Option Strategies Guide for Retail Investors

Bern University of Applied Sciences
Business
Option Strategies A practical Guideline for

Retail Investors
Bachelor Thesis
Submitted within the study program
Bachelor of Science in
Business Administration
By
XXX
For the module
Bachelor Thesis (BTHE)
Instructor
XXX
Co-Supervisor
XXX
Submission date
Friday, 16 May 2014
Option strategies A practical Guideline for Retail Investors
Acknowledgment
The development of this paper has been observed and accompanied by instructor Professor XXX and co-instructor Professor XXX of the XXX. Both of the tutors shall be thanked
gratefully at this point. Furthermore I would like to acknowledge the interviewees for their
advices and information, who made it possible to complete this bachelor thesis.
Management Summary
This bachelor thesis examines option strategies and what costs and fees an individual
investor will be confronted with when trading such instruments in Switzerland. In theory,
option strategies are an interesting and multifunctional instrument for every market direction. However, in practice, there are several difficulties which retail investors have to overcome. For example, they have only limited available assets for trading and thus the margin of the broker and the transaction costs significantly influence the potential profit (economies of scale). There are also legal restrictions like naked short selling which essentially
complicate trading option strategies efficiently.
The methodology of this paper is mainly based on literary research from the Anglo-Saxon
and German language area as well as interviews with experts in the banking industry. In
this thesis, the twelve biggest retail banks in Switzerland are analysed in relation to costs
and trading possibilities as well as 45 option strategies for six market expectations.
The results are especially interesting because they initially show that by taking the transaction costs of the predefined financial institutions, the average option strategy with an
initial investment of CHF 6000 costs CHF 236.11. Instead EUREX options, investors have
the possibility to trade warrants, which lower the total average trading costs per strategy to
CHF 168.33 (-29%). The most advantageous trading platform is Swissquote ( CHF
22.44) and Saxo Bank ( CHF 91.06), where they charge fees on a per-contract basis.
The other banks are clearly offering less attractive conditions and only nine platforms are
providing EUREX options to their clients.
There are also differences in fixed costs, starting from no fees like PostFinance and Saxo
Bank, and ending with Zrcher Kantonalbank (CHF206.40) and Credit Suisse (CHF
448.80). By taking into account the total costs, the range of all banks lies between CHF
28.92 and CHF 458.50 (+1585%). Therefore the average break-even point lies between
0.5% and 7.6% for EUREX options, respectively 0.7% and 4.7% for warrants. As a result,
retail investors are able to trade option strategies with a relatively small investment. It is
important to note that the bid-ask spread, the opportunity costs and the risk premium are
not included.
The outcomes of this thesis are particularly remarkable because they show that investing
in option strategies for a retail investor is not directly connected with high trading fees.
Therefore, besides certain limitations, option strategies are an interesting and efficient
way of maximizing the performance of the investors portfolio even in downside market
trends.
3
Table of Contents
1.
Introduction ............................................................................................................. 9
1.1. Problem Statement ................................................................................................ 9
1.2. Objectives ............................................................................................................ 10
1.3. Methodology ........................................................................................................ 10
1.4. Challenges for a Retail Investor ........................................................................... 11
2.
Option Strategy a short Introduction ................................................................ 12
3.
Definition ................................................................................................................ 14
3.1. Retail Investor ...................................................................................................... 14
3.2. Regulatory Limitations ......................................................................................... 16
4.
Trading Platforms .................................................................................................. 18

4.1.1.
Pre-conditions............................................................................................................ 18
4.2. Universal Banks ................................................................................................... 20

4.2.1.
UBS ........................................................................................................................... 20
4.2.2.
Credit Suisse Group .................................................................................................. 20
4.3. Cantonal banks .................................................................................................... 21

4.3.1.
Zrcher Kantonalbank ZKB ....................................................................................... 21
4.3.2.
Berner Kantonalbank BEKB ...................................................................................... 22
4.3.3.
Banque Cantonale Vaudoise BCV ............................................................................ 23
4.4. Online Banks ....................................................................................................... 24

4.4.1.
Saxo Bank (Switzerland) Ltd. .................................................................................... 24
4.4.2.
Swissquote Bank S.A. ............................................................................................... 24
4.4.3.
Cash zweiplus ........................................................................................................... 25
4.5. Other Banks......................................................................................................... 26

4.5.1.
Migros Bank AG ........................................................................................................ 26
4.5.2.
Bank Coop AG........................................................................................................... 26
4.5.3.
PostFinance AG ........................................................................................................ 27
4.5.4.
Raiffeisen................................................................................................................... 28
4.6. Stock Exchange and Taxes ................................................................................. 29

5.
Conclusion I ........................................................................................................... 29
5.1. Pre-assumptions .................................................................................................. 29
5.2. Conclusion of Trading Platforms .......................................................................... 30
5.2.1.
Transaction Cost ....................................................................................................... 30
5.2.2.
Fixed Costs ................................................................................................................ 31
5.2.3.
Interest Margin........................................................................................................... 32
5.2.4.
EUREX Options vs. Warrants ................................................................................... 32
5.2.5.
Trading Possibilities .................................................................................................. 33
5.3. Evaluation with EUREX Options .......................................................................... 34

5.4. Evaluation with Warrants ..................................................................................... 35
6.
Option Strategies................................................................................................... 36
6.1. Neutral Strategies ................................................................................................ 37
6.2. Volatile Strategies ................................................................................................ 42
6.3. Moderately Bullish Strategies............................................................................... 46
6.4. Sustained Bullish Strategies ................................................................................ 49
6.5. Moderately Bearish Strategies ............................................................................. 52
6.6. Sustained Bearish Strategies ............................................................................... 54
7.
Conclusion II .......................................................................................................... 56
7.1. Conclusion of Option Strategies ........................................................................... 56
8.
7.1.1.
Neutral Strategies ...................................................................................................... 56
7.1.2.
Volatile Strategies ..................................................................................................... 57
7.1.3.
Moderately Bullish Strategies .................................................................................... 58
7.1.4.
Sustained Bullish Strategies...................................................................................... 58
7.1.5.
Moderately Bearish Strategies .................................................................................. 59
7.1.6.
Sustained Bearish Strategies .................................................................................... 59
Final Conclusion.................................................................................................... 60
8.1. Trading Platform .................................................................................................. 60
8.2. Option Strategies ................................................................................................. 61
8.3. Break-Even Point ................................................................................................. 62
8.4. Evaluation Matrix ................................................................................................. 63
9.
8.4.1.
EUREX Options ......................................................................................................... 63
8.4.1.
Warrants .................................................................................................................... 64
8.4.2.
Break-Even Point ...................................................................................................... 65
Disclaimer .............................................................................................................. 66
10. Declaration ............................................................................................................. 66

11. Bibliography........................................................................................................... 67
11.1.
List of Illustrations .......................................................................................... 67
11.2.
Literature ....................................................................................................... 68
11.3.
Interviews ...................................................................................................... 68
11.4.
Online Sources .............................................................................................. 69
11.5.
Legislative Texts ............................................................................................ 77
12. Appendix ................................................................................................................ 78
List of Abbreviations
BCV............................................ Banque Cantonal Vaudoise
BE .............................................. Break-even point
BEKB ......................................... Berner Kantonalbank
CFD............................................ Contract For Difference
ERX............................................ EUREX Options
FINMA ........................................ Swiss Financial Market Supervisory Authority
LEAPS ....................................... Long-Term Equity Anticipation Securities
LIBOR ........................................ London Interbank Offered Rate
OTC ........................................... Over-the-Counter
ROI............................................. Return on Investment
SFBC ......................................... Swiss Federal Banking Commission
SNB............................................ Swiss National Bank
VAT ............................................ Value Added Tax
WRT ........................................... Warrants
ZKB ............................................ Zrcher Kantonalbank
List of Figures
Figure 1: How short selling works .................................................................................... 17
Figure 2: Symbol icon ...................................................................................................... 36
Figure 3: Long Condor Spread .......................................................................................... 1
Figure 4: Long Butterfly Spread ......................................................................................... 1
Figure 5: Short Straddle .................................................................................................... 1
Figure 6: Short Strangle .................................................................................................... 1
Figure 7: Short Gut Spread ............................................................................................... 1
Figure 8: Long Iron Butterfly Spread .................................................................................. 1
Figure 9: Long Box Spread ................................................................................................ 1
Figure 10: Long Call Ladder Spread .................................................................................. 1
Figure 11: Ratio Call Write ................................................................................................ 1
Figure 12: Ratio Put Write ................................................................................................. 1
Figure 13: Double Butterfly Spread ................................................................................... 1
Figure 14: Variable Ratio Write........................................................................................ 41
Figure 15: Long Straddle ................................................................................................... 1
Figure 16: Long Strangle ................................................................................................... 1
Figure 17: Long Gut Spread .............................................................................................. 1
Figure 18: Call Ratio Back Spread .................................................................................... 1

Figure 19: Strap................................................................................................................. 1
Figure 20: Strip .................................................................................................................. 1
Figure 21: Short Condor Spread........................................................................................ 1
Figure 22: Short Butterfly Spread ...................................................................................... 1
Figure 23: Short Call Ladder Spread ................................................................................. 1
Figure 24: Collar ................................................................................................................ 1
Figure 25: Long Call Spread .............................................................................................. 1
Figure 26: Short Ratio Call Spread .................................................................................... 1
Figure 27: Uncovered Put.................................................................................................. 1
Figure 28: Covered Combination ....................................................................................... 1
Figure 29: Zero-Cost Collar ............................................................................................... 1
Figure 30: Covered Short Call ........................................................................................... 1
Figure 31: Cash-Secured Put ............................................................................................ 1
Figure 32: Protective Put ................................................................................................... 1
Figure 33: Long Call .......................................................................................................... 1
Figure 34: Synthetic Long Stock ........................................................................................ 1
Figure 35: Bull Spread Spread .......................................................................................... 1
Figure 36: Cash-Secured Call ........................................................................................... 1
Figure 37: Call Back Spread ............................................................................................ 51
Figure 38: Long Combo Spread ........................................................................................ 1
Figure 39: Short Call Spread ............................................................................................. 1
Figure 40: Uncovered Call ................................................................................................. 1
Figure 41: Short Ratio Put Spread ..................................................................................... 1
Figure 42: Covered Short Put ............................................................................................ 1
Figure 43: Bear Spread Spread ......................................................................................... 1
Figure 44: Long Put ........................................................................................................... 1
Figure 45: Synthetic Short Stock ....................................................................................... 1
Figure 46: Short Combo Spread ........................................................................................ 1
Figure 47: Put Back Spread .............................................................................................. 1
List of Tables
Table 1: Conditions of UBS ............................................................................................. 20
Table 2: Conditions of Credit Suisse................................................................................ 21
Table 3: Conditions of Zrcher Kantonalbank .................................................................. 22
Table 4: Conditions of Berner Kantonalbank ................................................................... 22
Table 5: Conditions of Banque Cantonale Vaudoise ........................................................ 23
Table 6: Conditions of Saxo Bank (Switzerland) Ltd. ....................................................... 24
Table 7: Conditions of Swissquote .................................................................................. 25
Table 8: Conditions of Cash zweiplus .............................................................................. 25
Table 9: Conditions of Migros Bank AG ........................................................................... 26
Table 10: Conditions of Bank Coop AG ........................................................................... 27
Table 11: Conditions of PostFinance AG ......................................................................... 27
Table 12: Conditions of Raiffeisen ................................................................................... 28
Table 13: Conclusion of Trading Platforms - EUREX Options vs. Warrants ..................... 33
Table 14: Neutral Strategies ............................................................................................ 37
Table 15: Volatile Strategies ............................................................................................ 42
Table 16: Moderately Bullish Strategies .......................................................................... 46
Table 17: Sustained Bullish Strategies ............................................................................ 49
Table 18: Moderately Bearish Strategies ......................................................................... 52
Table 19: Sustained Bearish Strategies........................................................................... 54
Table 20: Evaluation Option Strategies - Neutral Strategies ............................................ 56
Table 21: Evaluation Option Strategies - Volatile Strategies ............................................ 57
Table 22: Evaluation Option Strategies - Moderately Bullish Strategies........................... 58
Table 23: Evaluation Option Strategies - Sustained Bullish Strategies ............................ 58
Table 24: Evaluation Option Strategies - Moderately Bearish Strategies ......................... 59
Table 25: Evaluation Option Strategies - Sustained Bearish Strategies ........................... 59
1. Introduction
Nowadays, investors have won a deeper interest in trading financial instruments not
only institutional clients but also wealthy private clients. Due to the leverage of derivatives,
investors are able to make huge amounts of profit with small investments in a short period
of time; in contrast, there is also the risk of losing the whole amount. For solving this critical problem, option strategies are constructed to overcome those difficulties as they minimize risks and maximize profits in a certain market expectation.
With increasing possibilities for trading financial derivatives such as options and warrants
by the internet (which have lower transaction costs), retail investors are also keen to invest in such strategies. But still, the limitations for individual investors are substantial, especially when it comes to questions about costs, technically feasibility and knowledge
about handling option strategies effectively. A retail investor has to overcome those hurdles when he would like to be a successful option strategy-trader.
1.1. Problem Statement

As we know, theories are rarely the same as in practice, but at least there are similarities
or high positive correlation between them. In the area of options and especially option
strategies, the theories have some limitations and we are knowingly ignoring some aspects in this area. In theory, when dealing with option strategies, we do not take into account transaction costs like brokerage fee, stamp duty or any other fees like safekeeping
account-fees. Moreover, there are certain limitations of the instruments, which are not
allowed to be used for a retail investor. In addition, the possibility of short selling stocks
shares and the spread of the broker (margin of the bank) have an important influence on
option strategies and their performance (profit or loss).
Furthermore, the theory doesnt take into consideration that retail investors rarely have the
possibility to use the risk-free interest rate properly and that they have to pay interest for a
margin account. Last but not least, retail clients do not often have the necessary
knowledge about option strategies and how to use them effectively. In other words, the
financial institutions do not provide small investors with the important information and platforms to trade option strategies, because of too high costs and a too low profitability.
Therefore, option strategies are a relatively unknown field for retail investors in Switzerland.
1.2. Objectives
Main objective of this bachelor thesis is to analyze which option strategies, we know in
theory, are the most efficient for retail investors. This includes a theoretical description of
each option strategy and in general options as a financial instrument. Moreover, I will define in more detail what a retail investor is and what costs he will face when dealing such
instruments. In addition, this bachelor thesis will not only provides the reader with an analyze of the costs for an option strategy, but it will also show which trading platform is the
best in relation to costs and trading possibilities for a retail investor.
In the end, the reader should be able to decide clearly which option strategy is the best for
a certain expectation (bullish, bearish, etc.) relative to transaction costs. Furthermore, as a
result from my analysis, I will clearly evaluate the different trading platform in comparison
to costs and fees for a Swiss retail investor.
The final outcome from this Bachelor thesis will be a broad and detailed Matrix-summary
with the most important Swiss retail banks and option strategies, where the investor can
easily find the most efficient strategy and trading platform in terms of costs and fees.
1.3. Methodology
For my bachelor thesis I will use several approaches to get the necessary information,
statements and data. The following paragraph will give a short summary, but it does not
represent a complete methodology.
The methodology of this paper is mainly based on literary research. Therefore I will consider as the basis of my thesis books, theories, online articles and intellectuals of the Anglo-Saxon and German language area. The fields of research are concentrated around
the broad subject of option strategies and in general about options and other financial
instruments. To get a deeper understanding of the whole subject, it is indispensable to
use the internet, especially trading platforms, forums, online interviews with experts and
articles out of professional journals. An important source will have the option strategyplatforms for investors, where they get a comprehensive and detailed understanding of
such investment opportunities.
Furthermore, as an additional source of information, I will have several interviews with
experts from the banking industry, especially from the retail business as well as from the
trading area.
10
From those conversations, I am able to fill gaps which provide me with a broader overview
about the subject. The experts have a wide range of knowledge about options and how
they can be used in the daily business. Because of their experience in this field, they will
have all the necessary background they needed to answer my questions. The questions
will be mainly about options strategies, their transaction costs and the possibility of using
other financial derivatives, but also partly about the legal environment for trading stocks
and other securities in Switzerland.
1.4. Challenges for a Retail Investor

