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Option Market & Strategies

Option Market & Strategies. Handout 20. Option and Stock Index Option. Termasuk Produk Derivatives Exchanges: CBOE, PHLX, NYSE, AMEX, PSE Harga Option berubah dengan berubahnya harga saham Standard contract size = 100 shares Seseorang bisa masuk ke pasar opsi sbg:

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Option Market & Strategies

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  1. Option Market &Strategies Handout 20 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  2. Option and Stock Index Option • Termasuk Produk Derivatives • Exchanges: • CBOE, PHLX, NYSE, AMEX, PSE • Harga Option berubah dengan berubahnya harga saham • Standard contract size = 100 shares • Seseorang bisa masuk ke pasar opsi sbg: • Buyer (put maupun call): membayar premium • Seller disebut juga writer (put maupun call): menerima pembayaran premium • Premium adalah harga pembelian kontrak opsi Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  3. Option and Stock Index Option • Puts and calls Contract Specification: • Underlying asset • Strike price / exercise price • Expiration or maturity • Contract size (100) • Exercise style: • American (exercise any time, usually individual stock) • European (usually stock index) • Delivery or settlement procedure (kalau diexercise butuh bbp hari untuk delivery setelah ada notice) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  4. Wall Street Journal Option Price Quotes 1. Name of option 2. Strike price; p=put 3. Expiration: Saturday following the third Friday 5. Call option price 7. Put option price Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  5. Why Buy Options? • Anda bisa beli 100 lb saham X at $80 per lb atau beli call option dengan exercise price $80, seharga $5. • Dalam kedua kasus tersebut anda sama-sama main 100 saham, dan posisi anda akan dipengaruhi oleh harga saham X • Dalam pembelian saham, anda membayar $8000 dan mendapat 100 lb • Dalam pembelian opsi, anda membayar $500 dan berhak membeli $100 lb pada harga SP (di sini=$80/lb) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  6. Why Buy Options? • Jika harga saham naik menjadi $90: • Investasi di saham: Laba= ($9,000-$8,000)= $1000 • ROI=$1000 / $8,000 = 12.50% • Investasi di Call: Anda mengexercise hak beli anda • Setalah di settle: Laba= ($9,000-$8,000- $500)= $500 • ROI = $500/500 = 100% • Jika dana $8000 tadi anda belikan opsi semua, anda dapat membeli $8000/$500=16 kontrak • Total laba=16x$500 = $8000 (instead of $1000) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  7. Why Buy Options? • Jika harga turun ke $70: • Investasi Saham: Rugi=($7,000 - $8,000)= - $1000 • ROI= -$1000 / $8,000 = -12.50% • Investasi di Call: anda cancel (bayar premium $500). Jadi rugi = -$500 (untuk bermain 100lb) • ROI = $500/$500 = -100% • Jika dana $8000 tadi dibelikan opsi call semua, maka kerugian mencapai= - $8000 • Jika P=$80: BEP di investasi saham; tetapi di Call: option is worthless (dan anda tetap membayar $500 per 1 kontrak) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  8. Stock vs Call Returns Investasi di Saham: • Beli 100 lb TRX at $50 per share. TC=$5000 • If P=$60: TR=$6000 • ROI=$10/$50= 20%. • If P=$40: TR = $40000 • ROI=-20% Investasi di Call Option: • Buy 1 call contract seharga $2/lb atau $200 per contract, pada SP= $50. • $200 sudah dibayar di depan Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  9. Stock vs Call Returns • If P=$60: exercise. Profit=($60 -$50)x100 =$1000, setelah dikurangi cost of the option $200 maka Profit==$800. ROI=400%. • If P=$40: Cancell, anda rugi $200 (sebesar premium yg sudah dibayar) • Jika ini anda exercise, anda membayar $50 untuk saham yang dihargai $40; jadi rugi $1000 per contract + $200 premium Exercise: • Beli put option at $0.50 per share dengan SP=$20. What if P=$18? What if P= $22? Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  10. Seller and Buyer of option • Seller of a call option= call writer • Seller of a put option= put writer • Membeli call: beli hak untuk membeli saham, dsb (the underlying contract) • Writer: • Sebagi penjual contract; harus penuhi hak yang dimiliki pembeli. • Call Writer: Jika pembeli call meng exercise maka writer harus bisa menyediakan (saham, etc yang dibeli pemegang kontrak) pada SP Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  11. Seller and Buyer of option • Put Witer: jika pembeli put meng exercise, maka writer harus membeli (saham, etc yg dijual pemegang put contract) pada SP • Jika pemegang kontrak tidak meng exercise: writer tetap terima premium • Premium: disebut Initial Cash Flow • Bagi buyer: Initial cash outflow • Bagi writer: intial cash Inflow • Terminal Cash Flow: payoff yg terjadi • Bagi buyer: Inflow • Bagi seller: outflow Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  12. Contoh Payoff Beli call option IBM, SP=$80, c=$4/share: • Initial cash flow= -$400 for you and = +$400 for call writer • If P=$90: exercise • Anda peroleh terminal inflow $10 per share. Payoff =$1000 bagi anda • Writer harus keluar terminal outflow=$10 per share. Payoff= -$1000 bagi writer • If P=$70. Buyer & seller: zero cash flow (no pay off) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  13. Contoh Payoff Beli put option IBM, SP=$80, c=$4/share: • Initial cash flow: -$400 for you and= +$400 for put writer • If P=$90: not exercise; zero cash flow. • If P=$70, exercise; peroleh terminal inflow $10 per share. Writer harus keluar terminal outflow $10 per share. • Zero-sum game Call buyer & Writer Payoff Misal: SP=$50.If P<$50: zero payoff If P>$50, payoff is as in diagram Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  14. 60 40 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 -40 -60 Call Option Payoffs Buy a call Write a call Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  15. 60 40 Buy a put 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 Write a put -40 -60 Put Option Payoffs Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  16. 60 40 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 -40 -60 Call Option Profits Buy a call Write a call Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  17. 60 40 Buy a put 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 Write a put -40 -60 Put Option Profits Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  18. Option Strategies Hedging dengan Protective Put • Pegang saham TelMex yang hari ini berharga $50. Disamping itu beli put option dengan SP=$50 at $4 premium. • If P >= $50 : put option dicancel dan anda bayar $4 per share • If P < $50 : anda exercise. Put writer akan bayar anda $50 per share. • Berapapun harga yg terjadi, anda menerima $50 (at $4 cost). Anda memproteksi against a price decline Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  19. Protective Put P SV c=ICF TCF Net 70 65 60 55 50 45 40 35 30 70 -4 - 66 65 -4 - 61 60 -4 - 56 55 -4 - 51 50 -4 - 46 45 -4 +5 (=50-45) 46 40 -4 +10 (=50-40) 46 35 -4 +15 (=50-35) 46 30 -4 +20 (=50-20) 46 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  20. Option Strategies Hedging Dengan Covered Call • Covered call: write (jual) call untuk lindungi saham yang anda miliki. • Sell call SP$50 at $4 premium. • If P =< $50: pemegang kontrak call akan cancell • Anda selaku writer terima $4/sh • If P > $50: pemegang kontral call akan exercise; anda harus serahkan saham at $50 (walaupun harga lebih mahal) dan menerima $4 (no matter what) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  21. Covered Call P SV c=ICF TCF Net 70 +4 -20 (50-70) 54 65 +4 -15 (=50-65) 54 60 +4 -10 (=50-60) 54 55 +4 -5 (=50-55) 54 70 65 60 55 50 45 40 35 30 50 +4 - 54 45 +4 - 49 40 +4 - 44 35 +4 - 39 30 +4 - 34 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  22. Jika Harga Tidak Fluktuatif: Protective Put P SV c=ICF TCF Net 52 51 50 49 48 47 46 45 40 52 -4 - 48 51 -4 - 47 50 -4 - 46 49 -4 +1 (=50-49) 46 48 -4 +2 (=50-48) 46 47 -4 +3 (=50-47) 46 46 -4 +4 (=50-46) 46 45 -4 +5 (=50-45) 46 40 -4 +10 (=50-40) 46 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  23. Jika Harga Tidak Fluktuatif: Covered Call P SV c=ICF TCF Net 52 51 50 49 48 47 46 45 40 52 +4 -2 (=50-52) 54 51 +4 -1 (=50-51) 54 50 +4 - 54 49 +4 - 53 48 +4 - 52 47 +4 - 51 46 +4 - 50 45 +4 - 49 40 +4 - 44 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  24. Protective Put: • Harga akan terlindungi sampai sama dengan SP, tapi at the cost of Premium Covered Call • Harga akan ikut turun seperti market price tetapi disini dilindungi dengan tambahan nilai sebesar premium Jika penurunan harga tidak besar (relatif terhadap premium): • Protective Put lebih baik sebab setelah dikompensir dengan premium, penurunan harga pasar yang terjadi masih memberikan nilai yang relatif tinggi Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  25. Spekulasi dengan Straddle Long Straddle (beli Put &Call sekaligus) • Mis P=$50. Kita yakin harga akan sangat berfluktuasi • Buy call & buy put, both at SP=$50. • Jika P naik tajam ($70) call memberikan payoff (beli pada harga $50 