu i chch khi X mt lng ln hn s chi ph b ra mua QCB v QCM.

a dng thi hn hoc gi (Spreads) Khi nim: Spreads l mt kt hp hai (hoc nhiu) QCM hoc QCB trn cng mt ti sn, vi cc mc gi thc hin khc nhau hoc thi gian ti khi o hn khc nhau. a dng mc gi (money spread): ng thi (mua + bn) cc QC c gi thc hin khc nhau. a dng thi hn (time spread): ng thi (mua + bn) cc quyn chn c thi hn khc nhau.

V d: a dng mc gi Mua Call 1, gi thc hin l X1 + Bn Call 2, gi thc hin X2 > X1. Li nhun gp trn v th ny l khon chnh lch gia gi tr ca hai quyn chn ny. C ba tnh hungLi nhun gp (payoff) Li nhun gp ca Call 1; X1 Li nhun gp ca Call 1; X2 Tng s ST X1 0 0 0 X1 X2 ST X1 (ST X2) X2 X1

Li nhun

LN gp LN rng

A: Mua Call 1

0 X1 - C1 Li nhun C2 0 B: Bn Call 2 Li nhun X2 X1 0 C2 C1 X1

X2

ST

X1

X2

ST

LN rng LN gp LN gp LN rng X2 ST

C: chnh lch tng gi

Vng gi thp: ST nh hn c hai mc gi thc hin. Vng gi trung bnh, ST nm gia hai mc gi thc hin. Vng gi cao: ST ln hn c hai mc gi. Chin lc ny c gi l bullish spread : li nhun gp s tng ln hoc khng b nh hng g bi s gia tng gi c phiu.

Mi quan h ngang gi Put-Call Nhc li QCB bo v: bo m c gi tr ti thiu nhng khng hn ch tim nng tng gi tr.

Mt chin lc khc c kt qu tng t: danh mc gm QCM + tn phiu. Nu X = 100$ mi hp ng quyn chn i hi phi thanh ton 10000$ khi o hn. Mua mt tn phiu Kho bc (tri phiu Zero coupon), gi tr o hn 10000$ = X.

Ti T, khi QCM v tri phiu cng o hn:ST X Gi tr ca quyn chn mua Gi tr ca tri phiu phi ri ro Tng 0 X X ST > X ST X X ST

ST X: TP m bo gi tr sn cho danh mc. ST > X: li tc trn quyn chn (ST X) c cng vo gi tr ca tri phiu m bo ST.

Nguyn tc ngang gi Hai danh mc lun c gi tr bng nhau

(Call + Tri phiu) v (Put + c phiu) phi c chi ph bng nhau. XC+ (0 rf ) +T

= S 0+ P

Nu nguyn tc ngang gi ny b vi phm, th c hi giao dch arbitrage xut hin. Ch p dng cho nhng quyn chn trn nhng c phiu khng tr c tc trc khi quyn chn o hn.

Gi s: Gi c phiu: 110$ Gi QCM (1 nm; X = 105$): 17$. Gi QCB (1 nm; X = 105$): 5$. Li sut phi ri ro: 5%/nm 00 00+ 0

Ngang gi b vi phm:

? 0 = + 00 ,0 = 00 ? 0

Li nhun arbitrage tn dng c hi c-bt: Mua danh mc tng i r (bn phi) v bn danh mc tng i t (bn tri).

Chin lc: Mua c phiu, kt hp mua QCB; Bn QCM v vay 100$ trong mt nm

Kt qu sau mt nm: dng tin vo tc th 2$ ; sau 1 nm khng c dng ra trit tiu.

V th

Dng tin hin ti -110 +100 +17 -5 2$

Dng tin sau mt nm ST < 105$ ST -105 0 105 - ST 0 ST >;= 105$ ST -105 -(ST 105) 0 0

Mua c phiu Vay 105/1,05 = 100$ Bn QCM Mua QCB TNG S

Quy tc ngang gi m rng p dng cho quyn chn mua Chu u trn nhng c phiu tr c tc, iu kin ngang gi put-call s l: P = C S0 + PV (X) + PV (c tc)