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=   | 

Comparison of Futures vs. Options: Short Hedging


   
Ò 
Producer has cost of prodn and Sell July corn fut. at $2.25 Buy a July $2.25 put for a premium
storage of $2.20 for delivery by 7/1 of .15

  
 

Sell July corn at $2.35 Buy July futures @ $2.35 July puts trading for a premium
- $.10 of $.00. ..Let put expire for a cost
of .15
Net price: futures hedge = $2.20 + .15 - .10 = $2.25
Net price: options hedge = $2.20 +.15 - .15 = $2.20

 

 

Sell July corn at $2.00 Buys July futures @ $2.00 July $2.25 puts trading for
+ $.25 $.30..net = $.15 premium
diff in offset ($.30 - $.15
Net price: futures hedge = $2.20 - .20 + .25 = $2.25
Net price: options hedge = $2.20 - .20 + .15 = $2.15
=   | 

C ?  ,  

Comparison of t r s s. ptions: ort ing

    
Ò 
roduc r as cost of prodn and ell Jul corn fut. at . uy a July . put for a premium
storage of . for deli er / of .


   
  

ell July corn at .4 uy July futures .4 July puts trading for a premium
- . of . . .. et put expire for a cost
of .
et price: futures edge . . -. .
et price: options edge . . -. .

 



ell July corn at . uys July futures . July . puts trading for
. . ..net . premium
diff in offset ( . - .
et price: futures edge . -. . .
et price: options edge . -. . .
&=   | 

Comparison of Futures vs. Options: Long Hedging


   
Ò 
Commercial forward sells corn Buy July corn fut. at $2.25 Buy a July $2.25 call for a premium
at $2.30 for delivery by 7/1 of .15

  
 

Buy July corn at $2.35 Sell July futures @ $2.35 July calls trading for a premium
+ $.10 of $.23...sell call for $.23
net = $.23 -.15 = + $.08
Net price: futures hedge = $2.30 - .05 + .10 = $2.35
Net price: options hedge = $2.30 - .05 + .08 = $2.33

 

 

Buy July corn at $2.00 Sell July futures @ $2.00 July $2.25 calls trading for
- $.25 $.00...Let expire
net = -$.15 premium
Net price: futures hedge = $2.30 + .30 - .25 = $2.35
Net price: options hedge = $2.30 + .30 -.15 = $2. 5
|   >  "



|  

÷uyer: uts Seller (Writer): uts


) Exercise t e option ) old option till uyer eit er exercises or lets expire
2) et t e option expire 2) Offset or retrade
3) ell t e option (offset or retrade)



Let option expire Collect premium


Offset or retrade Offset or retrade



Exercise: Assigned futures s ort Assigned futures long


Offset or retrade Offset or retrade
| "  >  "


| 

÷uyer: Calls Seller (Writer): Calls


) Exercise t e option ) old option till uyer eit er exercises or lets expire
2) Let t e option expire 2) Offset or retrade
3) Sell t e option (offset or retrade)



Exercise: Assigned futures long Assigned futures s ort


Offset or retrade Offset or retrade

    

Let option expire Collect premium


Offset or retrade Offset or retrade
| " > C  

×etrading

Ò 
Individual buys a corn call at $2.10 for $.15 Current price is $2.10

    

$2.10 call price premium rises to $.25 December corn futures rises to $2.35
Individual sells the $2.10 strike price for $.25
Net is $.25- .15 -.01 brokerage fee - int. 01 = $.08

     

$2.10 call price premium falls to $.05 Futures fall to $2.00


Individual sells the $2.10 strike price for $.05
Net is $.05 - .15 -.01 brokerage fee - int. 01 = -$.12
| " >'! 
| 

Exercising t e Option

Ò 
Indi idual uys a ec. corn call at 2. for . Current price is 2.

  
       !" #$

Indi idual exercises t e call option and recei es a buy Ôecember corn futures rises to 2.35
position for t e Ôec. futures market at 2. . osts
margin of 650. Sells corn futures to offset for 2.35

+ .25 per bus el on futures


- . 5 premium
- .01 brokerage fee
- . 01 intererst cost

____

.08 net
| "  | 

Summary Considerations

Buyer: Puts Seller ( riter): Puts


1) xercise the option if price falls 1) Hold option till buyer either exercises or lets expire
2) Let the option expire if price rises 2) Offset or retrade
3) Sell the option (offset or retrade)

Buyer: Calls Seller ( riter): Calls


1) xercise the option if price rises 1) Hold option till buyer either exercises or lets expire
2) Let the option expire if price falls 2) Offset or retrade
3) Sell the option (offset or retrade)

Ò 
 !"  