In theory, when talking about financial instruments and possibilities, the term investor is
often used inappropriately. By definition an investor is is a person or organization that
buys stocks or shares, or pays money into a bank in order to receive a profit. 1 Therefore
it is neither defined the possibilities and limitations of trading nor the amount for investing.
In reality, a retail investor is confronted with several challenges he has to overcome to
trade option strategies successfully. First of all, such an investor has only limited assets
on the bank account for his disposal and thus the economies of scale are much smaller
compared to institutional or professional investors. Those have in general a broader
knowledge about the security market as well as a higher available amount of cash for
trading. Especially when we are talking about transaction costs like fees for account management, brokerage fee or deposit fees, the small investor is getting discriminated by the
institutional investor. In addition, the theory does not take into account the spreads (intermediate charges of the trading platform) between ask and bid prices of options and other
financial instruments. Such spread are decreasing the potential profit or increasing the
potential loss of the investment.
According to Daniel Ballarin, Associate Director and Training Manager at Swissquote
Bank S.A., these costs are in general between three to seven percentages, depending on
trading volumes, market expectation and margin requirements of the counterparty. 2
Generally, the theory is fading out legal restriction when dealing with options and option
strategies liked naked short selling. To this point I will go into more detail later on (see
chapter 3.2 Regulatory Limitations).
Reverso (2014).
All material in this section is derived from Interview Ballarin (2014).
11
Last of all, small investors have only limited knowledge about financial instruments because of their educational background, their daily interests and their financial situation.
This will have a negative impact on the performance of an individual investor when dealing with questions about how to use options and other financial derivatives effectively. In
practice, banking institutions are providing useful information and data about the market
as well as analysis and researches of investment ideas to their clients. Such a service is
viewed in general as a premium service to clients, where the bank earns a certain spread
(profitability). For a retail client with a limited amount on the bank account, such services
is often limited or not offered.
2. Option Strategy a short Introduction

Before diving into the world of option strategy for retail investors, it is important to provide
clear definitions of the terms most used in my bachelor thesis option strategy and retail
investor.
To start, I would like to explain briefly options, especially what option strategies are in theory and how an investor can use them effectively. An option by definition is a [] financial contract that derives their value from an underlying reference asset 3. Basically there
are two types of options a call option, which gives the holder of the option the right to
buy the underlying asset by a specific time in the future for a fixed price. On the other
side, a put option gives the holder the right to sell the underlying by a certain date for a
certain price. 4 The buyer of a call option believes in an increasing underlying price whereas on the other hand, the holder of a put option is betting on a falling price of the underlying.
There are always two sides for every trade of option contracts. On one side, there is the
buyer (investor) who has bought the option contract (long position), whereas on the other
side, there is the seller (short position), who has written the option and who will receive
the option price (credit) for selling the rights.
Another way to distinguish options can be done by looking at the time of exercise the
rights. An American option can be exercise at any time prior to their time to maturity (expiration date), while European options can only be exercised on the expiration date. 5
Banks/Siegel (2007, p. 3).
Hull (2009, p. 179).
All material in this section is derived from Hull (2009, p. 773).
12
Lets turn on to the option strategy. An option strategy also called option based investment
strategy is a way of buying and selling simultaneously one or more option with different
option variables. It can also include an underlying, which could be a stock, a commodity or
a pair of currencies (forex). 6 This combined strategy is considered by the trader as a single position. Option strategies are also defined as spread trading, which involves taking
two or more positions at the same time. An option may be traded against the underlying,
two or more different options can be traded against each other or they can be combined
together with different strike level or maturity dates. 7
Moreover the time effect and the holding period of an option strategy are important factors. According to Bouzoubaa/Osseiran (2010, p. 39ff), the effect of the time decay for an
option strategy always depends on what position the investor has. For example, if he is
short and has sold options, a decreasing time to maturity makes the options cheaper and
therefore the investor can profit.
In contrary, an investor who has bought an option is in a detrimental position, because the
time value, also called extrinsic value, will decrease when time runs out. In general we
can say, that the time value of an option will lose 67% of its value in the last month till expiration whereas only 33% in the time before. 8
The exact holding period for options in an option strategy is highly dependent on what
positions the investor is holding in the market and thus hard to define on an exact number.
Nevertheless he should not hold an option strategy with options with lower time to maturity
than 1/3 of the whole time frame. Lastly, the appropriate time period for a certain option
strategy is something between one and three months (rather one and two months), depending of the underlying, the construction of the strategy, the volatility and the market
expectation of the investor. 9
There are several advantages when trading option strategies. First of all, an investor has
the possibility to vary all different instruments to one single investment strategy and therefore he can adapt the strategy to his unique expectation- and risk-profile. Moreover, generally speaking, the investor knows from the beginning on what will be the maximum reward- and loss-potential and so he is able to calculate the worst- and best-case scenarios.
Rhoads (2011, p. 8).
Cohen (2005, p. 21).
All material in this section is derived from Jensen (2009, p. 132f).
All material in this section is derived from Cohen (2005, p. 34).
13
An additional advantage is the profit opportunity when the market is in a sideway moving
trend. In other words, the underlying is not upwards nor downwards moving with low volatility during the lifetime of the option strategy. In such a scenario, a normal investor would
have a low return on income (ROI) when investing in stocks or fixed income-products. The
solution therefore is to invest in option strategies, whereas he is able to maximize his profit in the short-term in every market forecast.
In contrary, there are also a few drawbacks, which an investor has to overcome. Firstly,
those option strategies are hard to understand in relation to their Greeks, especially for a
retail investor, who doesnt have the necessary information and data. Secondly, as previously mentioned, an option strategy is often resulted in higher transaction costs when buying and selling options, stocks, warrants and other financial instruments. This refers mainly to economies of scale, where a retail investor is getting discriminate against an institutional investor. As a result, the break-even point (how much the investment has to perform
to be equal off) is clearly higher for a retail investor. Last but not least, option strategies
have the disadvantage that they are traded rarely and mostly from experts and professionals in the market. So there is a lack of knowledge as well as experiences when dealing with these investments.
3. Definition
3.1. Retail Investor
In this chapter I will define the term retail investor also called small or individual investor,
especially when it comes to questions about quantity (numbers of trades per period and
the trading volume) and quality (experiences and knowledge of the investor). This part will
be important in relation to transaction costs (economies of scale) and trading possibilities.
Moneyland 10, the leading financial comparison service in Switzerland, has published a
comprehensive report 11 about the Swiss trading market. In their analysis, they are using
three different trading profiles. First of all, profile No. 1 is a trader, who trades only by a
few occasions and has assets in his portfolio of CHF 56000.
10
Moneyland (2014a).
11
Moneyland (2014b).
14
The second trader, profile No. 2, is one who trades only seldom and has assets on his
safekeeping account of CHF 20000, whereas the profile No. 3 is an investor who trades
regularly and has assets for his investments of about CHF 76000. Therefore in my point
of view, I would define an individual investor like the trading profile No. 1 with assets on
the bank account of CHF 56000.
To use a second source for defining in more detail, I interviewed another expert from the
trading industry Mr. Daniel Ballarin from Swissquote. According to him, a retail investor
doesnt have a clear definition in theory. Rather it is depended on the numbers of trades
during a fixed period as well as the trading volume. In this sense, a wealthy private client
is considered as a retail investor if he doesnt trade frequently. On the other hand, a client
with only 50000 Swiss franc on his account, but with a high number of trades, can be regarded as a VIP-client or Premium client. Unfortunately he is not permitted to define the
clear term of a retail investor for Swissquote due to their business secret. 12 Nevertheless,
in their annual report 2013 13 and their presentation of the results for the business year
2013 14, they published several interesting and informative statistics. Those numbers are
particularly interesting because Swissquote is a typically retail bank, where most customers are using this platform for trading financial instruments.
Initially, the average client at Swissquote has assets on his account of CHF 46603, which
includes the deposit and safekeeping account. Moreover the average retail client has five
different asset categories in his portfolio. He invested 43% (CHF 20039) in shares, 20%
(CHF 9320) in funds, 8% (CHF 3728) in bonds, 2% (CHF 932) in options and other
speculative derivatives and a total of 27% (CHF 12582) as a deposit on the account. Further to this, Swissquote has over 163000 trading accounts with assets of total CHF 9.1
billion, which results in average assets per trading client account of CHF 55700.
This number is in comparison with results from the last few years clearly higher (historical
average CHF 45000). The report also stated that the average transaction per client in
2013 was 12.5. 15
12
All material from this section is derived from Interview Ballarin (2014).
13
Swissquote (2013a).
14
Swissquote (2013b).
15
All material from this section is derived from Swissquote (2013b, p. 7f).
15
Finally I will define the term retail investor by considering the numbers previously stated
from Swissquote and Moneyland as well as the discussions held with Daniel Ballarin and
Thomas Liechti16. In this bachelor thesis, a typical retail investor has CHF 40000 on his
whole bank account whereof CHF 25000 ( the proportion of shares, derivatives and half
of funds) are available assets for option strategies and other investments on the capital
market and CHF 15000 ( the proportion of cash, fixed income and half of the funds) is
regarded as a cash deposit on the account.
3.2. Regulatory Limitations

First of all, we have to be aware that there are two similar terms, which are very different
in theory and practice. Therefore we will separate the terms Short selling or Shorting
and Naked short selling or Naked shorting. The first term means by definition the sale
of securities like shares or bonds that is not owned by the seller 17 and that they have to
get borrowed from another person. In other words a short seller has to borrow the shares
from a lender and has to pay for this transaction a fee. 18
In contrast to short selling, naked short selling means that the seller does not first borrow
the securities or ensures that the securities can get borrowed. He rather takes the obligation to buy back the securities in the future and thus closing his naked position. Naked
means in this sense, that he does not own the securities.
With the strategy of short selling and naked short selling the investor is speculating of falling stock prices so he can sell it high at the right moment and buy back on lower prices
later on. The difference between the two prices is his profit. Short selling can also be used
for hedge a position in the market of decreasing market prices.
In general, such transactions increase the pressure for a downturn of the stock market
and reinforce the negative market trend. 19 Therefore, regulators started to set up certain
limitations when it comes to naked short selling and so countries like France, Italy or
Spain ban it to ease market pressure.
16
Interview Liechti (2014).
17
Investopedia (2014).
18
All material in this section is derived from Securitieslendingtimes (2014).
19
Neate et al. (2011).
16
Figure 1: How short selling works 20
Naked short selling
Short selling
Source: Diffen (2014).
Now lets turn to Switzerland and how the SIX Exchange and the Swiss regulators are
handling naked short selling and short selling. In general naked short selling, as I described above is not permitted and the Swiss Federal Banking Commission will prosecute
any abusive behaviours. This emphasises the SFBC on September 19th 2008 in their media release. 21 Further to this, financial institutions are responsible when selling securities
on behalf for clients that they are able to deliver the securities on the settlement date. 22
According to Dr. Alain Bichsel, Head Media Relation of the SIX Swiss Exchange group,
short selling is permitted as long as the seller is able to deliver the securities within the
deadline set for this. 23 In addition to this, the rule book of the SIX Swiss Exchange Ltd. 24
and the Trading-Directive No. 3 clearly state that [] short selling of securities traded on
SIX Swiss Exchange is permitted as long as the short party can settle the short sale at
the latest upon execution of the trade []. 25
20
Diffen (2014).
21
SFBC (2008).
22
SIX Swiss Exchange (2013a).
23
All material from this section is derived from Interview Bichsel (2014).
24
SIX Swiss Exchange (2013b).
25
Directive 3: Trading, Para. VI, Art. 19, No. 2.
17
As we will see later on, only a limited number of Swiss banks are offering short selling to
their clients as a business, mostly wealthy private and institutional clients. In this case,
they lend the securities from one client, who is long in the underlying and pass on the securities to a third party, who will then have a short position in his portfolio.
There is only one exception namely the Saxo Bank, where customers can trade CFDs
(Contract for Difference), which will be explained later on. 26
To sum up, naked short selling is not allowed by law whereas short selling in general is
permitted, as long as the short selling party is able to deliver the securities upon a certain
period of time.
4. Trading Platforms
After clearly defining the term retail investor and what difficulties he has to overcome for
trading option strategies, I will now analyze the trading platforms in Switzerland in relation
to costs and possibilities for trading options and other financial instruments.
In Switzerland, there are currently over 290 financial institutions and approximately 180
banks are offering products and services to retail clients. 27 For this bachelor thesis, I will
put the focus on the twelve biggest banks in the retail banking market and so covering the
main players.
4.1.1. Pre-conditions
Before analyzing the different platforms for trading options, warrants and shares, it is indispensable to make some pre-conditions:
1. We only take into account stocks, options, warrants and other financial instruments, which are actively traded on the SIX Swiss Exchange and EUREX Exchange.
2. For minimizing the transaction costs, I will only consider the fees and costs related
to online banking. The transaction costs emerging when trading by phone or directly with the relationship manager are much higher than by the internet.
26
Saxo Bank (2013).
27
SwissBanking (2014).
18
3. Naked short selling, as mention above, is not permitted and short selling is only
possible when the investor is able borrow the shorted securities.
4. Value Added Tax (VAT): All costs are without VAT and will be added at the end in
the evaluation part.
5. The analysis is always related to a one year-period and has to be adapted to the
lifetime of an option strategy. This will be primarily relevant for the indirect costs
like the safekeeping account fee.
6. Due to lowering the complexity for the analysis, the possibility of lower debit interest rate in form of a Lombard loan for financing certain option strategies will be ignored. Moreover, in practice most financial institutions have a minimum amount for
a Lombard loan between CHF 20000 and CHF 50000. Therefore by considering
the collateral rate of 60% for Blue-chip stocks and 0% for options, a retail investor
needs more than CHF40000, which would excess his maximum deposits he has
on the bank account. 28
7. Information collected end of March 2014.
28
SIX Securities Services (2013).
19
4.2. Universal Banks

4.2.1. UBS
UBS employs over 62000 worldwide (about 22000 in Switzerland) and has CHF 2230
billion assets under management. 29 In Switzerland, it is the biggest bank in relation to capitalisation, numbers of clients and employees. UBS has over 300 branches in every canton and every third household and about 40% of Swiss companies have an account at
UBS. 30
Table 1: Conditions of UBS 31
Trading Fees and other related Costs

Basic fee / Safekeeping account fee
0.30% p.a.
EUREX Options*: 1.20% or minimum 180 CHF
Brokerage fees
Stocks and Warrants traded on SIX Swiss Exchange:

