Options

Bi 3: Hp ng quyn chn
ThS. Nguyn Th Tuyt Mai Khoa Ti chnh Ngn hng i hc Ngoi Thng
Quyn chn (Options)

Hp ng quyn chn l hp ng tha thun gia hai bn, theo mt bn cho bn kia c quyn mua hoc bn mt s lng xc nh cc n v ti sn c s, ti hay trc mt thi im xc nh trong tng lai, vi mt mc gi xc nh ngay ti thi im tho thun hp ng. Thi im xc nh trong tng lai gi l ngy o hn; thi gian t khi k hp ng quyn chn n ngy thanh ton gi l k hn ca quyn chn. Mc gi xc nh p dng trong ngy o hn gi l gi thc hin (exercise price hay strike pricce). Quyn chn mua (Call Option) cho php ngi mua (ngi nm gi) quyn chn c quyn (nhng khng phi ngha v) mua mt ti sn c s vo mt thi im hay trc mt thi im trong tng lai vi mt mc gi xc nh. Quyn chn bn (Put Option) trao cho ngi mua (ngi nm gi) quyn chn c quyn (nhng khng phi ngha v) bn mt ti sn c s vo mt thi im hay trc mt thi im trong tng lai vi mt mc gi xc nh. 2 kiu quyn chn: American-style Option: l loi quyn chn c th c thc hin vo bt k thi im no trc khi o hn European-style Option: l loi quyn chn ch c th thc hin vo ngy o hn ch khng c thc hin trc ngy .
2
Faculty of Banking & Finance - FTU
Cc v th quyn chn (Option Positions)
Long Call Short Call Long Put Short Put
Long Call
Li nhun t vic mua 1 H QCM c phiu Kiu u: gi quyn chn = $5, gi thc hin = $100, thi hn ca H = 2 thng
30 Profit ($) 20 10 70 0 -5 80 90 100 Terminal stock price ($) 110 120 130
Short Call
Li nhun t vic bn 1 H QCM c phiu kiu u gi quyn chn = $5, gi thc hin = $100, thi hn = 2 thng
Profit ($)
5 0 -10 -20 -30
110 120 130 70 80 90 100 Terminal stock price ($)
Long Put
Li nhun t vic mua HQCB c phiu kiu u: gi quyn chn = $7, gi thc hin = $70
30 Profit ($) 20 10
0
-7
Terminal stock price ($)

40 50 60 70 80 90 100
Short Put
Li nhun t vic bn 1H QCB c phiu kiu u: gi quyn chn = $7, gi thc hin = $70
Profit ($) 7 0 -10 -20 -30

40
50
60 70 80
Terminal stock price ($) 90 100
Quyn chn MUA (CALL Options)

Li
Li Ct
E F Gi
Gi
-Ct Mua Call
Bn Call
Quyn chn BN (PUT Options)

Li
Li Ct
F E Gi
E Bn Put
Gi
-Ct Mua Put
Ti sn c s ca H QC
Stocks (c phiu) Foreign Currency (ngoi t) Stock Indices (ch s c phiu) Futures (H tng lai) Interest rates (li sut) Commodity (Hng ha)
10
Mt s thut ng (terminologies)
Moneyness : At-the-money option: QC ha vn In-the-money option: QC c li Out-of-the-money option: QC l
Intrinsic value: gi tr ni ti ca H QC
Gi f l gi tr ca H QC nu QC c thc hin ngay lp tc th Intrinsic value = max {0, f}
Time value: gi tr thi gian ca H QC l phn gi tr ca hp ng quyn chn c c do thi gian cn li ca HQC cho ti khi o hn.
11
Mt s gi thit
Khng c ph giao dch Li nhun giao dch chu cng mt mc thu Li sut i vay = li sut cho vay = li sut phi ri ro.
12
K hiu
c : European call option

price - gi quyn chn mua kiu u p : European put option price - gi quyn chn bn kiu u S0 : Stock price today - gi c phiu K : Strike price - gi thc hin T : Life of option - K hn quyn chn : Volatility of stock price - bin ng gi c phiu
C : American Call option price
- Gi quyn chn mua kiu M P : American Put option price - Gi quyn chn bn kiu M ST :Stock price at option maturity - Gi c phiu vo thi im o hn D : Present value of dividends during options life - Gi tr hin ti ca c tc r : Risk-free rate for maturity T with cont comp - Li sut khng ri ro
13
Tc ng ca cc bin ti gi tr quyn chn
Bin s
S0 K T r D
+ ? + +
+ ? + +
14
+ + + +
+ + + +
Gii thch tc ng ca cc bin ti gi HQC

