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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

Option Market &Strategies

Handout 20

Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

option and stock index option
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

option and stock index option1
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

wall street journal option price quotes
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

why buy options
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

why buy options1
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

why buy options2
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

stock vs call returns
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

stock vs call returns1
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

seller and buyer of option
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

seller and buyer of option1
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

contoh payoff
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

contoh payoff1
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

call option payoffs

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

put option payoffs

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

call option profits

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

put option profits

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

option strategies
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

slide19

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

option strategies1
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

slide21

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 +5 (=50-45) 49

40 +4 +10 (=50-40) 44

35 +4 +15 (=50-35) 39

30 +4 +20 (=50-20) 34

Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

slide22

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

slide23

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

slide24
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

spekulasi dengan straddle
Spekulasi dengan Straddle

Long Straddle (beli Put &Call sekaligus)

  • Mis P=$50. Kita yakin harga akan sangat berfluktusi
  • 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

spekulasi dengan short straddle
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

spekulasi dengan short straddle1
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

straddle

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

stock index options
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

stock index options1
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

wall street journal index option quotes
Wall Street Journal Index Option Quotes

Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

example
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

slide33

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

slide34

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

slide35

THANK YOU

Institusi Depositori & Pasar Modal AST/MM-USAKTI 2008-I

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