0.9% or minimum CHF 40
Account management
Private current account: CHF 5 per month
Interest rate on credit balances
0.025% p.a.
Interest rate on debit balances
Overdrafts on account: 12.5% p.a.
Short selling of shares
Not possible
*No online trading available EUREX options are only tradable by phone with the client
relationship manager.
4.2.2. Credit Suisse Group

At Credit Suisse there are working currently 47400 employees all over the world. In Switzerland, out of 19000 employees, approximate 2100 employees have direct contact with
customers, either by phone, physically at their 229 branches or by mail. There are over
100000 companies and about two million private people, who have an account at Credit
Suisse. 32
29
The Wall Street Journal (2013).
30
All material in this section is derived from UBS (2014a).
31
UBS (2011), UBS (2014b), UBS (2014c).
32
Credit Suisse (2014a).
20
Table 2: Conditions of Credit Suisse 33

0.3% p.a. or minimum CHF 5 per position and per month
EUREX Options: 0.94% or minimum CHF 55
Brokerage fees

0.79% or minimum CHF 55
Account management
Private account: CHF 5 per month
0.025% p.a.
Not possible*
*Naked short selling is not allowed for retail clients, but there is the possibility for wealthy
private clients and institutional investors to short selling stocks.
4.3. Cantonal banks

4.3.1. Zrcher Kantonalbank ZKB
As the biggest cantonal bank, the Zrcher Kantonalbank has a leading position in the
banking business in Switzerland, especially in the canton of Zurich as well as in the
neighbour cantons. 34 Since the founding year 1870, ZKB is offering a wide range of services and products to their clients. In the year 2013, the bank has over CHF 191 billion
assets under management. 35
33
Credit Suisse (2013), Credit Suisse (2014b), Credit Suisse (2014c).
34
Zricher Kantonal Bank (2014a).
35
Zrcher Kantonal Bank (2014b).
21
Table 3: Conditions of Zrcher Kantonalbank 36

0.25% p.a. or minimum CHF 2.50 per position and per month
Brokerage fees
EUREX Options: CHF 60 and 0.5% of the

transaction volume
Stocks traded on SIX Swiss Exchange: 0.5% or minimum
CHF 50
Warrants traded on SIX Swiss Exchange: 0.5% or minimum CHF 60
Account management
Private account: CHF 12 p.a.
0.05% p.a.
Not possible
4.3.2. Berner Kantonalbank BEKB

Berner Kantonalbank has over 500000 clients and 75 branches in the canton of Bern and
Solothurn. As a classic retail bank, they are offering mainly products for payments, savings, investing, pensions, mortgages and private banking. 37 The trading platform of BEKB
is Money-Net, where shares, bonds, funds and warrants are traded. EUREX-options in
contrary are traded at the BEKB directly.
Table 4: Conditions of Berner Kantonalbank 38

0.017% or minimum CHF 50 p.a.
Brokerage fees
EUREX Options*: 1.0% + CHF 60 or minimum CHF 80

Stocks and Warrants traded on SIX Swiss
Trading volume:
CHF 1001 5000 : CHF 25
CHF 5001 10000 : CHF 35
Account management
Private current account: CHF 30 p.a.
0.10% p.a.
36
Zrcher Kantonalbank (2013a), Zrcher Kantonalbank (2013b), Zrcher Kantonalbank (2014c).
37
Berner Kantonalbank (2014a).
38
Berner Kantonalbank (2014b), Berner Kantonalbank (2014c, p. 2ff), Berner Kantonalbank

(2014d, p. 4ff), Money-Net (2014).
22

Besides the EUREX-rates for the margin account, there is an

additional blocking amount of CHF 5000.
Not possible
*No online trading available only tradable by phone with the trading desk of BEKB.
4.3.3. Banque Cantonale Vaudoise BCV

Banque Cantonal Vaudoise is the second-largest cantonal bank in Switzerland and one of
the top full-service banks. BCV has 70 branches in the canton of Vaud and more than
2000 employees. 39 All trades are executed over Trade Direct (former E-sider), the external
trading platform of BCV.
Table 5: Conditions of Banque Cantonale Vaudoise 40

0.025% or minimum CHF 10 per quarter
EUREX Options: Not offered
Stocks and Warrants traded on SIX Swiss

Trading volume:
CHF 751 2000 : CHF 17.90
CHF 2001 10000 : CHF 29.90
Separate execution fee (exchange fee): 0.06 or minimum
CHF 2.00
Brokerage fees
Account management
Private account: No fees
0.01% p.a.
Not possible
39
Banque Cantonal Vaudoise (2014a).
40
Banque Cantonale Vaudoise (2014b), TradeDirect (2014).
23
4.4. Online Banks

4.4.1. Saxo Bank (Switzerland) Ltd.
Saxo Bank, the Danish mother company, is a world leading international investment banking group and specialises in online trading of any securities, mainly derivatives and currencies. Saxo Bank (Switzerland) Ltd. was founded in the year 1992 and with its attractive
conditions and trading possibilities makes it a key player in online trading in Switzerland. 41
At Saxo Bank, clients are able to trade CFD (Contract For Difference), which is a special
derivative and has the same characteristics as short selling.
Table 6: Conditions of Saxo Bank (Switzerland) Ltd. 42

Brokerage fees
No fees
EUREX Options: CHF 8 per contract
Stocks traded on SIX Swiss Exchange: 0.10% or minimum

CHF 18
Warrants: Not offered
Account management
0.00% p.a.
Overdrafts on account: 8.02% p.a. (Libor 3M + 8.0%)
Not possible, but CFD-contracts are tradable:

0.10% or minimum fee CHF 18
4.4.2. Swissquote Bank S.A.

Swissquote, domiciled in Gland VD, is the leading bank when it comes to online banking,
especially to online trading of stocks, bonds, forex and derivatives. 43 The bank has over
201000 clients with CHF 10.1 billion assets under custody and was founded in the year
1990 by Marc Brki and Paolo Buzzi. 44
41
Saxo Bank (2014a).
42
Saxo Bank (2014b).
43
Swissquote (2012a).
44
Swissquote (2012b).
24
Table 7: Conditions of Swissquote 45

0.025% or minimum CHF 15 per quarter
EUREX Options: CHF 1.50 per contract

transaction volume:
CHF 501 20000 CHF 20
CHF 2001 10000 CHF 35
Separate fee per transaction of CHF 0.85
Brokerage fees
Account management
Private current account: no fees
0.10% p.a.
Not possible
4.4.3. Cash zweiplus

As a relatively young joint-Venture of the bank zweiplus and Cash, publisher of financial
and economic information, the Bank Cash zweiplus is an online bank focused on retail
banking 46. They are mainly offering products and services for payments, saving and investing. 47
Table 8: Conditions of Cash zweiplus 48
CHF 20 per quarter
Brokerage fees

CHF 29
Account management
Current account: No fees if deposit is higher than CHF 10000,

otherwise CHF 5 per month
0.125% p.a.
Not possible
45
Swissquote (2014).
46
Bank zweiplus (2014a).
47
Cash (2014a).
48
Cash (2014b), Cash (2013).
25
4.5. Other Banks

4.5.1. Migros Bank AG
Gottlieb Duttweiler founded Migros Bank AG in 1958 with the aim of providing a premium
service for attractive conditions. 49 Nowadays, this bank is one of the top ten retail banks in
Switzerland and has over 800000 clients. 50
Table 9: Conditions of Migros Bank AG 51
0.19% or minimum fee CHF 30 p.a.
EUREX Options: CHF 200 per trade
Brokerage fees

CHF 40
Account management
0.1% p.a.
Not possible
4.5.2. Bank Coop AG

Bank Coop was founded in the year 1927 under the name of Bank der Genossenschaften und Gewerkschaften (English: bank of associations and labor unions). 52 2001, the
cantonal bank of Basel (BKB) took over the controlling shareholding of Bank Coop. By
end of the first semester 2013, the bank managed CHF 18.32 billion client assets and is
represented with 32 branches all over Switzerland. 53
49
Migros Bank (2014a).
50
Migros Bank (2014b).
51
Migros Bank (2014c), Migros Bank (2014d).
52
Bank Coop (2014a).
53
Bank Coop (2014b).
26
Table 10: Conditions of Bank Coop AG 54

CHF 10 per position or minimum CHF 60 p.a.
EUREX Options: 1.75% or minimum CHF 140 + CHF 0.15

per contract
0.726% or minimum CHF 40, respectively CHF 58 for
Warrants
Brokerage fees
Account management
Private account: No fees if total deposits are more than CHF

25000, otherwise CHF 5 per month
0.05% p.a.
Not possible
4.5.3. PostFinance AG
Founded over 100 years ago as the financial service unit of the Federal Mail Service
(Swiss Post), PostFinances main duty was and still is conducting the national and international payments. Since then, the bank gained in the year 2013 the license for banking and
is now the fifth largest retail financial institution in Switzerland. 55 From autumn 2015,
Swissquote will operate as the trading platform for PostFinance and handling all trading
orders placed by the customers of PostFinance. 56
Table 11: Conditions of PostFinance AG 57
No fees

Trading volume:
CHF 0 5000 CHF 25
CHF 5001 10000 CHF 35
Additional fee: 0.006% of the trading volume or minimum

CHF 2
Brokerage fees
54
Bank Coop (2014c), Bank Coop (2013a, p. 1f), Bank Coop (2013b, p. 1).
55
PostFinance (2014a).
56
Swiss Post Ltd (2014).
57
PostFianance (2014b), PostFinance (2014c), PostFinance (2014d).
27
Account management
Current account: No fee if deposit is higher than CHF 7500,

otherwise CHF 5 per month
0.05% p.a.
Not possible
4.5.4. Raiffeisen
With a market share of 19% in the saving and investment business and 1032 branches,
Raiffeisen is one of the biggest Swiss banks for retail clients. Over 10500 employees are
responsible for 3.7 million of client accounts with a total deposits of CHF 138 billion. Raiffeisen is a cooperative bank with 1.8 million cooperative members. 58
In the analysis bellow I will consider the terms and conditions from the Raiffeisen group,
which are rather a recommendation and thus not binding. Therefore the terms and conditions of each Raiffeisen branch may vary.
Table 12: Conditions of Raiffeisen 59
0.20% or minimum CHF 5 per position p.a.
Brokerage fees
EUREX Options*: 0.75% + CHF 150

0.66% or minimum fee of CHF 40
Account management
Private account: No fees if deposit is higher than CHF 5000

otherwise CHF 30 p.a.
0.05% p.a.
Not possible
*No online trading available only tradable by phone with the client relationship manager
58
Raiffeisen (2014a).
59
Raiffeisen (2014b, p. 1), Raiffeisen (2014c), Raiffeisen (2014d, p. 1).
28
4.6. Stock Exchange and Taxes

The federal security transfer tax is a stamp duty and is charged by the government for
trading certain securities. For Swiss securities, the stamp duty is 1.5 (0.15%) from the
total trading volume. This tax is only being charged when trading stocks, bonds and other
securities and is not applicable when trading financial derivatives like options and warrants. 60 Further to this, the stock exchange is also charging a small fee 61, which includes
the reporting, trading and participant fee as well as the royalty for the Swiss Financial
Market Supervisory Authority (FINMA). In general this fee represents only a fraction
amount of the stamp duty, and thus it will be ignored for this analysis.
Lastly, in Switzerland the basic fees for the safekeeping account as well as for the account management are liable to VAT of 8.00%. In practice the VAT is already included in
the fee for account management, whereas this tax has to be added to the basic fee of the
safekeeping account (excluded). In contrary, all other transaction costs like brokerage
fees or fees for account management are exempt from this tax. 62
5. Conclusion I
5.1. Pre-assumptions
After defining in chapter 3.1 the term retail investor more accurately, I can now determine
the exact portfolio size and transactions in more detail. The average small investor in this
thesis has CHF 25000 on his safekeeping account and CHF 15000 cash on his deposit
account. Due to lowering the unsystematic risk, he will diversify his portfolio by investing
into several asset-categories. 63 Therefore he invests maximal CHF 6000 per strategy or
about one seventh of the whole amount on his bank account. On the basis of the numbers
from the documents of Swissquote 64, the average trading client of the bank is executing
12.5 transactions per year. Thus by taking into account the average transactions per option strategy of about 3 65, I assume that the typical retail investor will invest in four to five
option strategies per year.
60
All material in this section is derived from Eidgenssische Steuerverwaltung ESTV (2011).
61
SIX Swiss Exchange (2014).
62
Federal Act on Value Added Tax, Para. 21, Art. 19 lit. e).
63
Evans/Archer (1968, p. 761).
64
Swissquote (2013b, p. 7f)
65
Chapter 8.4 Evaluation Matrix.
29
Moreover to diversify the portfolio, the retail investor is also invested in six other investments like bonds or stocks. Those securities are in his safekeeping account and as a result, the fixed costs have to be divided by 10, which is an approximation for allocating a
fraction of the fixed costs to every investment he has (including the different instruments
for option strategies). The quotient of this calculation has to be added to the transaction
costs for every option strategy for comparing the different trading platform effectively.
In addition, for some option strategies like Long Butterfly Spread or Strap and Strip, we
use for constructing two or more equal options. For the calculations I only consider those
transactions as one, because it is one trade with double or threefold option contracts. The
reason for this is that banks are considering such transactions only as one and thus they
charge the trading fee only once. The exception is Swissquote, Saxo Bank and Bank Coop, where they charge a fee based on numbers of contracts. As we will see, such costs
are only a smaller fraction of the whole transaction fee. Last but not least, according to
Daniel Ballarin, the average price for one EUREX-contract may vary but for this analysis I
will fix the price at CHF 3.00 and thus the investor will buy about five option contracts (total CHF 1500). 66
These mentioned assumptions are mainly due to minimizing the complexity as well as
increasing the logical understanding of the analysis.
5.2. Conclusion of Trading Platforms

In conclusion, I can assess that there are significant differences between the twelve trading platforms, which I will divide into four parts. The detailed summaries of the trading platforms are in the chapters 5.3 and 5.4 as well as in the chapter 8.4 Evaluation Matrix.
5.2.1. Transaction Cost
The most attractive trading platform for retail investor is Swissquote, where the average
option strategy costs CHF 22.44 (without fixed costs) followed by Saxo Bank with CHF
91.06 (+406%). Both banks have attractive conditions for trading option strategies for individual investors because they are offering brokerage fee, which is based on a percontract-basis. As a result, the brokerage fee is minimal when trading only several contracts instead investing a bigger amount of money.
66
Interview Ballarin (2014).
30
With such a pricing, retail investors can highly benefit because there is no minimum fee.
After those two platforms, Credit Suisse with CHF 132.11 (+589%) is on the third rank,
followed by Zrcher Kantonalbank (CHF 159.20; +709%), Berner Kantonalbank (CHF
171.88; +766%), Bank Coop (CHF 321.11; +1431%), Raiffeisen (CHF 366.88; +1635%),
Migros Bank (CHF 408.74; +1821%) and UBS (CHF 453.39; +2020%). PostFinance,
Cash zweiplus and Banque Cantonal Vaudoise are on the last rank and not numerical
rated because they are not offering EUREX options and thus, option strategies cannot be
constructed at those platforms.
When taking into account the total transaction costs and including the fixed costs, the rank
is still the same. The average transaction cost of the nine banks, where EUREX options
are offered, is CHF 236.11 and when including fixed costs CHF 246.49.
5.2.2. Fixed Costs

