Скачать презентацию Figures for Chapter 10 OPTION SPREADS AND STOCK Скачать презентацию Figures for Chapter 10 OPTION SPREADS AND STOCK

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Figures for Chapter 10 OPTION SPREADS AND STOCK OPTIONS (Financial Engineering : Derivatives and Figures for Chapter 10 OPTION SPREADS AND STOCK OPTIONS (Financial Engineering : Derivatives and Risk Management) © K. Cuthbertson and D. Nitzsche

Figure 10. 1 : Payoff for calls A. Buy (long) call +1 0 B. Figure 10. 1 : Payoff for calls A. Buy (long) call +1 0 B. Write (short) call 0 -1 © K. Cuthbertson and D. Nitzsche

Figure 10. 2 : Payoff for puts A. Buy (long) put -1 0 B. Figure 10. 2 : Payoff for puts A. Buy (long) put -1 0 B. Write (short) put 0 -1 © K. Cuthbertson and D. Nitzsche

Figure 10. 3 : Payoff for futures A. Buy (long) futures B. Sell (short) Figure 10. 3 : Payoff for futures A. Buy (long) futures B. Sell (short) futures +1 -1 -1 +1 Payout profile on futures and on the underlying stocks are the same. Futures profits occur at same time as profits from the options. Futures do not require any “up front“ costs at t = 0. © K. Cuthbertson and D. Nitzsche

Figure 10. 4 : Synthetic long call +1 Long Futures +1 plus -1 0 Figure 10. 4 : Synthetic long call +1 Long Futures +1 plus -1 0 Long Put 0 equals +1 © K. Cuthbertson and D. Nitzsche Long Call

Figure 10. 5 : Synthetic short put +1 Long Futures +1 plus 0 -1 Figure 10. 5 : Synthetic short put +1 Long Futures +1 plus 0 -1 +1 0 Short Call equals Short Put © K. Cuthbertson and D. Nitzsche

Figure 10. 6 : Synthetic long futures 0 +1 0 Short Put plus +1 Figure 10. 6 : Synthetic long futures 0 +1 0 Short Put plus +1 Long Call equals +1 +1 Long Futures © K. Cuthbertson and D. Nitzsche

Figure 10. 7 : Bull spread with calls +1 0 +1 Long Call (at Figure 10. 7 : Bull spread with calls +1 0 +1 Long Call (at K 1) K 1 plus 0 K 2 -1 0 Profit 0 5 K 1=102 equals +1 K 2=110 0 -3 Short Call (at K 2 > K 1) Share Price SBE=105 © K. Cuthbertson and D. Nitzsche Call Bull Spread

Figure 10. 8 : Bear spread with calls 0 K 1 -1 Short Call Figure 10. 8 : Bear spread with calls 0 K 1 -1 Short Call (at K 1) -1 plus +1 0 K 2 equals 0 -1 Share Price 0 Profit 0 Long Call (at K 2 > K 1) © K. Cuthbertson and D. Nitzsche Bear Spread

Figure 10. 9 : Payoff from volatility strategies Profit -1 +1 -1 0 -8 Figure 10. 9 : Payoff from volatility strategies Profit -1 +1 -1 0 -8 0 94 110 ST ST 0 a) Long (Buy) Straddle b) Long (Buy) Strangle Profit 0 0 +1 0 -1 0 +1 ST 0 c) Short (Sell) Butterfly © K. Cuthbertson and D. Nitzsche 0 -1 +1 0 d) Short (Sell) Condor ST

Figure 10. 10 : Long (buy) straddle +1 0 Long Call plus -1 0 Figure 10. 10 : Long (buy) straddle +1 0 Long Call plus -1 0 Long Put Profit equals K = 102 -1 0 -8 . +1 Long Straddle 8 8 SBE = 94 SBE = 110 © K. Cuthbertson and D. Nitzsche

Figure 10. 11 : Long (buy) strangle -1 0 Long Put 0 plus Kp Figure 10. 11 : Long (buy) strangle -1 0 Long Put 0 plus Kp +1 Kc 0 Profit -1 0 Long Call equals 0 +1 . Long Strangle 0 © K. Cuthbertson and D. Nitzsche

Figure 10. 12 : (a. ) Short butterfly -1 0 Sell Call at K Figure 10. 12 : (a. ) Short butterfly -1 0 Sell Call at K 1 -1 K 1 +1 0 plus -1 0 Buy 2 Calls at K 2 +1 +1 plus -1 Sell 1 Call at K 3 +1 0 0 K 2 0 0 0 © K. Cuthbertson and D. Nitzsche

Figure 10. 12 : (a. ) Short butterfly (Cont. Profit 10 0 -40 0 Figure 10. 12 : (a. ) Short butterfly (Cont. Profit 10 0 -40 0 0 -1 -1 +1 +1 Stock Price © K. Cuthbertson and D. Nitzsche equals Short Butterfly

Figure 10. 12 : (b. ) Long butterfly Profit 40 +1 +1 0 -10 Figure 10. 12 : (b. ) Long butterfly Profit 40 +1 +1 0 -10 0 -1 -1 Stock Price 0 © K. Cuthbertson and D. Nitzsche

Figure 10. 13 : Horizontal spread Profit profile 30 days before expiry of short Figure 10. 13 : Horizontal spread Profit profile 30 days before expiry of short dated option Profit at expiry 0 S 0 = K Stock price Horizontal spread : a long position in a 1 -year option and a short position in a 180 day option, both at-the-money © K. Cuthbertson and D. Nitzsche

Figure 10. 14 : Covered call Profit Covered call = long stock + short Figure 10. 14 : Covered call Profit Covered call = long stock + short call Long Stock $4 $3 0 21 24 25 26 28 ST Short Call K = 25 © K. Cuthbertson and D. Nitzsche

Figure 10. 15 : Protective put strategy Note : P = 5, K = Figure 10. 15 : Protective put strategy Note : P = 5, K = 25, S 0 = 24 Profit Long stock Long Put 0 20 22 24 25 29 ST Protective put = long stock + long put -$4 -$5 © K. Cuthbertson and D. Nitzsche