1. S v K /v Call Option:Payoff = S-K. - gi tr quyn chn mua t l thun vi S v t l nghch vi K. /v Put Option: Payoff = K-S. - gi tr quyn chn bn t l thun vi K v t l nghch vi S. 2. K hn ca H QC /v American Options: Gi tr ca C QC mua & QC bn kiu M u tng khi k hn ca HQC tng. /v European Options: mc d nhn chung gi tr ca HQC mua & bn kiu u thng tng khi k hn ca HQC tng, tuy nhin iu ny khng phi lun lun ng. 3. Bin ng gi c phiu: c phiu cng bin ng mnh th gi tr ca 2 loi H QC mua & bn cng tng. 4. Li sut phi ri ro: Tc ng ca R ln gi tr ca HQC khng thc s r rng nh tc ng ca cc nhn t khc. Khi li sut tng- li sut yu cu ca NT tng- gi tr hin ti ca cc dng tin tng lai s gim -gi tr hin ti ca K s gim- gi tr Call option s tng; gi tr ca Put option s gim. 5. Lng c tc s nhn trong tng lai: gi tr HQC mua t l nghch vi lng c tc d tnh s tr v Gtr HQC bn t l thun vi lng c tc d tnh s tr.
15
Quyn chn kiu M v Quyn chn kiu u
Quyn chn kiu M c gi tr ln hn hoc bng quyn chn kiu u v tnh linh hot ca n. Cc Pp
16
Cn trn ca gi QC (upper bounds)

/v H Call Options, gi QC khng th ln hn gi hin ti ca c phiu. V vy cn trn ca Gi QCM l gi hin ti ca CP So c v So C Nu iu ny khng xy ra s xut hin c hi kinh doanh chnh lch gi: Arbitrageur s mua c phiu & bn QCM. /v H Put Options, gi QC khng th ln hn gi thc hin K. K p v K P
Hn na, /v QC kiu u, ngi mua H khng th thc hin hp ng trc ngy o hn nn gi QC khng th ln hn gi tr hin ti ca K
Ke rT p Nu iu ny khng xy ra s xut hin c hi kinh doanh chnh lch gi: Arbitrageur s bn QCB v u t s tin thu c vo cc ti sn phi ri ro.
17
Cn di quyn chn mua c phiu khng tr c tc (D=0)
1. /v QCM kiu M
C
Max (S
K, 0)
2. /v QCM kiu u:
18
Cn di quyn chn mua vi c phiu khng tr c tc

V d 2 danh mc: Portfolio A: 1 European Call Option+ Cash (=PV ca gi thc hin Ke -rT : Portfolio B: 1 stock DM A: Lng tin mt ban u em u t vi li sut phi ri ro r s thu c s tin K ti thi im T. Nu ST>K, thc hin QCM - Gi tr ca DM A ti thi im T = K + (ST K) = ST; Nu ST< K, khng thc hin QCM-Gi tr ca DM A ti thi im T = K + 0 = K
--- Trong mi trng hp, gi tr ca DM A = Max{ST, K}. DM B: ti thi im T, gi tr ca DM B l ST. ---- gi tr ca DM A lun ln hn hoc bng gi tr ca DM B ti thi im T ---- gi tr hin ti ca DM A phi ln hn gi tr hin ti ca DM B, tc l: c + Ke rT S0 ---------- c S0 - Ke rT Hn na, c 0, nn c Max {S0 - Ke rT , 0}
19
Quyn chn mua
Gi s 1 H QCM kiu u c cc thng tin nh sau: c=3 T=1 K = 18 S0 = 20 r = 10% D=0
Liu c c hi mua bn n chnh lch khng?
20
Cn di quyn chn bn vi c phiu khng tr c tc
1. /v QCB kiu M:
P Max (0, K-S )