Fixed costs, which are the basic fee for the safekeeping account and the management fee
for the deposit account, are not related directly to transaction costs. Nevertheless they
have to take into consideration when investing into securities because they negatively
influence the net performance of a portfolio.
In my analysis, these costs are not directly evaluated because they are less weighted in
relation to the direct transaction costs. However, there are significant differences, which
affect the profit of a retail investor. Only two banks do not charge any fees for the safekeeping account Saxo Bank and PostFinance. Therefore it is the most attractive possibility to keep the securities in the portfolio at those two trading platforms. On the third
rank, there is Banque Cantonal Vaudoise with total indirect costs of CHF 43.20, followed
by Migros Bank (CHF 51.30), Raiffeisen (CHF 54.00), Swissquote (CHF 64.80), Bank
Coop (CHF 66.10), Berner Kantonalbank (CHF 84.00), Cash zweiplus (CHF 86.40), UBS
(CHF 141.00), Zrcher Kantonalbank (CHF 206.40) and Credit Suisse (CHF 448.80).
This numbers are illustrating how significant the differences between the banks are and
therefore such indirect costs are affecting the performance of option strategies or any other investments highly.
31
5.2.3. Interest Margin

The interest margin, which is the difference between the interest on the debit and credit
account, shows how much spread takes the bank. The smaller this rate is, the smaller the
margin of the bank and thus, the less costly it is for a retail investor to borrow money or
more attractive to deposit money on the account.
The best conditions are offering Swissquote with a spread of 4.15%, Cash zweiplus and
Migros Bank with 6.625% respectively 7.90%. On the other side, the universal banks and
two cantonal banks have a spread which is higher than 12%.
5.2.4. EUREX Options vs. Warrants
As we saw in the previous analysis (Chapter 5.2.1 Transaction Cost), the differences in
the total transaction costs are massive when trading option strategies. As an investor,
there is also the possibility to trade warrants. A warrant is issued by a financial institution
and entitles the buyer of the derivative with the same rights as a EUREX option, but the
investor can only be on the buying-side and not selling them. 67
Due to the reason that warrants are standardized and have a higher margin for the issuing
bank, the conditions for trading such products are in general much more attractive for investors, especially when it comes to brokerage fee. Warrants are also traded on the SIX
Swiss Exchange and therefore banks are using the same tools for trading warrants as for
stocks and bonds, which leads to economies of scale. Therefore in Chapter 5.4 Evaluation
with Warrants, my analysis is mainly based on warrants, where this instrument is possible
for constructing option strategies (only for the long-side of options). As a result only nine
strategies are solely tradable with warrants and 36 strategies are still involving shorting
options and thus, the investor has still to trade EUREX options.
Trading warrants is less expensive and it is not required to set up a margin account. For
that reason the average net transaction costs are CHF 169.66 (excl. PostFinance, Cash
zweiplus and Banque Cantonal Vaudoise) and in average about 29% (-CHF 66.12)
cheaper than only with EUREX options. By using warrants instead of EUREX options, a
retail investor is able to diminish the transaction costs and increase the possible maximal
profit of his strategy.
67
All material in this section is derived from Oxford Dictionaries (2014).
32
Table 13: Conclusion of Trading Platforms - EUREX Options vs. Warrants
Transaction Costs w/ EUREX Options and Warrants

Transaction Cost of Option Strategies
EUREX Options
Warrants
Change
in %
1. Swissquote
22.44
35.74
+ 59%
2. Saxo Bank
91.06
92.60
2%
3. Credit Suisse
132.11
110.00
-17%
4. Berner Kantonalbank
171.88
117.23
-32%
5. Zrcher Kantonalbank
159.20
151.01
-5%
6. Bank Coop
321.11
230.66
-28%
7. Raiffeisen
366.88
234.35
-36%
8. UBS
408.74
255.72
-37%
9. Migros Bank
453.39
278.41
-39%
10. PostFinance
45.22*
11. Cash zweiplus
48.33*
12. Banque Cantonal Vaudoise
33.39*
Transaction Costs in CHF
236.31
169.66 / 137.82*
-29% /
-42%*
*Only the average transaction costs of nine out of 45 strategies.

5.2.5. Trading Possibilities
Every trading platform has their own trading policies on what products and services they
want to offer to their clients. For retail investor, only Saxo Bank is offering all products and
services, which are necessary to trade all option strategies. With their own CFD-products,
clients are able to selling the underlying security without owning it and thus shorting the
stock naked. All other banks do not offer short selling of stocks to retail clients. It remains
to mention that Saxo Bank do not offer warrants, which is not a clear disadvantages, because customers still have the possibility to buy and sell EUREX options.
Moreover, as already mentioned, PostFinance, Cash zweiplus and Banque Cantonal
Vaudoise are not offering EUREX options and therefore there are only nine option strategies, which can be constructed on their platform.
33
5.3. Evaluation with EUREX Options
UBS
0.20%
0.30
0.19%
0.00%
0.00%
0.025%
Fee*
0.00
0.00
5.00
2.50
0.00
0.85
0.40
0.00
0.00
0.00
0.00
0.00
Minimum Fee in CHF p.a.
60.00
0.00
0.00
0.00
50.00
60.00
0.00
0.00
30.00
0.00
80.00
40.00
% of Transaction
0.00%
0.00%
0.94%
0.5% + CHF
EUREX
1.75%
0.75% +
1.20%
0.00%
Options*1
minimum Fee in CHF
0.00
0.00
55.00
180.00
200.00
Fee per contract in CHF
1.50
8.00
0.00
% of Transaction
0.00%
0.10%
Minimum Fee in CHF
20.00
Minimum Fee in CHF (per position and per month)
60.00
1.0% +
CHF 60.00
CHF 150.00
Cash
Bank
Credit
80.00
140.00 +
0.00
0.15
0.00
0.00
0.00
0.79%
0.50%
0.00%
0.726%
0.66%
0.90%
0.00%
0.00%
0.00%
0.00%
18.00
55.00
50.00
25.00
40.00
40.00
40.00
40.00
25.00
29.00
17.90
18.00
Separate Transaction Fee in CHF
0.85
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.00
0.00
Account Management Fee per month in CHF
0.00
0.00
5.00
1.00
2.50
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4.15%
8.02%
12.475%
12.45%
8.90%
11.45%
9.95%
7.90%
7.90%
9.45%
6.625%
10.90%
Stocks*1
Short selling in CHF
Interest Margin (Difference between credit

and debit interest)
Federal Security Transfer Tax and VAT
Option Strategy in CHF*
Fixed Costs in CHF*3

Total Transaction Costs per Option Strategy in CHF
Transaction
Raiffeisen
0.00%
Total
Bank Coop
0.017%
BCV
BEKB
0.25%
zweiplus
ZKB
0.30%
Migros
Saxo Bank
0.00%
% of Transaction
Suisse
Swisquote
0.03%
Terms and Conditions
Basic
PostFinance
Table 1 : Evaluation with EUREX Options 68
8.15%
22.44
91.06
132.11
159.20
171.88
321.11
366.88
408.74
453.39
236.11
6.48
0.00
44.88
20.64
8.40
6.61
5.40
14.10
5.13
0.00
8.64
4.32
10.38
28.92
91.06
176.99
179.84
180.28
327.72
372.28
422.84
458.52
(0.00)
(8.64)
(4.32)
246.49
*1 Either or not possible that two or more fees are getting charged only one fee per category.
*2 Including transaction costs of EUREX options and stocks, separate transaction fees, federal security transfer tax and VAT.
*3 Including fix costs like basic fee for the safekeeping account and the account management fee.
68
All material in this table is derived from chapter 8.4 Evaluation Matrix.
34
5.4. Evaluation with Warrants
UBS
0.20%
0.30%
0.19%
0.00%
0.00%
0.025%
0.00
0.00
0.00
2.50
5.00
0.85
0.40
0.00
0.00
0.00
0.00
0.00
Minimum Fee in CHF p.a.
60.00
0.00
50.00
0.00
0.00
60.00
0.00
0.00
30.00
0.00
80.00
40.00
% of Transaction
0.00%
0.00%
1.0% +
0.5% +
CHF 60.00
CHF 60.00
0.94%
1.75%
EUREX Op-
1.20%
0.00%
tions*1
minimum Fee in CHF
0.00
0.00
80.00
55.00
140.00 +
150.00
180.00
200.00
Fee per contract in CHF
1.50
8.00
0.00
0.00
0.15
0.00
0.00
0.00
Stocks*1
% of Transaction
0.00%
0.10%
0.00%
0.50%
0.79%
0.726%
0.66%
0.90%
0.00%
0.00%
0.00%
0.00%
Minimum Fee in CHF
20.00
18.00
25.00
50.00
55.00
40.00
40.00
40.00
40.00
25.00
29.00
17.90
Warrants*1
0.00%
0.00%
0.50%
0.79%
0.726%
0.66%
0.90%
0.00%
0.00%
0.00%
0.00%
Minimum Fee in CHF
20.00
25.00
60.00
55.00
58.00
40.00
40.00
40.00
25.00
29.00
17.90
18.00
0.85
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2.00
0.00
2.00
0.00
0.00
2.50
1.0
1.00
0.00
0.00
5.00
0.00
0.00
0.00
0.00
4.15%
8.02%
8.90%
12.45
12.475%
11.45%
9.95%
12.475%
7.90%
9.45%
6.625%
10.90%
Minimum Fee in CHF (per

position and per month)
Short selling in CHF

Separate Transaction Fee in CHF
Account Management Fee per month in
CHF
Interest margin (Difference between credit
and debit interest)
CHF
Cash
Bank
Credit
Federal Security Transfer Tax and VAT
0.75% +
Transaction
Raiffeisen
0.00%
Total
Bank Coop
0.30%
BCV
ZKB
0.25%
zweiplus
BEKB
0.017%
Migros
Saxo Bank
0.00%
% of Transaction
Suisse
Swisquote
0.03%
Terms and Conditions
Basic Fee*1
PostFinance
Table 2: Evaluation with Warrants 69
8.15%
Option Strategy in CHF*2
35.74
92.60
117.23
151.01
131.11
230.66
234.35
255.72
278.51
(45.22)
(48.33)
(33.39)
169.66
Fixed Costs in CHF*3
6.48
0.00
6.61
20.64
44.88
6.61
5.40
14.10
5.13
0.00
8.64
4.32
10.38
42.22
92.60
123.84
171.65
175.99
237.27
239.73
269.73
283.64
(45.22)
(56.97)
(37.71)
180.04
Total Transaction Costs per Option

Strategy in CHF
*1 Either or not possible that two or more fees are getting charged only one fee per category.
*2 Including transaction costs of EUREX options and stocks, separate transaction fees, federal security transfer tax and VAT.
*3 Including fix costs like basic fee for the safekeeping account and the account management fee.
69
35
6. Option Strategies
Now we turn on to option strategies. In the following chapter the reader will receive a short
but comprehensive overview of over 45 strategies. Every strategy is unique in relation to
the expectation, the set up or the risk profile. In general, some option strategies are technically feasible either with call or put options, but by reasons of simplicity I will discuss
only call options in such a scenario.
Furthermore I will not examine calendar spread, because the spread is created with different time of maturity of the used options. The reason for this is that on one hand that for
those strategies an investor needs a deeper knowledge about the set up and especially
the Theta (time value of the option). On the other hand, in practice, it is hard to handle the
different times to mature, especially when it comes to calculations and when to execute
the rights.
In addition, in the following analysis I will merely consider American options instead of
European options, because American options are traded more often, especially on the
EUREX Exchange. Moreover, European options are only traded on the OTC market and
therefore are related to higher transaction costs and not tradable by online banking. 70
Explanation for the tables:
ATM = At-the-money
ITM = In-the-money
OTM = Out-the-money
K = Strike level (K1 is the lowest strike level and then increases by K2, K3 etc.)
* = This strategy can also be constructed with Put options
For one option contract = 100 underlying securities
Figure 2: Symbol icon
Beginner
Intermediate
Expert
Source: own illustration, according to Archeolog-home (2014).
70
EUREX Exchange (2014).
36
6.1. Neutral Strategies

For this strategy, investors are expecting in general that the prices of the underlying assets will move only sideways with low upside and downside
peaks. In other words, he is mainly looking for low volatility during the lifetime of the option strategy and thus bearish on volatility.
Table 14: Neutral Strategies
Strategy
Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Limited risk
4 transactions:
1 x Short OTM Call option with K3 (C)
(K2 K1 net debit
(Net debit paid)
Buying two different

options (A), (B)
1 x Long OTM Call option with K4 (D)
paid)
The Setup
Long Condor
1 x Long ITM Call option with K1 (A)
Spread*
1 x Short ITM Call option with K2 (B)
Transactions
Payoff-diagram
Figure 3: Long Condor Spread
Selling two different

options (C), (D)
Source: own illustration, according to

Optionsplaybook (2014).
Long Butterfly
Spread*
Figure 4: Long Butterfly Spread

Limited reward
Limited risk
3 transactions:
(K2 K1 Net debit
(Net debit paid)

options (A), (C)
2 x Short ATM Call options with K2 (B)

1 x Long OTM Call option with K3 (C)
paid)
Selling two equal

options (B)

37
Strategy
The Setup
Short Straddle
1 x Short ATM Call option with K1 (A)
Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Unlimited risk
Transactions
Payoff-diagram
Figure 5: Short Straddle
1 x Short ATM Put option with K1 (B)
2 transactions:
options (A), (B)
(Net credit received)

TheOptionsGuide (2009).
Short Strangle
1 x Short OTM Put option with K1 (B)
Figure 6: Short Strangle

Limited reward
Unlimited risk
1 x Short OTM Call option with K2 (A)
2 transactions:
options (A), (B)

Short Gut
1 x Short ITM Call option with K1 (A)
Spread
1 x Short ITM Put option with K2 (B)
Figure 7: Short Gut Spread

Limited reward
Unlimited risk
2 transactions:
options (A), (B),

Cohen (2005, p.185).
38
Strategy
The Setup
Long Iron But-
1 x Long OTM Put option with K1 (A)
terfly Spread

1 x Short ATM Call option with K2 (C)
Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Limited risk
4 transactions:
K3 K2 Net credit

options (A), (D)
Transactions
Payoff-diagram
Figure 8: Long Iron Butterfly Spread
received
1 x Long OTM Call option with K3 (D)

options (B), (C)
Long Box
Spread
Figure 9: Long Box Spread

Limited reward
Limited risk
4 transactions:
1 x Long ITM Put option with K2 (C)
(K2 K1 Net debit
( K2 K1 Net debit

options (B), (D)
1 x Short OTM Put option with K1 (D)
paid or + Net credit
received)
received)
1 x Short OTM Call option with K2 (B)

options (A), (C)
Long Ladder
Spread*
1 x Short ATM Call option with K2 (B)

Figure 10: Long Call Ladder Spread

Limited reward
(K2 K1 Net debit

paid)
Unlimited risk
3 transactions:
options (B), (C)
Buying one option
(A)
39
Strategy
The Setup
Ratio Call Write
Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Unlimited risk
Transactions
Payoff-diagram
Figure 11: Ratio Call Write
100 x Long underlying securities (B)
2 transactions:
Selling one option
(A)
Buying 100 underlying securities (B)