ketika harga pasar $70). • Jika P turun tajam ($30) put memberikan payoff (kita tetap terima $50 padahal harga pasar $30) • Jika harga memang fluktuatif, keuntungan itu cukup besar sehingga setelah dikurangi biaya pembelian 2 kontrak (=$8) kita masih untung • Long straddle lebih bagus jika harga fluktuatif Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  26. Long Straddle – if Fluctuates a lot Buying call option Buying put option P ICF TCF Prf1 ICF TCF Prf2 Net Prf • 70 -4 +20 16 -4 - -4 +12 • 60 -4 +10 6 -4 - -4 +2 • 55 -4 +5 1 -4 - -4 -3 • -4 +3 -1 -4 - -4 -5 • -4 +1 -3 -4 - -4 -7 • -4 - -4 -4 +2 -2 -6 • -4 - -4 -4 +5 +1 -3 • 40 -4 - -4 -4 +10 +6 2 • 30 -4 - -4 -4 +20 +16 12 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  27. Spekulasi dengan Short Straddle Short Straddle: Jual (call & put sekaligus) • Jika P $50: both options are worthless. Kita terima penghasilan sebesar 2 kali premium ($8) • Jika P>$50: • Put worthless (pemegang kontrak put membatalkan karena jual di spot akan lebih bagus). • Call: pemegang kontrak akan exercise (Kita menerima pembayaran $50 padahal di luar lebih) sehingga kita rugi • Namun jika harga tidak fluktuatif, maka kerugian kita hanya kecil saja, bisa tertutup oleh penghasilan yang sebesar 2 kali premium Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  28. Spekulasi dengan Short Straddle Short Straddle: Jual (call & put sekaligus) • If P<$80. • Call dicancel (buyer tidak mau membayar $50 ke kita karena di spot hanrga <50) • Put: exercised (oleh pemegang kontrak). You terima $50 padahal harga di spot lebih mahal, sehinga kita rugi. • Tetapi jika harga tidak fluktuatif maka kerugian itu relatif kecil dibandingkan penghasilan yang 2x premium, sehingga kita tetap laba Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  29. Short Straddle – if Less Fluctuates Selling call option Selling put option P ICF TCF Prf1 ICF TCF Prf2 Net Prf • 70 +4 -20 -16 +4 - +4 -12 • 60 +4 -10 -6 +4 - +4 -2 • 55 +4 -5 -1 +4 - +4 3 • +4 -3 +1 +4 - +4 5 • +4 -1 +3 +4 - +4 7 • +4 - +4 +4 -2 +2 6 • +4 - +4 +4 -5 -1 3 • 40 +4 - +4 +4 -10 -6 -2 • 30 +4 - +4 +4 -20 -16 -12 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  30. 60 40 20 0 Option payoffs ($) 0 10 20 30 40 50 60 70 80 90 100 Stock price ($) -20 -40 -60 Straddle Long straddle Short straddle Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  31. Stock Index Options • Pertama: S&P100 Index, dengan ticker OEX • Yg kedua: yang diperkenalkan oleh CBOE adalah S&P 500 Index options (SPX). • 1997 CBOE introduced DJX • Settlement: selalu cash settlement (delivery index is impractical) • Misal anda beli SPX call option dengan SP$920 • Misal S&P500 index = $940 (sebelum expiration date) Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  32. Stock Index Options • Contract size=100 x SPX index, jadi call writer membayar 100 x $20 = $20000 • Contract size untuk stock index option umumnya= 100x harga (premium yang disebutkan dalam index option). • Jika harga (premium)=$2 maa contract size=$200 Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  33. Wall Street Journal Index Option Quotes Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  34. Example • Beli 10-July 990 SPX call contracts at quoted price of $5 • Berapa anda bayar? • Misal saat expiration data S&P500 =1000. Berapa anda terima? • You pay: 10x100x$5=$5000 • If at expr date S&P500 =1000; anda exercise (you pay $990 when it is $1000) • You receive: 10x100x$100=$10000, paid in cash. • If S&P500= 950; anda cancell. You pay $5000 premium. Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  35. Options Clearing Corpporation (OCC) • Baik clearing maupun exchanges agency diatur oleh SEC. • OCC jamin in case of bankcruptcy • Anda order broker untuk beli option misal 10 August 100 put options on IBM. • Broker sampaikan order ke CBOE (ke salah satu dari banyak dealer IBM options) • CBOE dealer ambil posisi selaku writer atas 10 contract tsb. Order dikirim ke OCC. Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  36. OCC verify bahwa ada matching orders dari buyer dan seller. OCC ambil alih dealer’s position, dan bertindak selaku writer (for small fee) • As a writer OCC menjamin bahwa put contract anda akan dipenuhi jika nanti akan anda exercise. • Bagi dealer: OCC adalah pembeli, dan dealer wajib penuhi kewajibannya. • Dealer default risk sudah ditransfer ke OCC Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

  37. THANK YOU Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

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