0
2. /v QCB kiu u:
p Max {Ke-rT - S0, 0}
21
Quyn chn bn
Gi s 1 H QCB kiu u c cc thng tin nh sau p =1 S0 = 37 T = 0.5 r =5% K = 40 D =0 Liu c c hi mua bn n chnh lch khng?
22
Put-Call Parity; No Dividends

V d 2 danh mc: Portfolio A: Quyn chn u mua c phiu+ PV ca gi thc hin bng tin mt Portfolio C: Quyn chn u bn c phiu+ c phiu Hai danh mc ny c gi tr max(ST , K ) ti thi im o hn V vy, chng phi c cng gi tr ngy hm nay:
c+
-rT = Ke
p + S0
23
C hi mua bn n chnh lch

Gi s c =3 S0 = 31 T = 0.25 r = 10% K =30 D=0 C c hi mua bn n chnh lch khng khi: p = 2.25 ? p=1?
24
Ch
Call-Put parity ch ng vi European Options m thi!!! Vy i vi American Options th sao??? American options; D = 0 S0 - K < C - P < S0 - Ke rT V d: QCM kiu M CP vi D = 0, K = 20, T = 5 thng, C = 1.5, S0 = 19, r = 10%.
25
Quyn chn mua /v c phiu khng c tc: C nn thc hin QC ngay???
1. /v QCM kiu M: khng nn thc hin QCM trc khi o hn. V sao??? C 3 l do:
Khng mt thu nhp (v D = 0) Gi quyn chn mua c phiu bo him cho trng hp c phiu gim gi xung di mc gi thc hin. Khng mt thu nhp do Thi gian thanh ton tin thc hin c li chm li nn c th gi tit kim s tin K sinh li
26
Quyn chn bn /v c phiu khng c tc: C nn thc hin QC ngay???
C th c thc hin ngay khi: Gi CP gim su- Thc hin QC ti mc gi K cao hn nhiu mc gi th trng ri gi tit kim s tin li thu c.
27
Tc ng ca c tc ti cn di gi quyn chn
D: Gi tr hin ti ca c tc
c S0 D Ke
p D Ke
rT
rT
S0
28
C nn thc hin sm QC M trn CP c tr c tc khng?
/v QCM: c th thc hin sm QC ngay trc ngy giao dch khng tr c tc. /v QCB: c th thc hin sm nu PV (interest on K) > PV (future dividends) + PV (right not to exercise)
29
M rng Put-Call Parity
American options; D = 0 S0 - K < C - P < S0 - Ke -rT
European options; D > 0 c + D + Ke -rT = p + S0

American options; D > 0 S0 - D - K < C - P < S0 - Ke rT
30
III. CC CHIN LC PHNG V RI RO S DNG QUYN CHN
1. Collars 2. Spreads
Bull Spreads Bear Spreads Butterfly Spreads
3. Cc chin lc kt hp quyn chn

Straddle Strangles Strips & Straps
31
1. Positions in an Option & the Underlying
Profit
Profit
K K
(a) Profit Profit
ST
(b)
ST
K ST
(c)
K
(d)
32
ST
32
Chin lc kt hp 1 QC & 1 C phiu
Hnh a: Writing a Covered Call = Writing a Call + Long a stock Hnh b: Ngc li vi chin lc (a). Hnh c: A Protective Put = Long a Put + Long a Stock Hnh d: Ngc li vi chin lc (c).
33
2. Collars
Collars l 1 chin lc quyn chn (i.e., mua protective put v bn call option) nhm gii hn gi tr ca Danh mc trong mt bin nht nh. Chin lc Collars ph hp vi nhng NT c mc li sut mc tiu vi mt mc ri ro c th chp nhn nht nh. V d: 1 NT c 1 khon tin tr gi $200000 v ch chp nhn mc ri ro khng qu $20000. Chin lc Collar c s dng nh sau: mua 2000 CP vi mc gi th trng l $100/CP; mua 2000 QCB (20 hp ng QCB) vi K = $90; bn 2000 QCM vi K = $110 V th Payoff??? Xc nh mc li & l ti a /v NT?
34
3. SPREADS
Chin lc Spread l chin lc kt hp 2 hay nhiu Quyn chn cng loi (i.e., cng Call hoc cng Put) Cc loi chin lc Spread:
35
3.1. Bull Spread: s dng khi NT k vng gi TSCS s tng
Bull Spread c th c to ra theo 1 trong 2 cch sau:

Bull Spread s dng QCM: Mua 1QCM /v 1 TSCS vi mc gi thc hin K1 + bn 1 QCM /v cng loi TSCS trn vi mc gi thc hin K2>K1 Bull Spread s dng QCB: Mua 1 QCB /v 1TSCS vi mc gi thc hin K1 + bn 1QCB /v cng TSCS trn vi mc gi thc hin K2>K1
36
Bull Spread Using Calls
Profit ST K1 K2
37
37
Bull Spread Using Puts
Profit K1 K2 ST
38
38
3.2. Bear Spreads: s dng khi NT k vng gi TSCS s gim
Bear Spreads c th c to ra theo 1 trong 2 cch sau:

Bear Spread s dng cc QCM: Bn 1QCM /v 1 TSCS vi mc gi thc hin K1 + Mua 1QCM /v cng loi TSCS vi mc gi thc hin K2>K1 Bear Spread s dng cc QCB: Bn 1QCB /v 1 TSCS vi mc gi thc hin K1+ Mua 1QCB /v cng loi TSCS vi mc gi thc hin K2 > K1
39
Bear Spread Using Calls
Profi t K1 K2 ST
40
40
Bear Spread Using Puts
Profit
K1
K2
ST
41
41
3.3. Butterfly s dng khi NT d on rng gi c ca TSCS s khng bin ng mnh.
Chin lc Butterfly Spreads s dng kt hp cng loi QC vi 3 mc gi khc nhau. Butterfly Spreads c th c to ra bi cc cch sau:
Butterfly Spreads s dng cc QCM: Mua QCM1 vi K1 tng i thp + Mua QCM3 vi K3 tng i cao + Bn 2 QCM2 vi K2 nm gia K1 & K3. Butterfly Spreads s dng cc QCB:Mua QCB1 vi K1 tng i thp + Mua QCB3 vi K3 tng i cao + Bn 2 QCB2 vi K2 nm gia K1 & K3.
42
Butterfly Spread Using Calls
Profit K1 K2 K3 ST
43
43
Butterfly Spread Using Puts
Profit K1 K2 K3 ST
44
44
4. Chin lc QC kt hp: s dng kt hp c 2 loi QCM & QCB /v cng 1 loi TSCS
Straddle = Mua QCM1 + Mua QCB2 vi cng mc gi thc hin v cng thi hn. Strips & Straps
Strips = Mua 1 QCM + Mua 2 QCB vi cng mc gi thc hin v cng thi hn. Straps = Mua 2 QCM + Mua 1 QCB vi cng mc gi thc hin v cng thi hn.
Strangles = Mua QCM1 + Mua QCB2 vi cc mc gi thc hin khc nhau nhng cng thi hn.
45
4.1. A Straddle Combination
Profit
ST
46
46
4.2. Strip & Strap
Profit
Profit
K Strip
ST
K Strap
47
ST
47
4.3. A Strangle Combination
Profit K1 K2 ST
48
48
IV. M hnh nh thc (Binomial tree)
M hnh nh thc l mt m hnh c s dng rt ph bin trong nh gi quyn chn. M hnh ny xem xt cc kh nng c th xy ra ca gi CP trong sut k hn ca 1 quyn chn. M hnh ny gi nh khng tn ti c hi kinh doanh chnh lch gi (no arbitrage) & ri ro trung lp (risk-neutral valuation).
49
IV. M hnh nh thc

Gi c phiu hin ti l $20 Trong 3 thng n s l $22 hoc $18
Gi c phiu = $22
Gi c phiu = $20 Gi c phiu = $18
50
A Call Option
Gi s mt quyn chn mua c phiu c gi thc hin bng $21. S= $22 c= $1 S = $20 c=?
S= $18 c= $0
11.51
51
Xy dng danh mc u t khng c ri ro
long D c phiu short 1 quyn chn mua Gi tr ca DM ny sau 3 thng: Gi s danh mc:
22D 1
18D
Danh mc u t ny khng c ri ro (riskless) khi 22D 1 = 18D hay