Ratio Put Write
100 x Short underlying securities (A)
Figure 12: Ratio Put Write

Limited reward
Unlimited risk
2 transactions:
Selling 100 underlying securities (A)
Selling one option

(B)
Double Butter-
fly Spread*
2 x Short ATM Call option with K2 (B)
Figure 13: Double Butterfly Spread

Limited reward
Limited risk
6 transactions:
(K2 K1 Net debit
(Net debit paid)
2 x Short OTM Call option with K4 (D)
paid) or (K4 K3
Buying three different options (A),

(C), (E)
1 x Long OTM Call option with K5 (E)
Net debit paid)

options (B), (D)

OptionTradingpedia (2014).
40
Strategy
The Setup
Variable Ratio
100 x Long underlying securities (A)
Write
1 x Short ITM Call option with K1 (B)

Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Unlimited risk
Transactions
Payoff-diagram
Figure 14: Variable Ratio Write
(Net credit received +

K1 purchase price
of (A))
3 transactions:
Buying underlying
securities (A)
options (B), (C)

41
6.2. Volatile Strategies

This strategy is for an investor, who has an aggressively bullish outlook on volatility. He expects that the underlying security will move drastically
and explosively downwards or upwards during the lifetime of the option strategy. In general, traders of volatile strategies have a neutral outlook.
Such scenarios are often the case before corporations are publishing the results of their earnings and profits.
Table 15: Volatile Strategies
Strategy
Long Straddle
The Setup
1 x Long ATM Call option with K1 (A)
Maximum Potential
Profit
Maximum Potential
Loss
Unlimited reward
Limited risk
2 transactions:
(Net debit paid)

options (A), (B)
Transactions
Payoff-diagram
Figure 15: Long Straddle
1 x Long ATM Put option with K1 (B)
Source: own Illustration, according to

OptionTradingTips (2005).
Long Strangle
1 x Long OTM Call option with K2 (A)
Figure 16: Long Strangle

Unlimited reward
Limited risk
2 transactions:
(Net debit paid)

options (A), (B)
1 x Long OTM Put option with K1 (B)

Option Trading Guide (2013).
42
Strategy
The setup
Long Gut
Spread
1 x Long ITM Put option with K2 (B)
Maximum potential
profit
Maximum potential
loss
Unlimited reward
Limited risk
2 transactions:
(Net debit paid)

options (A), (B)
Transaction costs
Payoff-diagram
Figure 17: Long Gut Spread

Cohen (2005, p.143).
Call Ratio Back
Spread*
2 x Long OTM Call option with K2 (B)
Figure 18: Call Ratio Back Spread

Unlimited reward
Limited risk
2 transactions:
K2 K1 net credit
Selling one option

(A)
received or + net
debit paid
Buying two equal

options (B)
Strap
1 x Long ATM Put option with K1 (A)
Figure 19: Strap

Unlimited reward
Limited risk
2 transactions:
(Net debit paid)

options (A), (B)
2 x Long ATM Call option with K2 (B)

43
Strategy
Strip
The Setup
1 x Long ATM Call option K1 (A)
Maximum Potential
Profit
Maximum Potential
Loss
Unlimited reward
Limited risk
2 transactions:
(Net debit paid)

options (A), (B)
Transactions
Payoff-diagram
Figure 20: Strip
2 x Long ATM Put option K2 (B)

Short Condor
Spread*
1 x Long ITM Call option with K2 (B)

Figure 21: Short Condor Spread

Limited reward
Limited risk
4 transaction:
(K2 K1 Net credit

options (A), (D)
received)
1 x Short OTM Call option with K4 (D)

options (B), (C)
Short Butterfly
Spread

Figure 22: Short Butterfly Spread

Limited reward
Limited risk
3 transactions:
(Net credit received
(K2 K1 net credit

options (A), (C)
net debit paid)
received + net debit

paid)
Buying one option

(B)
44
Strategy
The Setup
Short Ladder
Spread*

Maximum Potential
Profit
Maximum Potential
Loss
Unlimited reward
Limited risk
3 transactions:
(Price of underlying
(K2 K1 Net credit
Selling one option

(A)
at maturity Breake-
ven of (C))
paid)
Transactions
Payoff-diagram
Figure 23: Short Call Ladder Spread

options (B), (C)
45
6.3. Moderately Bullish Strategies

In a moderately bullish strategy, investors are counting on slightly rising prices of the underlying security during the lifetime of the instrument. With
this strategy, investors are able to maximize the profits in a sideway moving market.
Table 16: Moderately Bullish Strategies

Strategy
The Setup
Collar
Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Limited risk
3 transactions:
(K1 Purchase price
(Purchase price of
Selling one option

(A)
of (C) Net debit
(C) K2 Net credit
received or + Net
received)
debit paid)
Payoff-diagram
Figure 24: Collar

100 x Long underlying securities (C)
Transactions
Buying one option

(B)
Buying underlying
securities (C)

Optionseducation (2014).
Long Call
Spread*
Figure 25: Long Call Spread

Limited reward
Limited risk
2 transactions:
(K2 K1 Net debit
(Net debit paid)
Selling one option

(B)
paid)
Buying one option

(A)
46
Strategy
The Setup
Short Ratio
Call Spread*
Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Unlimited risk
Transactions
Payoff-diagram
Figure 26: Short Ratio Call Spread
2 transactions:
Selling two equal
option (B)
(K2 K1 Net debit

Buying one option

(A)
received)

Uncovered Put
1 x Short ATM Put option with K1 (A)
Figure 27: Uncovered Put

Limited reward
Unlimited risk
1 transaction:
Selling one option
(A)
Net credit received

Covered
1 x Short OTM Put option with K1 (A)
Combination

Figure 28: Covered Combination

Limited reward
(K2 Purchase price

of (B) + Net credit
received)
Unlimited risk
3 transactions:
options (A), (B)
Buying underlying
securities (C)
47
Strategy
Zero-Cost
Collar
Maximum Potential
Profit
Maximum Potential
Loss
1 x Short OTM LEAPS Call option

with K1 (A)
Limited reward
Limited risk
3 transactions:
1 x Long ATM LEAPS Put option with

K2 (B)
(K1 Purchase price
(K1 Purchase price
Selling one LEAPS

option (A)
of (C) Net debit
of (C) Net debit
paid)
paid)
The Setup
Transactions
Figure 29: Zero-Cost Collar
Buying one LEAPS

option (B)
Buying underlying
securities (C)
Covered Short
Call
Payoff-diagram

Figure 30: Covered Short Call
Limited reward
Unlimited risk
2 transactions:
Selling one option
(A)
(K1 purchase price

of (B) Net credit
Buying underlying
securities (B)
received)

Cash-Secured
Put
Figure 31: Cash-Secured Put

Limited reward
1 x Cash on account (B)

Unlimited risk
2 transactions:
Selling one option
(A)
Deposit cash (B)
48
6.4. Sustained Bullish Strategies

An investor is expecting substantial rising prices of the underlying security in the next three to six months. To maximize his profit and minimizing
the potential loss if possible, he has the possibility to construct the following option strategies.
Table 17: Sustained Bullish Strategies
Strategy
Protective Put
The Setup
Maximum Potential
Profit
Maximum Potential
Loss
Unlimited reward
Limited risk
2 transactions:
(Net debit paid)
Buying one option

(A)
Transactions
Payoff-diagram
Figure 32: Protective Put
Buying underlying
securities (B)
OptionMonster (2014).
Long Call
Figure 33: Long Call

Unlimited reward
Limited risk
1 transaction:
(Net debit paid)
Buying one option

(A)

49
Strategy
The Setup
Synthetic Long
Stock
Maximum Potential
Profit
Maximum Potential
Loss
Unlimited reward
Unlimited risk
Transactions
Payoff-diagram
Figure 34: Synthetic Long Stock
2 transactions:
Selling one option
(B)
Buying one option
(A)
Bull Spread
1 x Long OTM Put option with K1 (D)
Spread
1 x Short OTM Put option with K2 (C)
Figure 35: Bull Spread Spread

Limited reward
Limited risk
4 transactions:
(K4 K3 Net debit
(K2 K1 Net debit

options (B), (D)
paid)
paid)

options (A), (C)
Cash-Secured
Call
Figure 36: Cash-Secured Call

Unlimited reward
Limited risk
2 transactions:
Net debit paid
Buying one option

(A)
1 x Cash on account (B)
Deposit cash (B)

50
Strategy
The Setup
Call Back
Spread
Maximum Potential
Profit
Maximum Potential
Loss
Unlimited reward
Limited risk
2 transactions:
(K2 K1 net credit
Selling one option

(A)
Transactions
Payoff-diagram
Figure 37: Call Back Spread
received or + net
debit paid)
Buying two equal

options (B)
Long Combo
1 x Short OTM Put option with K1 (A)
Spread
Figure 38: Long Combo Spread

Unlimited reward
Unlimited risk
2 transactions:
options (A), (B)

Cohen (2005, p.278).
51
6.5. Moderately Bearish Strategies

A moderately bearish strategy pursues the goal of slightly falling prices of the underlying security during the lifetime of the option strategy. Therefore an investor has the possibility to maximize his profit in the short-term even if the market and the underlying security is in a bearish trend.
Table 18: Moderately Bearish Strategies
Strategy
The Setup
Short Call
Spread*
1 x Long OMT Call option with K2 (B)
Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Limited risk
2 transactions:
(K1 K2 Net credit
Selling one option

(A)
Transactions
Payoff-diagram
Figure 39: Short Call Spread
received)
Buying one option

(B)
Uncovered Call
Figure 40: Uncovered Call

Limited reward
Unlimited risk
1 transaction:
Selling one option
(A)

52
Strategy
The Setup
Short Ratio Put
2 x Short OTM Put options with K2 (A)
Spread
Maximum Potential
Profit
Maximum Potential
Loss
Limited reward
Unlimited risk
Transactions
Payoff-diagram
Figure 41: Short Ratio Put Spread
2 transactions:
Selling two equal
options (A)
(K1 K2 Net credit

received)
Buying one option

(B)
Covered Short
Put
100 x Short underlying securities (B)
Figure 42: Covered Short Put

Limited reward
Unlimited risk
2 transactions:
Selling one option
(A)
Selling underlying
securities (B)
Cohen (2005, p. 83)
Bear Spread
1 x Long OTM Call option with K4 (A)
Spread
Figure 43: Bear Spread Spread

Limited reward
Limited risk
4 transactions:
1 x Long OTM Put option with K2 (C)
(K2 K1 Net debit
K4 K3 Net debit

options (B), (D)
1 x Short OTM Put option with K1 (D)
paid)
paid

options (A), (C)
53
6.6. Sustained Bearish Strategies

With this strategy, an investor is expecting falling prices of the underlying during the time of the option strategy. Compared with the moderately
bearish strategy, traders of such instruments believe in considerably lower prices in the future and a downturn-trend of the markets.
Table 19: Sustained Bearish Strategies
Strategy
Long Put
The Setup
Maximum Potential
Profit
Maximum Potential
Loss
Unlimited reward
Limited risk
1 transaction:
(Net debit paid)
Buying one option

(A)
Transactions
Payoff-diagram
Figure 44: Long Put

Synthetic
Short Stock
Figure 45: Synthetic Short Stock

Unlimited reward
Unlimited risk
2 transactions:
Selling one option
(A)
Buying one option
(B)
54
Strategy
The Setup
Short Combo
1 x Long OTM Put option with K1 (A)
Spread
Maximum Potential
Profit
Maximum Potential
Loss
Unlimited reward
Unlimited risk
Transactions
Payoff-diagram
Figure 46: Short Combo Spread
2 transactions:
Selling one option
(B)
Buying one option
(A)
Cohen (2005, p. 282)
Put Back
1 x Short ITM Put option with K1 (A)
Spread
Figure 47: Put Back Spread

Unlimited reward
Limited risk
2 transactions:
(K1 K2 net credit
Selling one option

(A)

paid)
Buying two equal

options (B)
55
7. Conclusion II
7.1. Conclusion of Option Strategies
After explaining every option strategy in more detail, I will now analyze each one in relation to
cost efficiency and loss and profit potential. On the basis of the terms and conditions from the
different trading platforms, I will rank every option strategy according to the average transaction costs.
Furthermore, this analysis is divided into the six market expectations and it can be seen the
different transaction costs when using only EUREX options, on one hand, and warrants as an
addition on the other hand. There is also the difference between of the two approaches in
percentages and thus the reader is able to see what the potential costs savings are.
Moreover, if the average transaction costs of two different option strategies are similar, an
investor should also take into account the loss- and profit-outlook of the investment. Therefore an unlimited profit potential is preferred to a limited profit potential. In contrary, an unlimited loss potential is less favorable than a limited loss potential.
7.1.1. Neutral Strategies

Table 20: Evaluation Option Strategies - Neutral Strategies 71
Transaction Costs
Strategy
Change
EUREX
Neutral Strategies
Options
Warrants
in %
Maximum
Maximum
Potential
Potential
Profit
Loss
Ratio Put Write*
58.00
(58.00)
0%
Limited
Unlimited
Ratio Call Write
141.88
(141.63
0%
Limited
Unlimited
Short Straddle
206.19
(206.19)
0%
Limited
Unlimited
Short Strangle
206.19
(206.19)
0%
Limited
Unlimited
Short Gut Spread
206.19
(206.19)
0%
Limited
Unlimited
Variable Ratio Write
244.98
(244.73)
0%
Limited
Unlimited
Long Butterfly Spread
309.28
187.28
-39%
Limited
Limited
Long Ladder Spread
309.28
248.28
-20%
Limited
Unlimited
71
56
412.38
290.38
412.38
290.38
Long Box Spread
412.38
290.38
Double Butterfly Spread
515.47
Transaction Cost
286.22
Neutral Strategies
Long Condor Spread

Long Iron Butterfly
Spread
-30%
Limited
Limited
Limited
Limited
-30%
Limited
Limited
332.47
-36%
Limited
Limited
223.83
-15%
-30%
* This strategy can only constructed at the trading platform of Saxo Bank because it contains
short selling of the underlying without owning it.
7.1.2. Volatile Strategies

Table 21: Evaluation Option Strategies - Volatile Strategies 72
Transaction Costs
Strategy
Change
EUREX
Volatile Strategies
Options
Warrants
in %
Maximum
Potential
Profit
Maximum
Potential Loss
Long Straddle
206.19
75.79
-63%
Unlimited
Limited
Long Strangle
206.19
75.79
-63%
Unlimited
Limited
Long Gut Spread
206.19
75.79
-63%
Unlimited
Limited
Strap
206.19
75.79
-63%
Unlimited
Limited
Strip
206.19
75.79
-63%
Unlimited
Limited
Call Ratio Back Spread
206.19
145.19
-30%
Unlimited
Limited
Short Condor Spread
412.38
290.38
-30%
Limited
Limited
Short Butterfly Spread
309.28
248.28
-20%
Limited
Limited
Short Ladder Spread
309.28
187.28
-39%
Unlimited
Limited
Transaction Cost
252.01
138.90
-48%
72
57
7.1.3. Moderately Bullish Strategies