1) e will use the same premium values for puts and calls for
ease of arithmetic calculation only
2) e will use the same arithmetic values for price increases
and decreases..as well as the same commodity (corn)
2) e will ignore the retrading or offsetting option and consider
the end result of call or put exercises
$"  /

 

Covered Option (Sell)

Ò 
Options riter sells a corn put on Ôec. Corn Sells Ôecember Corn futures @ 2.10
@ 2.10 strike prices for .15 posts 650 margin

%&'&(& )*+,-

Option buyer lets options expire Ôecember corn futures rises to 2.35
Writer as premium of .15 Writer buys corn futures @ 2.35

#&  )$ &

$.15 premium
-.25 loss in futures
-.01 futures commission
-.01 interest
-.12 loss
$"  /

 

Options: Choices

Covered Option (Sell)

Ò 
Options riter sells a corn put on Ôec. Corn Sells Ôecember Corn futures @ $2.10
@ $2.10 strike prices for $.15 posts $650 margin

.///0/ 12344

÷uyer exercises receives sellers short position Writer transfers futures to buyer, no gain
Writer has gain in value of premium of $.15 to riter

#/  1$ /%/!5&676 

$.15 premium
$"  " /

 

Covered Call Option (Buy)

Ò 
Options writer sells a call on Dec. Corn Buys December Corn futures @ $2.10
@ $2.10 strike prices for $.15 posts $ 50 margin

    

Option buyer exercises option, receives sellers December corn futures rises to $2.35
long position riter has transferred ownership of $2.10
riter has profit of premium of $.15 long to buyer, thus no futures gain

8  $ % ! 

$.15 premium
$"  " /

 

Covered Call Option (÷uy)

Ò 
Options riter sells a call on Ôec. Corn ÷uys Ôecember Corn futures @ $2.10
@ $2.10 strike prices for $.15 posts $650 margin
9 : : :; : < =
      > ??

÷uyer lets option expire Ôecember corn futures fall to $2.00


Writer has premium of $.15 Writer offsets futures by selling Ôec
Corn futures at $2.00 or a $.10 loss

C
#@  A$ @%B! | D@

$.15 premium
.10 loss in futures
+.05 profit
$B  /

 

Ãaked Option (Sell)

Ò 
Options riter sells a put on Ôec. Corn Ôecember Corn futures @ $2.10
@ $2.10 strike prices for $.15 Writer has no futures position
JK L
EFGFHF I  M

÷uyer lets options expire Ôecember corn futures rises to $2.35


Seller ( riter) has premium of $.15

Q R
# N  O$ N% P! ' O N(

$.15 premium
$B  /

 

Ãaked Option (Sell)

Ò 
Options riter sells a put on Ôec. Corn Ôecember Corn futures @ $2.10
@ $2.10 strike prices for $.15 Writer has no futures position
S T T TU T V WX
       YY

÷uyer exercises option Ôecember corn futures falls to $2.00

Clearing corp. puts seller long and buyer


short @ $2.10

Writer offsets by selling futures for a loss of


$.10 T V T Z [ V \T
#  $ % !  (

$.15 premium - $.10 loss on futures $.05


$B  " /

 

Naked Option (Call)

Ò 
Options writer sells a call on Dec. Corn December corn futures @ $2.10
@ $2.10 strike prices for $.15 writer has no futures position

    

Buyer exercises option December corn futures rises to $2.35


Clearing corporation puts seller short
and buyer long
riter offsets by selling futures for a loss
of $.25
]  $ % ! ' (

+ $.15 premium
- . 25 futures loss
- $.15 Net loss
$B  " /

 

Naked Option (Call)

Ò 
Options writer sells a call on Dec. Corn December corn futures @ $2.10
@ $2.10 strike prices for $.15 writer has no futures position

 
 

Buyer lets options expire December corn futures falls to $2.00


Seller (writer) has premium of $.15

^  $ % ! ' (

+ $.15 premium
$|  

Covered and Naked Options riting


    b  

$  _) ` *  a _) ` *  `

Puts Gains Unlimited Unlimited Gains


premium Loss Pot. Loss Pot. premium

Calls Unlimited Gains Gains Unlimited


Loss Pot. premium premium Loss Pot.

If no price change occurs, writer's net is the premium


in all cases

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