D = 0.25
52
nh gi khi li sut khng ri ro = 12%
Danh mc u t khng c ri ro (riskless portfolio) l: long 0.25 c phiu short 1 quyn chn mua Gi tr ca danh mc u t sau 3 thng l 22 0.25 1 = 4.50 = 18 x 0.25 Gi tr ca danh mc u t ngy hm nay l 4.5e 0.120.25 = 4.3670
53
nh gi quyn chn
Danh mc u t long 0.25 c phiu short 1 quyn chn tr gi 4.367 Gi tr c phiu l: 5.000 (= 0.25 20 ) S0 = 20. Gi f l gi ca QCM. Vy gi ca DM u t ti ngy hm nay l: 20 x 0.25 f = 5 f = 4.367 Suy ra, f = 5 4.367 = 0.633
54
Khi qut ha
Mt chng khon phi sinh c k hn T v ti sn c s l mt c phiu:
S0
S0u (u>1) u S0d (d<1) d
55
Khi qut ha
Gi s c danh mc u t: long D shares v short 1 chng khon phi sinh
S0
S0uD u S0dD d
Danh mc u t khng c ri ro khi S0uD u = S0dD d hay:
u f d D S 0u S 0 d
56
Khi qut ha
Gi tr ca danh mc u t ti thi im T l S0uD u Gi tr ca danh mc u t hm nay l (S0uD u)erT Gi tr danh mc u t ngy hm nay cng c th c th hin S0D f V vy: = S0D (S0uD u )erT
57
Khi qut ha
Thay D vo phng trnh ta c:
= [ pu + (1 p)d ]erT
Trong
e d p ud
rT
58
p c th gii thch theo xc sut
Phng trnh trn c th gii thch theo cng thc k vng ton xc sut p v 1-p l xc sut ln gi v xung gi. Gi tr ca quyn chn mua l gi tr k vng trung bnh chit khu ti mc li sut phi ri ro:
S0
59
S0u u S0d d
nh gi quyn chn
Khi xc sut bin ng ln l p v xung l 1-p, gi k vng ca CP ti thi im T l S0erT Cng thc ny th hin s tin u t vo S0 sinh li vi mc li sut phi ri ro r trong thi gian u t T Cy nh thc (binomial trees) th hin chng ta c th s dng mc li sut khng c ri ro nh gi quyn chn Phng php ny gi l nh gi ri ro trung tnh (risk-neutral valuation)
60
Th d
S0u = 22 u = 1
S0

S0d = 18 d = 0
Gi s r = 12% nm; T = 3 thng p l xc sut em li thu nhp khng c ri ro cho CP nn: 20e0.12 0.25 = 22p + 18(1 p ) v vy p = 0.6523 Hoc chng ta cng c th xc nh p theo cng thc:
e rT d e 0.120.25 0.9 p 0.6523 ud 1.1 0.9
61
Gi quyn chn
S0
S0u = 22 u = 1 S0d = 18 d = 0
Gi quyn chn l e0.120.25 (0.65231 + 0.34770) = 0.633
62
M hnh nh thc 2 bc
24.2 22
20
Mi bc 3 thng K=21, r=12% mi bc, gi CP c th tng 10% hoc gim 10%.
19.8 18
16.2
63
M hnh nh thc 2 bc
24.2 3.2
22 20 1.2823
A
B E C
2.0257
18
0.0
19.8 0.0
16.2 F Value at node B 0.0 0.120.25(0.65233.2 + 0.34770) = 2.0257 =e Value at node A = e0.120.25(0.65232.0257 + 0.34770) = 1.2823
64
A Put Option Example; K=52