Table 22: Evaluation Option Strategies - Moderately Bullish Strategies 73
Transaction Costs
Moderately Bullish Strategies
Strategy
EUREX
Options
Change
Warrants
in %
Maximum
Potential
Profit
Maximum
Potential Loss
Uncovered Put
103.09
(103.09)
0%
Limited
Unlimited
Cash-Secured Put
103.19
(103.19)
0%
Limited
Unlimited
Covered Short Call
141.88
(141.63)
0%
Limited
Unlimited
Long Call Spread
206.19
145.19
-30%
Limited
Limited
Short Ratio Call Spread
206.19
145.19
-30%
Limited
Unlimited
Collar
244.98
183.73
-25%
Limited
Limited
Covered Combination
244.98
(244.73)
0%
Limited
Unlimited
Zero-Cost Collar*
244.98
183.73
-25%
Limited
Limited
Transaction Cost
186.94
156.31
-14%
* According to Adam Matuszewski, Equity Product Manager at SIX Swiss Exchange Ltd, the
SIX Exchange does not LEAPS, which are long-term options, as a special single derivative. 74
Nevertheless there is the possibility to trade options with a time to maturity of several years. 75
7.1.4. Sustained Bullish Strategies

Table 23: Evaluation Option Strategies - Sustained Bullish Strategies 76
Transaction Costs
Strategy
EUREX
Change
Warrants
in %
Strategies
Sustained Bullish
Options
Maximum
Maximum
Potential
Potential
Profit
Loss
Long Call
103.09
37.9
-63%
Unlimited
Limited
Cash-Secured Call
103.19
38.3
-63%
Unlimited
Limited
Protective Put
141.88
73.31
-48%
Unlimited
Limited
Call Back Spread
206.19
145.19
-30%
Unlimited
Limited
Synthetic Long Stock
206.19
144.36
-30%
Unlimited
Unlimited
Long Combo Spread
206.19
206.19
0%
Unlimited
Unlimited
Bull Spread Spread
412.38
290.38
-30%
Limited
Limited
Transaction Cost
197.02
133.66
-38%
73
74
CBOE (2014).
75
Interview Matuszewski (2014).
76
58
7.1.5. Moderately Bearish Strategies

Table 24: Evaluation Option Strategies - Moderately Bearish Strategies
Moderately Bearish Strategies
Transaction Costs
Strategy
Change
EUREX
Options
Warrants
in %
Maximum
Potential
Profit
Maximum
Potential Loss
Covered Short Put*
58.00
(58)
0%
Limited
Unlimited
Uncovered Call
103.09
(103.09)
0%
Limited
Unlimited
Short Call Spread
206.19
145.19
-30%
Unlimited
Unlimited
Short Ratio Put Spread
206.19
145.19
-30%
Limited
Unlimited
Bear Spread Spread
412.38
288.71
-30%
Limited
Limited
Transaction Cost
197.17
148.04
-18%
* This strategy can only constructed at the platform of Saxo Bank because it contains selling
the underlying without owning it.
7.1.6. Sustained Bearish Strategies

Table 25: Evaluation Option Strategies - Sustained Bearish Strategies 77
Strategy
EUREX
Options
Strategies
Sustained Bearish
Transaction Costs
77
Maximum
Change in %
Warrants
Potential
Profit
Maximum
Potential Loss
Long Put
103.09
37.90
-63%
Unlimited
Limited
Put Back Spread
206.19
144.36
-30%
Unlimited
Limited
Synthetic Short Stock
206.19
144.36
-30%
Unlimited
Unlimited
Short Combo Spread
206.19
144.36
-30%
Unlimited
Unlimited
Transaction Costs
180.42
118.37
-38%
59
8. Final Conclusion
The final conclusion contains the two previous outcomes from the chapters Conclusion I and
II about the different option strategies and the twelve trading platforms.
8.1. Trading Platform

First of all, not every trading platform is offering the possibility to trade EUREX options. As a
result, only at nine out of twelve banks, investors are able to construct option strategies. If a
retail client is interested in trading all 45 strategies, only Saxo Bank is providing all financial
instruments and possibilities to overcome the Swiss legal limitations.
Secondly, the most attractive platforms to trade option strategies are Swissquote with an average total transaction costs of CHF 28.92 (with warrants CHF 42.22) and Saxo Bank with
CHF 91.06 (CHF 92.60). At the third place there is the Berner Kantonalbank with CHF 180.28
(CHF123.84) followed by the Zrcher Kantonalbank with CHF 179.84 (CHF 171.65) and
Credit Suisse with CHF 176.99 (CHF 175.99). Further to this, Raiffeisen (CHF 372.28;
239.73), UBS (CHF 422.84; 269.73) and Migros Bank (CHF 458.52; 283.64) are offering the
most expensive conditions to their customers. PostFinance, Cash zweiplus and Banque Cantonal Vaudoise doesnt offer EUREX options and therefore option strategies cannot be traded.
Thirdly, when it comes to fixed costs, there are financial institutions, who do not charge any
basic fee for the safekeeping account like PostFinance and Saxo Bank. In contrary, the universal banks and the Zrcher Kantonalbank charge up to CHF 448.80 to their customers.
Consequently investments made at those banks have to perform clearly better to be in the
profit zone than on a portfolio at PostFinance or Saxo Bank. Especially nowadays with higher
standardization, technological progress in the IT-infrastructure and increasing competition in
the retail market, the pressure for offering attractive conditions will lower the fees in the midand long-run. 78
78
Interview Eichenberger (2014).
60
Since the beginning of 2009, the Swiss National Bank is setting an operational target range
for its reference interest rate (three-month LIBOR) lower than 0.5%. Nevertheless, some
banks didnt adapt the current level to their interest-rate policy. As a result, only seven banks
have an interest rate-spread below 10%. As we are talking only from the perspective of a
retail investor, the differences in absolute numbers are not tremendous.
Nonetheless, a higher interest spread indicates a general higher margin requirement of the
financial institutions. It can be seen that banks with a higher spread of 10% tends to have
higher transaction and fixed costs.
There are several ways for retail investors to minimize the variable (direct) and fixed (indirect)
costs. One way is to concentrate the assets on one bank (pension funds, mortgages, portfolios, and cash) and thus having more negotiation power when it comes to terms and conditions. Another possibility is to buy trading packages, where the client buys a fixed number of
trades per months, which is in general cheaper than single fees. 79 Additionally, by increasing
numbers of trades or/and trading volume, banks upgrade such clients to the Private Bankingdesk, where they get an extensive and qualitatively superior service for lower conditions.
8.2. Option Strategies

Generally speaking, most of the option strategies are technically feasible at most of the platforms. There are only two strategies, which cannot be constructed because they are containing short selling of the underlying security. There is also a strategy, where it is necessary to
execute LEAPS, which are not offered in Switzerland. In such a case, investors can trade
normal EUREX options with longer time to maturity.
By using warrants, the transaction costs can be reduced on average by about 29% (from 0%
just to -63%). Therefore retail investors should be using warrants instead of more expensive
EUREX options with the exception of Swissquote and Saxo Bank. In general, strategies with
fewer transactions are easier to trade and also related to lower transaction costs. As a result,
retail investors should rather choose an option strategy with fewer legs and less different options. Moreover, an option strategy with unlimited profit or limited loss potential should be
favored over a limited maximal profit respectively an unlimited loss potential.
79
Swissquote (2010).
61
Of course, every strategy has different features, especially if its a credit or debit transaction.
This aspect is not weighted, because a retail investor only receives a small credit amount
from selling EUREX options and therefore the possible payoff is more important.
8.3. Break-Even Point

As we have seen before, Swissquote and Saxo Bank have the most attractive conditions.
Hence this paragraph is only covering those two trading platforms. The break-even point
(short BE) is a fixed level, where an investor does not make a net profit nor a net loss (after
fees) and is equal off before the investment was made. 80 Therefore, the break-even is depending on the amount of the investment and the indirect and direct transaction costs. As
already mentioned above, the maximal amount for each investment is CHF 6000 for retail
investors. As a consequence, the break-even of Swissquote is in average 0.5% with EUREX
options and when including warrants 0.7%. Saxo Bank has an average BE of 1.5% with EUREX options (warrants are not offered). With such conditions, option strategies are, in principle, attractive because of the low break-even level and therefore retail investors are also able
to invest in such strategies with a smaller amount of money.
When including the other banks, the break-even point varies between 2.8% and 7.6%, respectively for warrants 2.1% and 4.7%. With such conditions, the option strategies are clearly
less attractive because the investment has to perform noticeably better to be equal off.
We must not lose sight of the fact that there are also other influences like the opportunity
costs, the risk premium, especially when it is an unlimited loss potential, as well as the
spread of bid and ask price of securities. Those costs have to be taken into account when
trading a certain strategy.
To sum up my bachelor thesis, option strategies are an interesting and multifunctional tool of
generating profits in every market direction. When it comes to transaction costs, Swissquote
and Saxo Bank are offering the most attractive conditions, where it is possible to invest in
such strategies with a minimum of assets. In contrary to those two trading platforms, the other ten analysed banks have much higher costs. This makes it more difficult to trade option
strategies successfully and to generate net profits. Nevertheless, there are also hidden costs,
which have a negatively influence on the payoff of the strategy.
80
Investorwords (2014).
62
8.4. Evaluation Matrix
160.00
33.40
800.00
563.00
645.00
412.38
540.00
165.00
202.50
225.00
120.00
25.05
600.00
422.25
483.75
309.28
Short Straddle
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Short Strangle
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Short Gut Spread

Long Iron Butterfly
Spread
Long Box Spread
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
720.00
220.00
270.00
300.00
160.00
33.40
800.00
563.00
645.00
412.38
720.00
220.00
270.00
300.00
160.00
33.40
800.00
563.00
645.00
412.38
Long Ladder Spread
540.00
165.00
202.50
225.00
120.00
25.05
600.00
422.25
483.75
309.28
Ratio Call Write
222.25
112.25
119.75
102.25
60.25
31.45
242.25
183.00
203.50
141.88
Ratio Put Write
58.00
58.00
703.75
806.25
515.47
gies
Strategies
Strategies
Moderately bearish
Sustained bullish Strate-
Moderately bullish Strategies
Volatile Strategies
Double Butterfly
Spread
Sustained bearish
Transaction Cost
per Strategy
Raiffeisen
300.00
PostFinance
270.00
Bank Coop
220.00
Migros Bank
720.00
Cash zweiplus
Swissquote
Saxo Bank
Total transactions
BCV
Other
BEKB
Short Stock
ZKB
Long Stock
Credit Suisse
Short Option
Long Condor Spread
UBS
Long Option
Neutral Strategies
8.4.1. EUREX Options
900.00
275.00
337.50
375.00
200.00
41.75
1'000.
00
402.25
167.25
187.25
177.25
100.25
39.80
442.25
323.75
364.75
244.98
Long Straddle
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Long Strangle
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Long Gut Spread
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Strap
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Strip
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Short Condor Spread
720.00
220.00
270.00
300.00
160.00
33.40
800.00
563.00
645.00
412.38
540.00
165.00
202.50
225.00
120.00
25.05
600.00
422.25
483.75
309.28
Short Ladder Spread
540.00
165.00
202.50
225.00
120.00
25.05
600.00
422.25
483.75
309.28
Collar
402.25
167.25
187.25
177.25
100.25
39.80
442.25
323.75
364.75
244.98
Long Call Spread
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
180.00
55.00
67.50
75.00
40.00
8.35
200.00
140.75
161.25
103.09
Covered Combination
402.25
167.25
187.25
177.25
100.25
39.80
442.25
323.75
364.75
244.98
Zero-Cost Collar
402.25
167.25
187.25
177.25
100.25
39.80
442.25
323.75
364.75
244.98
Covered Short Call
222.25
112.25
119.75
102.25
60.25
31.45
242.25
183.00
203.50
141.88
Cash-Secured Put
180.00
55.00
67.50
75.00
40.00
9.20
200.00
140.75
161.25
103.19
Protective Put
222.25
112.25
119.75
102.25
60.25
31.45
242.25
183.00
203.50
141.88
Long Call
180.00
55.00
67.50
75.00
40.00
8.35
200.00
140.75
161.25
103.09
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Bull Spread Spread
720.00
220.00
270.00
300.00
160.00
33.40
800.00
563.00
645.00
412.38
Cash-Secured Call
180.00
55.00
67.50
75.00
40.00
9.20
200.00
140.75
161.25
103.19
Call Back Spread
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Long Combo Spread
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Short Call Spread
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Uncovered Call
180.00
55.00
67.50
75.00
40.00
8.35
200.00
140.75
161.25
103.09
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Covered Short Put
58.00
58.00
Bear Spread Spread
720.00
220.00
270.00
300.00
160.00
33.40
800.00
563.00
645.00
412.38
Long Put
180.00
55.00
67.50
75.00
40.00
8.35
200.00
140.75
161.25
103.09
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
2.42
408.74
132.11
159.20
171.88
91.06
22.44
453.39
321.11
366.88
236.11
Call Ratio Back

Spread
Short Ratio Call

Spread
Uncovered Put
Short Ratio Put

Spread
Synthetic Short
Stock
Short Combo
Spread
Put Back Spread
Transaction Cost per Bank
63
Neutral Strategies
Volatile Strategies
Moderately bullish Strategies
Strategies
Strategies
ish Strategies
Sustained bullish
Transaction
Cost per Strategy
Raiffeisen
PostFinance
Bank Coop
Migros Bank
Cash zweiplus
Swissquote
Saxo Bank
BCV
BEKB
ZKB
440.00
220.00
255.00
200.00
160.00
58.40
480.00
397.50
402.50
290.38
260.00
165.00
187.50
125.00
120.00
50.05
280.00
256.75
241.25
187.28
Short Straddle
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Short Strangle
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Short Gut Spread
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
440.00
220.00
255.00
200.00
160.00
58.40
480.00
397.50
402.50
290.38
Long Box Spread
440.00
220.00
255.00
200.00
160.00
58.40
480.00
397.50
402.50
290.38
Long Ladder Spread
400.00
165.00
195.00
175.00
120.00
37.55
440.00
339.50
362.50
248.28
Ratio Call Write
222.25
112.25
119.75
102.25
60.25
29.21
242.25
183.00
203.50
141.63
Ratio Put Write
(58.00)
(58.00)
480.00
275.00
315.00
225.00
200.00
79.25
520.00
455.50
442.50
332.47
402.25
167.25
187.25
177.25
100.25
37.56
442.25
323.75
364.75
244.73
Long Straddle
80.00
110.00
120.00
50.00
39.80
80.00
41.70
58.00
80.00
116.00
54.00
80.00
75.79
Long Strangle
80.00
110.00
120.00
50.00
39.80
80.00
41.70
58.00
80.00
116.00
54.00
80.00
75.79
Long Gut Spread
80.00
110.00
120.00
50.00
39.80
80.00
41.70
58.00
80.00
116.00
54.00
80.00
75.79
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
Strap
80.00
110.00
120.00
50.00
39.80
80.00
41.70
58.00
80.00
116.00
54.00
80.00
75.79
Strip
80.00
110.00
120.00
50.00
39.80
80.00
41.70
58.00
80.00
116.00
54.00
80.00
75.79
Short Condor Spread
440.00
220.00
255.00
200.00
160.00
58.40
480.00
397.50
402.50
290.38
400.00
165.00
195.00
175.00
120.00
37.55
440.00
339.50
362.50
248.28
Short Ladder Spread
260.00
165.00
187.50
125.00
120.00
50.05
280.00
256.75
241.25
187.28
Collar
262.25
167.25
179.75
127.25
100.25
50.06
282.25
241.00
243.50
183.73
Long Call Spread
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
Uncovered Put
180.00
55.00
67.50
75.00
40.00
8.35
200.00
140.75
161.25
103.09
Covered Combination
402.25
167.25
187.25
177.25
100.25
37.56
442.25
323.75
364.75
244.73
Zero-Cost Collar
262.25
167.25
179.75
127.25
100.25
50.06
282.25
241.00
243.50
183.73
Covered Short Call
222.25
112.25
119.75
102.25
60.25
29.21
242.25
183.00
203.50
141.63
Cash-Secured Put
180.00
55.00
67.50
75.00
40.00
9.20
200.00
140.75
161.25
103.19
Protective Put
82.25
112.25
112.25
52.25
39.80
60.25
41.71
58.00
82.25
100.25
54.00
82.25
73.13
Long Call
40.00
55.00
60.00
25.00
19.90
40.00
20.85
29.00
40.00
58.00
27.00
40.00
37.90
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
Bull Spread Spread
440.00
220.00
255.00
200.00
160.00
58.40
480.00
397.50
402.50
290.38
Cash-Secured Call
40.00
55.00
60.00
25.00
21.90
40.00
21.70
29.00
40.00
58.00
29.00
40.00
38.30
Call Back Spread
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
Long Combo Spread
360.00
110.00
135.00
150.00
80.00
16.70
400.00
281.50
322.50
206.19
Short Call Spread
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
Uncovered Call
180.00
55.00
67.50
75.00
40.00
8.35
200.00
140.75
161.25
103.09
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
Covered Short Put
(58.00)
(58.00)
Bear Spread Spread
440.00
220.00
255.00
200.00
160.00
58.40
480.00
397.50
402.50
290.38
Long Put
40.00
55.00
60.00
25.00
19.90
40.00
20.85
29.00
40.00
58.00
27.00
40.00
37.90
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
220.00
110.00
127.50
100.00
80.00
29.20
240.00
198.75
201.25
145.19
255.72
132.11
151.01
117.23
(33.39)
91.06
35.74
(48.33)
278.51
230.66
(45.22)
234.35
169.66
Long Iron Butterfly

