CFA三级知识点必备：Derivatives and Currency Management_打印版.docx

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1、CFA直）栗笺亩答BobHong1-272-27CoveredcallstrategyAninvestorcreatescoveredcallpositionbysellingacalloptiononastockthatisownedbytheoptionwriter.YieldenhancementThemostcommonmotivation.BywritinganOTMcalloption.Cashgenerationinanticipationoflimitedupsidemoves.ReducingapositionatafavorablepriceCoveredcallsmigh

2、tbewritten,whenaninvestorholdsapositioninastockandintendstoreducethatholdinginthenearfuture.(TMcalloption)TargetpricerealizationHybridoftheprevioustwo.Callsarewrittenwithastrikepricejustabovethecurrentmarketprice.(OTMcalloption)CoveredcallstrategyCoveredcall:Inthisstrategy,someonewhoalreadyownsshare

3、ssellsacalloptiongivingsomeoneelsetherighttobuytheirsharesattheexerciseprice.STSmax0,STX+CConclusion:WhenSTXrwehavemaximumgain5丁Sqmax0,STX+C=(&-$)*X+C=X金+CWhenS干0,wehavemaximumlossST-So-maxO,Sr-X+C=(O-)-O+C=C-SoBreakevenpointST=SLC4-27ProtectiveputstrategyAprotectiveput(alsocalledportfolioinsuranceo

4、rahedgedportfolio)isconstructedbyholdingalongpositionintheunderlyingsecurityandbuyingaputoption.Youcanuseaprotectiveputlimitthedownsideriskatthecostoftheputpremium,P0.Youwillseebythediagramthattheinvestorwillstillbeabletobenefitfromincreasesinthestock,sprice,butitwillbelowerbytheamountpaidfortheput,

5、P0.Noticethatthecombinedstrategylooksverymuchlikeacalloption.5-27ProtectiveputstrategyProtectiveput:Someonesimultaneouslyholdsalongpositioninanassetandalongpositioninaputoptiononthatasset.Conclusion:WhenSX,theprofitisunlimited(STS)+mx0,XSTPWhenSf,wehavemaximumloss(ST-SO)+max0,X-S一P=O-S+X-P=X-S-PooBr

6、eakevenpoint:Si=S计PVolatilitySmileWhatisvolatilitysmile?Volatilitysmileisaplotoftheimpliedvolatilityofanoptionasafunctionofitsstrikeprice.Thischapterdescribesthevolatilitysmilesthattradersuseinequityandforeigncurrencymarkets.827VolatilitySmileBasedontheput-callparitysoPmkt+SoqT=Cmkt+e-rT2Conclusions

7、.ThedollarpricingerrorwhentheBlack-ScholesmodelisusedtopriceaEuropeanputoptionshouldbeexactlythesameasthedollarpricingerrorwhenitisusedtopricingaEuropeancalloptionwiththesamestrikepriceandtimetomaturity.TheimpliedvolatilityofaEuropeancalloptionisalwaysthesameastheimpliedvolatilityofaEuropeanputoptio

8、nwhenthetwohavethesamestrikepriceandmaturitydate.VolatilitySmileforForeignCurrencyOptionsTheimpliedvolatilityisrelativelylowforat-the-moneyoptions.Itbecomesprogressivelyhigherasanoptionmoveseitherintothemoneyoroutofthemoney.ImpliedvolatilityVolatilityincreasesasoptionsbecomesincreasinglyinthemoneyor

9、outofthemoney.OutoftheMoneyCallsOutoftheMoneyPutsstrikepriceAtteMoneyOptions10-27ReasonsforSmileinForeignCurrencyOptionsWhyareexchangeratenotIognormallydistributed?TwooftheContidionsforanassetpricetohavealognormaldistributionare:Thevolatilityoftheassetisconstant.Thepriceoftheassetchangessmoothlywith

10、nojumps.Inpractice,neitheroftheseconditionsissatisfiedforanexchangerate.Thevolatilityofanexchangerateisfarfromconstant,andexchangeratesfrequentlyexhibitjumps(sometimesthejumpsareinresponsetotheactionsofcentralbanks).11-27VolatilitySmiles(skew)forEquityOptionsThevolatilityusedtopricealow-strike-price

11、option(i.e.,adeepoutofthemoneyputoradeepinthemoneycall)issignificantlyhigherthanthatusedtopriceahigh-strike-priceoption(ie,adeepinthemoneyputoradeepoutofthemoneycall).ImpliedvolatilityOutoftheMoneyCallsOutoftheMoneyPutsstrikepriceAttheMoneyOptionsReasonsfortheSmileinEquityOptions1.everage(equitypric

12、eTvolatility)Asacompany,sequitydeclinesinvalue,thecompanyzsleverageincreases.Thismeansthattheequitybecomesmoreriskyanditsvolatilityincreases.VolatilityFeedbackEffect(volatilityTequityprice)Asvolatilityincreases(decreases)becauseofexternalfactors,investorsrequireahigher(lower)returnandasaresultthesto

13、ckpricedeclines(increases).Crashophobia(expectedequitypriceTimpliedvolatility)1987stockmarketcrash:higherpremiumsforputpriceswhenthestrikepriceslower.13-27StrategyRelatedtoVolatilitySkewAlongriskreversalcombineslongcallandshortputonthesameunderlyingwithsameexpiration.ForexampleIfatraderbelievesthatp

14、utimpliedvolatilityisrelativelytoohigh,comparedtothatforcalls,alongriskreversalcouldbecreatedbybuyingtheOTMcall(underpriced)andsellingtheOTMput(overpriced)forthesameexpiration.However,thiswouldcreatealongexposuretotheunderlying,whichcouldbeproblematic.14-27VolatilitySmileAlternativewaysofcharacteriz

15、ingthevolatilitysmileThevolatilitysmileisoftencalculatedastherelationshipbetweentheimpliedvolatilityandKS0ratherthanastherelationshipbetweentheimpliedvolatilityandK.ArefinementofthisistocalculatethevolatilitysmileastherelationshipbetweentheimpliedvolatilityandKF0,whereFCistheforwardpirceoftheassetforacontractmaturingatthesametimeastheoptionsthatareconsidered.Anotherapproachtodefiningthevolatilitysmileisastherelationshipbetweentheimpliedvolatilityandthedeltaoftheoption.VolatilitySmileTradersallowtheimpliedvolatilitytodependontimetomaturityaswellasstrikeprice.Volatilitysurfacescombine