K = 52, bc thi gian= 1yr S0 = 50 r = 5% mi bc, CP c th tng gi 20% hoc gim gi 20% 50 4.1923
A
60
72 0 48 4
B E
1.4147
40
C F
9.4636
32 20
65
What Happens When an Option is American
60 50 5.0894
A
72 0 48 4
B E
1.4147
40
C
12.0
F
32 20
66
Delta
Delta (D) l h s gia bin ng gi quyn chn v bin ng gi ti sn c s Gi tr ca D thay i ti cc nt khc nhau.
67
Gi tr ca u v d khi bit mc bin ng gi ca ti sn c s
Mt cch t mc bin ng u v d theo xut ca Cox, Ross, v Rubinstein l t
u e
Dt Dt
d 1 u e
trong o lng mc bin ng gi ti sn c s Dt l khong thi gian mi bc. M hnh ca Cox, Ross, v Rubinstein
68
Xc nh xc sut ln gi
ad ud
a e rDt for a nondividend paying stock a e ( r q ) Dt for a stock index where q is the dividend yield on the index ae
( r r f ) Dt
for a currency w here rf is the foreign
risk - free rate a 1 for a futures contract
69
V d
Tm gi ca American put option: S0 = 50 K = 52 r = 5% T = 2 nm (2bc thi gian) = 30%.
70
67.49 50 7.43
A
91.11 D 0
E
0.93
37.04
C
50 2
14.96
27.44 F 24.56
71
The Black-Scholes Formulas

Ct Ct 1 2 2 2Ct d dCt dPt Pt dt dt 2 Pt 2 Pt t
c S 0 N (d1 ) K e pKe
rT
rT
N (d 2 )
N (d 2 ) S 0 N (d1 )
2 / 2)T ln( S 0 / K ) (r trong d1 T 2 / 2)T ln( S 0 / K ) (r d2 d1 T T

72

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Bi 3: Hp ng quyn chn

Quyn chn (Options)

Faculty of Banking & Finance - FTU

Cc v th quyn chn (Option Positions)

Long Call Short Call Long Put Short Put

Faculty of Banking & Finance - FTU

Faculty of Banking & Finance - FTU

110 120 130 70 80 90 100 Terminal stock price ($)

Terminal stock price ($)

Faculty of Banking & Finance - FTU

Profit ($) 7 0 -10 -20 -30

Terminal stock price ($) 90 100

Quyn chn MUA (CALL Options)

-Ct Mua Call

Faculty of Banking & Finance - FTU

Quyn chn BN (PUT Options)

-Ct Mua Put

Faculty of Banking & Finance - FTU

Faculty of Banking & Finance - FTU

Faculty of Banking & Finance - FTU

Faculty of Banking & Finance - FTU

c : European call option

C : American Call option price

Faculty of Banking & Finance - FTU

Tc ng ca cc bin ti gi tr quyn chn

Faculty of Banking & Finance - FTU

Gii thch tc ng ca cc bin ti gi HQC

Faculty of Banking & Finance - FTU

Quyn chn kiu M v Quyn chn kiu u

Faculty of Banking & Finance - FTU

Cn trn ca gi QC (upper bounds)

Faculty of Banking & Finance - FTU

Cn di quyn chn mua c phiu khng tr c tc (D=0)

Faculty of Banking & Finance - FTU

Cn di quyn chn mua vi c phiu khng tr c tc

Faculty of Banking & Finance - FTU

Quyn chn mua

Gi s 1 H QCM kiu u c cc thng tin nh sau: c=3 T=1 K = 18 S0 = 20 r = 10% D=0

Liu c c hi mua bn n chnh lch khng?

Faculty of Banking & Finance - FTU

Cn di quyn chn bn vi c phiu khng tr c tc

P Max (0, K-S )

p Max {Ke-rT - S0, 0}

Faculty of Banking & Finance - FTU

Faculty of Banking & Finance - FTU

Put-Call Parity; No Dividends

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C hi mua bn n chnh lch

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Faculty of Banking & Finance - FTU

Quyn chn mua /v c phiu khng c tc: C nn thc hin QC ngay???

Faculty of Banking & Finance - FTU

Quyn chn bn /v c phiu khng c tc: C nn thc hin QC ngay???

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Faculty of Banking & Finance - FTU

C nn thc hin sm QC M trn CP c tr c tc khng?

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M rng Put-Call Parity

American options; D = 0 S0 - K < C - P < S0 - Ke -rT

European options; D > 0 c + D + Ke -rT = p + S0

Faculty of Banking & Finance - FTU

III. CC CHIN LC PHNG V RI RO S DNG QUYN CHN

3. Cc chin lc kt hp quyn chn

Faculty of Banking & Finance - FTU