Spread
Spread
Moderately bearish
Credit Suisse
Long Condor Spread
Double Butterfly
Sustained bear-
UBS
Long Option
Short Option
Long Stock
Short Stock
Other
8.4.1. Warrants
Call Ratio Back

Spread
Short Ratio Call

Spread
Short Ratio Put

Spread
Short Combo
Spread
Put Back Spread
Transaction Cost per Bank
64
8.4.2. Break-Even Point

ERX = EUREX Options
UBS
CS
ZKB
BEKB
BCV
Saxo Bank
Swissquote
Cash zweiplus
Migros Bank
Bank Coop
PostFinance
Raiffeisen
Break-Even
WRT = Warrants
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
ERX
WRT
Long Condor Spread
12.2%
7.6%
4.4%
4.4%
4.6%
4.6%
5.1%
3.5%
2.7%
2.7%
0.7%
1.1%
13.4%
8.1%
9.5%
6.7%
10.8%
6.8%
7.1%
5.0%
9.2%
4.6%
3.5%
3.5%
3.5%
3.5%
3.9%
2.2%
2.0%
2.0%
0.5%
0.9%
10.1%
4.8%
7.1%
4.4%
8.2%
4.1%
5.3%
3.3%
Short Straddle
6.2%
6.2%
2.6%
2.6%
2.4%
2.6%
2.6%
2.6%
1.3%
1.3%
0.4%
0.4%
6.8%
6.8%
4.8%
4.8%
5.5%
5.5%
3.6%
3.6%
Short Strangle
6.2%
6.2%
2.6%
2.6%
2.4%
2.6%
2.6%
2.6%
1.3%
1.3%
0.4%
0.4%
6.8%
6.8%
4.8%
4.8%
5.5%
5.5%
3.6%
3.6%
Short Gut Spread
6.2%
6.2%
2.6%
2.6%
2.4%
2.6%
2.6%
2.6%
1.3%
1.3%
0.4%
0.4%
6.8%
6.8%
4.8%
4.8%
5.5%
5.5%
3.6%
3.6%
Long Iron Butterfly Spread
12.2%
7.6%
4.4%
4.4%
4.6%
4.6%
5.1%
3.5%
2.7%
2.7%
0.7%
1.1%
13.4%
8.1%
9.5%
6.7%
10.8%
6.8%
7.1%
5.0%
Long Box Spread
12.2%
7.6%
4.4%
4.4%
4.6%
4.6%
5.1%
3.5%
2.7%
2.7%
0.7%
1.1%
13.4%
8.1%
9.5%
6.7%
10.8%
6.8%
7.1%
5.0%
Long Ladder Spread
9.2%
6.9%
3.5%
3.5%
3.5%
3.6%
3.9%
3.1%
2.0%
2.0%
0.5%
0.7%
10.1%
7.4%
7.1%
5.8%
8.2%
6.1%
5.3%
4.3%
Ratio Call Write
3.9%
3.9%
2.6%
2.6%
2.1%
2.3%
1.8%
1.8%
1.0%
1.0%
0.6%
0.6%
4.1%
4.1%
3.2%
3.2%
3.5%
3.5%
2.5%
2.6%
Ratio Put Write
1.0%
(1.0%)
Double Butterfly Spread
15.2%
8.2%
5.3%
5.3%
5.8%
5.6%
6.4%
3.9%
3.3%
3.3%
0.8%
1.4%
16.8%
8.8%
11.8%
7.7%
13.5%
7.5%
8.8%
5.7%
6.9%
6.9%
3.5%
3.5%
3.3%
3.5%
3.1%
3.1%
1.7%
1.7%
0.8%
0.7%
7.5%
7.5%
5.5%
5.5%
6.2%
6.2%
4.3%
4.3%
Long Straddle
6.2%
1.6%
2.6%
2.6%
2.4%
2.3%
2.6%
1.0%
0.7%
1.3%
1.3%
0.4%
0.8%
1.1%
6.8%
1.4%
4.8%
2.0%
0.9%
5.5%
1.4%
3.6%
1.4%
Long Strangle
6.2%
1.6%
2.6%
2.6%
2.4%
2.3%
2.6%
1.0%
0.7%
1.3%
1.3%
0.4%
0.8%
1.1%
6.8%
1.4%
4.8%
2.0%
0.9%
5.5%
1.4%
3.6%
1.4%
Long Gut Spread
6.2%
1.6%
2.6%
2.6%
2.4%
2.3%
2.6%
1.0%
0.7%
1.3%
1.3%
0.4%
0.8%
1.1%
6.8%
1.4%
4.8%
2.0%
0.9%
5.5%
1.4%
3.6%
1.4%
Call Ratio Back Spread
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
Strap
6.2%
1.6%
2.6%
2.6%
2.4%
2.3%
2.6%
1.0%
0.7%
1.3%
1.3%
0.4%
0.8%
1.1%
6.8%
1.4%
4.8%
2.0%
0.9%
5.5%
1.4%
3.6%
1.4%
Strip
6.2%
1.6%
2.6%
2.6%
2.4%
2.3%
2.6%
1.0%
0.7%
1.3%
1.3%
0.4%
0.8%
1.1%
6.8%
1.4%
4.8%
2.0%
0.9%
5.5%
1.4%
3.6%
1.4%
Short Condor Spread
12.2%
7.6%
4.4%
4.4%
4.6%
4.6%
5.1%
3.5%
2.7%
2.7%
0.7%
1.1%
13.4%
8.1%
9.5%
6.7%
10.8%
6.8%
7.1%
5.0%
9.2%
6.9%
3.5%
3.5%
3.5%
3.6%
3.9%
3.1%
2.0%
2.0%
0.5%
0.7%
10.1%
7.4%
7.1%
5.8%
8.2%
6.1%
5.3%
4.3%
Short Ladder Spread
9.2%
4.6%
3.5%
3.5%
3.5%
3.5%
3.9%
2.2%
2.0%
2.0%
0.5%
0.9%
10.1%
4.8%
7.1%
4.4%
8.2%
4.1%
5.3%
3.3%
Collar
6.9%
4.6%
3.5%
3.5%
3.3%
3.3%
3.1%
2.3%
1.7%
1.7%
0.8%
0.9%
7.5%
4.8%
5.5%
4.1%
6.2%
4.1%
4.3%
3.3%
Long Call Spread
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
Short Ratio Call Spread
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
Uncovered Put
3.2%
3.2%
1.7%
1.7%
1.3%
1.5%
1.4%
1.4%
0.7%
0.7%
0.2%
0.2%
3.4%
3.4%
2.5%
2.5%
2.8%
2.8%
1.9%
1.9%
Covered Combination
6.9%
6.9%
3.5%
3.5%
3.3%
3.5%
3.1%
3.1%
1.7%
1.7%
0.8%
0.7%
7.5%
7.5%
5.5%
5.5%
6.2%
6.2%
4.3%
4.3%
Zero-Cost Collar
6.9%
4.6%
3.5%
3.5%
3.3%
3.3%
3.1%
2.3%
1.7%
1.7%
0.8%
0.9%
7.5%
4.8%
5.5%
4.1%
6.2%
4.1%
4.3%
3.3%
Covered Short Call
3.9%
3.9%
2.6%
2.6%
2.1%
2.3%
1.8%
1.8%
1.0%
1.0%
0.6%
0.6%
4.1%
4.1%
3.2%
3.2%
3.5%
3.5%
2.5%
2.6%
Cash-Secured Put
3.2%
3.2%
1.7%
1.7%
1.3%
1.5%
1.4%
1.4%
0.7%
0.7%
0.3%
0.3%
3.4%
3.4%
2.5%
2.5%
2.8%
2.8%
1.9%
1.9%
Protective Put
3.9%
1.6%
2.6%
2.6%
2.1%
2.2%
1.8%
1.0%
0.7%
1.0%
1.0%
0.6%
0.8%
1.1%
4.1%
1.5%
3.2%
1.8%
0.9%
3.5%
1.5%
2.5%
1.4%
Long Call
3.2%
0.9%
1.7%
1.7%
1.3%
1.3%
1.4%
0.6%
0.4%
0.7%
0.7%
0.2%
0.5%
0.6%
3.4%
0.8%
2.5%
1.1%
0.5%
2.8%
0.8%
1.9%
0.8%
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
Bull Spread Spread
12.2%
7.6%
4.4%
4.4%
4.6%
4.6%
5.1%
3.5%
2.7%
2.7%
0.7%
1.1%
13.4%
8.1%
9.5%
6.7%
10.8%
6.8%
7.1%
5.0%
Cash-Secured Call
3.2%
0.9%
1.7%
1.7%
1.3%
1.3%
1.4%
0.6%
0.4%
0.7%
0.7%
0.3%
0.5%
0.6%
3.4%
0.8%
2.5%
1.1%
0.5%
2.8%
0.8%
1.9%
0.8%
Call Back Spread
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
Long Combo Spread
6.2%
6.2%
2.6%
2.6%
2.4%
2.6%
2.6%
2.6%
1.3%
1.3%
0.4%
0.4%
6.8%
6.8%
4.8%
4.8%
5.5%
5.5%
3.6%
3.6%
Short Call Spread
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
Uncovered Call
3.2%
3.2%
1.7%
1.7%
1.3%
1.5%
1.4%
1.4%
0.7%
0.7%
0.2%
0.2%
3.4%
3.4%
2.5%
2.5%
2.8%
2.8%
1.9%
1.9%
Short Ratio Put Spread
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
1.0%
(1.0%)
Bear Spread Spread
12.2%
7.6%
4.4%
4.4%
4.6%
4.6%
5.1%
3.5%
2.7%
2.7%
0.7%
1.1%
13.4%
8.1%
9.5%
6.7%
10.8%
6.8%
7.1%
5.0%
Long Put
3.2%
0.9%
1.7%
1.7%
1.3%
1.3%
1.4%
0.6%
0.4%
0.7%
0.7%
0.2%
0.5%
0.6%
3.4%
0.8%
2.5%
1.1%
0.5%
2.8%
0.8%
1.9%
0.8%
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
Short Combo Spread
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
Put Back Spread
6.2%
3.9%
2.6%
2.6%
2.4%
2.5%
2.6%
1.8%
1.3%
1.3%
0.4%
0.6%
6.8%
4.1%
4.8%
3.4%
5.5%
3.4%
3.6%
2.6%
BE per Bank
7.0%
4.5%
2.9%
2.9%
2.8%
2.9%
3.0%
2.1%
(0.6%)
1.5%
1.5%
0.5%
0.7%
(0.9%)
7.6%
4.7%
5.5%
4.0%
(0.8%)
6.2%
4.0%
4.1%
2.9%
gies
Strategies
gies
Moderately
Covered Short Put
Strategies
bearish
Sustained
bearish Strate-
Sustained bullish
Moderately bullish Strate-
Volatile Strategies
Neutral Strategies
(by including the total transaction costs)
65
9. Disclaimer
This disclaimer governs the use of this bachelor thesis. This paper contains data about
trading platforms and option strategies. The information is not an advice, and should not
be treated as such. I, the author of this paper, that can be found here within, can assure
you, that this bachelor thesis is neither a recommendation for trading options nor an active
advisory for a specific option strategy. In any case, I am not liable for any actions a reader
will do, based on my thesis. Readers are responsible for assessing the relevance and
accuracy of the content of this paper. Therefore, I do not accept any liabilities, losses and
financial risks incurred as a consequence of the use or misuse of any information of this
bachelor thesis.
10. Declaration
The length of this text, including chapter 1 heading and up to the declaration is 16786
words.
I hereby certify that I have independently written this term paper. Any text passages which
were not written by me are quoted as citations and specific references to their origins are
made.
All used sources (including images, graphics, etc.) are included in the bibliography.
XXX, February 18, 2016
___________________
XXX
66
11. Bibliography
11.1. List of Illustrations
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http://www.optionsplaybook.com/option-strategies/ (version: 17 March 2014).
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http://www.theoptionsguide.com/option-trading-strategies.aspx (version: 17 March
2014).
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http://www.optiontradingpedia.com/options_strategy_library.htm (version: 17
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(version: 21 March 2014).
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67
11.2. Literature
Hull, John C. (2009): Options, Futures, and Derivatives (7th edition), New Jersey, Pearson
Education.
Cohen, Guy (2005): The Bible of Option Strategies, The definitive Guide for practical
Trading Strategies, New Jersey, Pearson Education.
Rhoads, Russel (2011): Option Spread Trading, A comprehensive guide to Strategies and
Tactics, New Jersey, John Wiley & Sons.
Jensen, Greg (2009): Spread Trading, An introduction to trading options in nine simple
steps, New Jersey, John Wiley & Sons.
Bouzoubaa, Mohamed/Osseiran, Adel (2010): Exotic Options and Hybrids, A guide to

structuring, pricing and trading, West Sussex, John Wiley & Sons.
Banks, Erik/Siegel, Paul (2007): The options applications handbook, Hedging and speculating techniques for professional investors, New York, McGraw-Hill.
Evans, J.L/Archer S.H. (1968): Diversification and Reduction of Dispersion: An Empirical

Analysis, in: Journal of Finance, p. 761.
11.3. Interviews
Ballarin, Daniel, Associate Director and Training Manager at Swissquote Bank SA (2014):
subject: Definition of retail investor; how option strategies are technically feasible;
costs for trading options; spread of options; conditions for margin account, Upgrade to VIP client; interview conducted on 2 April 2014.
Bichsel, Alain, Head Media Relation of the SIX Swiss Exchange group (2014): subject:
short selling; legal environment of option trading; naked short selling; interview
conducted on 12 March 2014.
Eichenberger, Roger, Director Private Banking Wealth Management at Credit Suisse

Group (2014): subject: basic fees of banks and the future development, breakeven-level of investments; interview conducted on 6 May 2014.
68
Graham, Kyle, Employee of Investor Service at The Options Clearing Corporation (2014):
subject: optimal option strategy for retail investor; how to build an option strategy;
trading possibilities; interview conducted on 26 February 2014.
Liechti, Thomas, Relationship Manager and Director at Bank Julius Br (2014): subject:
option strategy in general; legal environment in Switzerland; transaction costs in
trading; financial instruments; interview conducted on 24 March 2014.
Matuszewski, Adam, Equity Product Manager at SIX Swiss Exchange Ltd (2014): subject:
LEAPS; interview conducted on 9 April 2014.
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20Dokumente/de/Factsheets/bc_factsheet-privatkonto.pdf (version: 7 April 2014).
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69
Banque Cantonal Vaudoise (2014a): Portrait, Online: https://www.bcv.ch/en/bcv/portrait

(version: 12 February 2014).
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http://www.google.ch/url?sa=t&rct=j&q=&esrc=s&frm=1&source=web&cd=1&ved=
0CC4QFjAA&url=http%3A%2F%2Fwww.bcv.ch%2Fen%2Fcontent%2Fdownload
%2F11664%2F256640%2Fconditions_des&ei=6YtGU8WtGOfy7Aa9_ICgCQ&usg
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Berner Kantonalbank (2014a): Portrt, Online: https://www.bekb.ch/de/pages/ihrebekb/portraet (version: 12 February 2014).
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https://www.bekb.ch/de/pages/zinssaetze (version: 5 April 2014).
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Dienstleistung fr Konti in CHF, Online: https://www.bekb.ch//media/bekb/documents/privatkunden/konten/sortimentsuebersicht%20chf.pdf?la=
de (version: 5 April 2014).
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70
Chicago Board Options Exchange CBOE (2014): Products, Long-term Equity Anticipation
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traded, Online: http://www.eurexchange.com/exchange-en/about-us/news/816838/
(version: 12 May 2014).
Investopedia (2014): Short Selling. Online:

http://www.investopedia.com/terms/s/shortselling.asp (version: 6 March 2014).
71
Investowords (2014): Break-even point, Online:

http://www.investorwords.com/575/break_even_point.html (version: 29 April 2014).
Lavers, Georgina (2013): Switzerland is self-regulating its shorting, in: Securitylendingtimes, 11 October 2013, Online:
http://www.securitieslendingtimes.com/securitieslendingnews/article.php?article_id
=218945 (version: 16 March 2014).
Migros Bank (2014a): ber uns, Online: https://www.migrosbank.ch/de/ueber-uns.html

Migros Bank (2014b): Geschftsbericht Zahlen und Fakten, Online:

https://www.migrosbank.ch/de/Ueberuns/Publikationen/geschaeftsbericht.htm
Migros Bank (2014c): Aktuelle Zinsstze, Online:

http://www.migrosbank.ch/de/Private/Konten/AktuelleZinssaetze.htm (version: 7
April 2014).
Migros Bank (2014d): Preise fr Dienstleistungen, Online:

http://www.migrosbank.ch/NR/rdonlyres/F8E5C470-D75A-4F03-919D125EDBD57DD6/0/preise_fuer_dienstleistungen_de.pdf (version: 7 April 2014).
Moneyland (2014a): About moneyland.ch, Online: http://moneyland.ch/en/aboutmoneyland (version: 12 February 2014).
Moneyland (2014b): Medienmitteilung Riesige Kostenunterschiede im OnlineBrsenhandel, Online:

http://moneyland.ch/resources/public/vendors/kcfinder/upload/files/2014-02-12Trading-Studie-Medienmitteilung.pdf (version: 12 Februar 2014).
Money-Net (2014): Wertschriftenhandel, Online: https://www.money-net.ch//media/money-net/documents/konditionen/wertschriftenhandel-undgebuehren.pdf?la=de (version: 5 April 2014).
72
Neate, Rupert/Willisher, Kim/Garside, Juliette (2011): Four countries ban short-selling to

ease market pressure, in: The Guardian, 12 August 2011, Online:
http://www.theguardian.com/business/2011/aug/11/short-selling-ban-europe-france
(version: 16 March 2014).
Oxford Dictionaries (2014): Warrants, Online:

http://www.oxforddictionaries.com/definition/english/warrant (version: 23 April
2014).
PostFinance (2014a): ber uns Zahlen und Fakten, Online: https://www.postfinance.ch/

PostFinance (2014b): Details zu Preisen und Konditionen im E-Trading, Online:

https://www.postfinance.ch/de/priv/prod/eserv/etrade/detail.html (version: 7 April
2014).
PostFinance (2014c): Preise und Konditionen Privatkonto, Online:

https://www.postfinance.ch/de/priv/prod/acc/chf/offer.html (version: 7 April 2014).
PostFinance (2014d): Aktuelle Zinsstze, Online:

https://www.postfinance.ch/de/priv/prod/interest.html (version: 7 April 2014).
Raiffeisen (2014a): bersicht Schlsselzahlen, Online:

https://www.raiffeisen.ch/web/kennzahlen (version: 20 February 2014).
Raiffeisen (2014b): Konten und Zinsstze der Raiffeisenbank Bern, Online:

https://www.raiffeisen.ch/raiffeisen/internet/rb0027.nsf/$UNID/F6778E1ACFD4EAE
0C125743D0045557E/$file/Konti%20und%20Zinss%C3%A4tze%20ab%2001.01.2
014.pdf (version: 7 April 2014).
Raiffeisen (2014c): Dienstleistungspreise Anlegen E-Banking, Online:

http://www.raiffeisen.ch/raiffeisen/internet/docs.nsf/$UNID/AC2BA982E2805965C1
257768004D06DE/$FILE/Raiffeisen%20EBanking%20Pricing_D_bersicht.pdf?Open (version: 7 April 2014).
73
Raiffeisen (2014d, p. 1): Dienstleistungspreise Privatkunden, Online:

http://www.raiffeisen.ch/raiffeisen/internet/rb0027.nsf/$UNID/F6778E1ACFD4EAE
0C125743D0045557E/$file/DL%20Preise%20Privatkunden_2014_Internet.pdf
Reverso (2014): Investor definition. Online: http://dictionary.reverso.net/englishcobuild/investor (version: 28 February 2014).
Saxo Bank (2013): Contract for Difference (CFD) Trading CFDs with a market leader,
Online: http://ch.saxobank.com/cfds/ (version: 20 March 2014).
Saxo Bank (2014a): Saxo Bank (Switzerland) Ltd., Online: http://ch.saxobank.com/whysaxo/ (version: 12 February 2014).
Saxo Bank (2014b): Prices, Online: http://ch.saxobank.com/prices/ (version: 7 April 2014).
SFBC (2008): SFBC emphasizes that naked short sales are not permitted, Online:
http://www.finma.ch/archiv/ebk/e/aktuell/ (version: 12 March 2014).
SIX Securities Services (2013b): Rules and Regulations SIX x-clear Ltd and SIX SIS Ltd,
Online: http://www.six-securitiesservices.com/dam/dss/downloads/clearing/download-center/operational/clr-xclearlendingnorms-en.pdf (version: 23 March 2014).
SIX Swiss Exchange (2013a): Media Release Regulation of short selling as part of selfregulation, Online: http://www.six-swissexchange.com/media_releases/online/media_release_201310100730_en.pdf (version: 10 October 2013).
SIX Swiss Exchange (2013b): Rule Book of 23/12/2013 Effective from: 07/04/2014,
Online: http://www.six-swiss-exchange.com/rule_book/01-RB_en.pdf (version: 12
March 2014).
SIX Swiss Exchange (2014): Fees, Online: http://www.six-swissexchange.com/participants/participation/fees_en.html (version: 27 February 2014).
74
Swiss Post Ltd (2014): Strategic partnership between Swissquote and PostFinance,
Online: http://www.swisspost.ch/post-startseite/post-konzern/post-medien/postarchive/2014/post-mm14-strategische-zusammenarbeit-swissquotepostfinance/post-medienmitteilungen.htm (version: 2 May 2014).
SwissBanking (2014): The Economic Significance of the Swiss Financial Centre, Online:
http://www.swissbanking.org/en/facts_figures.htm (version: 23 March 2014).
Swissquote (2010): Trading>Costs and Conditions>Packages, Online:

http://www.swissquote.ch/sqw-static/trading/fees/packages.jsp?l=e (version: 24
April 2014).
Swissquote (2012a): The group presentation, Online: http://www.swissquote.ch/sqwgroup/group/introduction.jsp?l=e (version: 12 February 2014).
Swissquote (2012b): Executive Management, Online: http://www.swissquote.ch/sqwgroup/corporate/profile_exe_director.jsp (version: 12 February 2014).
Swissquote (2013a): Annual report 2013 Corporate Governance report and compensation report, Online: http://www.swissquote.ch/sqw-groupresources/doc/pdf/report/report_Q4_2013_e.pdf (version: 1 April 2014).
Swissquote (2013b): Results for the 2013 Business year, Online:

http://www.swissquote.ch/sqw-groupresources/doc/pdf/presentation/presentation_2013_Q4_e.pdf (version: 1 April
2014).
Swissquote (2014): Trading Costs & Conditions Private Clients, Online:

http://www.swissquote.ch/sqw-static/trading/fees/fees_private_clients.jsp (version:
7 April 2014).
The Wall Street Journal (2013): Global Wealth Managers Will Be 'Winners' in 2013 Analyst, Online:
http://online.wsj.com/news/articles/SB10001424127887324539304578262260893
094342 (version: 7 March 2014).
75
TradeDirect (2014): Rates & Conditions, Online:

https://www.tradedirect.ch/public/portal/guest/signup/rates (version: 7 April 2014).
UBS (2011): Securities trading prices for private and corporate clients, Online:
https://www.ubs.com/ch/en/online-services/e-banking.html (version: 5 April 2014).
UBS (2014a): UBS in a few words, Online:

https://www.ubs.com/global/en/about_ubs/about_us/ourprofile.html (version: 4
February 2014).
UBS (2014b): Basic Offerings and individual products relating to payments and savings
Services and prices, Online: https://www.ubs.com/ch/en/online-services/ebanking.html (version: 5 April 2014).
UBS (2014c): Account products Current interest rates at a glance, Online:

http://www.ubs.com/ch/en/swissbank/business_banking/kmu/account/interest_rate
s.html (version: 5 April 2014).
Zrcher Kantonalbank (2013a): Preisbersicht Anlagegeschft, Online:

https://www.zkb.ch/etc/ml/repository/prospekte_und_broschueren/sparen_anlegen/
219853_preisuebersicht_anlagegeschaeft_pdf.File.pdf (version: 5 April 2014).
Zrcher Kantonalbank (2013b): Zinsen & Preise, Online:

https://www.zkb.ch/de/startseite/privatkunden/servicecenter/zinsen_und_preise/zin
sen.html (version: 5 April 2014).
Zrcher Kantonalbank (2014a): At a glance, Online:

http://www.zkb.ch/de/center_worlds/englishwindow/about_us/portrait/at_a_glance.
html (version: 7 February 2014).
Zrcher Kantonalbank (2014b): Geschichte, Online:

https://www.zkb.ch/de/center_worlds/ueber_uns/portraet/geschichte.html (version:
7 February 2014).
76
Zrcher Kantonalbank (2014c): Preisbersicht und Konditionen fr Privatkunden, Online:

http://www.zkb.ch/etc/ml/repository/prospekte_und_broschueren/zahlen/210727_p
reise_konditionen_privatk_pdf.File.pdf (version: 5 April 2014).
11.5. Legislative Texts

Directive 3: Trading of SIX Swiss Exchange Ltd of 01/01/2014, (version: 27 February
2014), Para. VI, Art. 19, No. 2.
Federal Act on Value Added Tax of 01/01/2014, (version: 23 April 2014), Para. 21, Art. 19
lit. e).
77
12. Appendix
All sources from the bibliography are available on CD.
78

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Bern University of Applied Sciences

Option Strategies A practical Guideline for

Submitted within the study program

For the module

Bachelor Thesis (BTHE)

Friday, 16 May 2014

Option strategies A practical Guideline for Retail Investors

Option strategies A practical Guideline for Retail Investors

Option strategies A practical Guideline for Retail Investors

Option Strategy a short Introduction ................................................................ 12

Trading Platforms .................................................................................................. 18

4.2. Universal Banks ................................................................................................... 20

Credit Suisse Group .................................................................................................. 20

4.3. Cantonal banks .................................................................................................... 21

Zrcher Kantonalbank ZKB ....................................................................................... 21

Berner Kantonalbank BEKB ...................................................................................... 22

Banque Cantonale Vaudoise BCV ............................................................................ 23

4.4. Online Banks ....................................................................................................... 24

Saxo Bank (Switzerland) Ltd. .................................................................................... 24

Swissquote Bank S.A. ............................................................................................... 24

Cash zweiplus ........................................................................................................... 25

4.5. Other Banks......................................................................................................... 26

Migros Bank AG ........................................................................................................ 26

Bank Coop AG........................................................................................................... 26

4.6. Stock Exchange and Taxes ................................................................................. 29

Transaction Cost ....................................................................................................... 30

Fixed Costs ................................................................................................................ 31

EUREX Options vs. Warrants ................................................................................... 32

Trading Possibilities .................................................................................................. 33

Option strategies A practical Guideline for Retail Investors

5.3. Evaluation with EUREX Options .......................................................................... 34

Neutral Strategies ...................................................................................................... 56

Volatile Strategies ..................................................................................................... 57

Moderately Bullish Strategies .................................................................................... 58

Sustained Bullish Strategies...................................................................................... 58

Moderately Bearish Strategies .................................................................................. 59

Sustained Bearish Strategies .................................................................................... 59

EUREX Options ......................................................................................................... 63

Break-Even Point ...................................................................................................... 65

10. Declaration ............................................................................................................. 66

List of Illustrations .......................................................................................... 67

Online Sources .............................................................................................. 69

Legislative Texts ............................................................................................ 77

12. Appendix ................................................................................................................ 78

Option strategies A practical Guideline for Retail Investors

Option strategies A practical Guideline for Retail Investors

Figure 18: Call Ratio Back Spread .................................................................................... 1

Option strategies A practical Guideline for Retail Investors

Option strategies A practical Guideline for Retail Investors

1.1. Problem Statement

Option strategies A practical Guideline for Retail Investors

Option strategies A practical Guideline for Retail Investors

1.4. Challenges for a Retail Investor

All material in this section is derived from Interview Ballarin (2014).

Option strategies A practical Guideline for Retail Investors

2. Option Strategy a short Introduction

Banks/Siegel (2007, p. 3).

Hull (2009, p. 179).

All material in this section is derived from Hull (2009, p. 773).

Option strategies A practical Guideline for Retail Investors

Rhoads (2011, p. 8).

Cohen (2005, p. 21).

All material in this section is derived from Jensen (2009, p. 132f).