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O P T I O N. A. PENDAHULUAN. Option  Pasca Fischer Black and Myron Scholes mempublikasikan hasil penelitian tentang Model Penentuan Harga Opsi 1973 yang dikenal dengan Model Black - Scholes. Pada 1973  CBOE (Chicago Board Options Exchange).

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slide1

O P T I O N

A. PENDAHULUAN.

Option  Pasca Fischer Black and Myron Scholes mempublikasikan hasil penelitian tentang Model Penentuan Harga Opsi 1973 yang dikenal dengan Model Black - Scholes.

Pada 1973  CBOE (Chicago Board Options Exchange).

BEI  Opsi  KOS (Kontrak Opsi Saham)  Oktober 2004.

Saham  KOS  ASII, BBCA, HMSP, INDF, dan TLKM.

slide2

OPTION

CALL OPTION

AMERICAN

CALL OPTION

EUROPEAN

Option is a contract giving the option purchaser (the buyer or holder) the RIGHT, but not OBLIGATION, to buy or sell a given underlying asset at a fixed price for a specified time period (until the expiration or maturity date).

OPTION  (1) Hedging dan (2) Speculation.

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B. Terminologi Dalam Transaksi Opsi.

  • The writer or grantor dan Buyer.
  • Exercise atau Strike Price (SP).
  • Spot atau Market Price (MP).
  • The premium atau Option Price.
call option
CALL OPTION

A call option is the right, not obligation, to buy some underlying asset at same predetermined price (called the exercise or strike price) at or before some predetermined date (called the expiration date).

Opsi beli (call option)  Memmpunyai nilai, jika Pada saat j.t. 

Market Price (MP) > Strike Price (SP).

The Intrinsic value is the value of the option upon the expiration.

The intrinsic value of the call option is max (0, MP – SP).

Investor purchase call options  If they expect the underlying asset price to rise  BULLISH

  • Call Option :
  • Writer  limited gain, unlimited loss
  • Buyer  unlimited gain, limited loss.
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Call option :

In the money  The market price (MP) > The strike price (SP), and will expire exercised. The option’s intrinsic value is positive.

Out the money  The strike price (SP) < The market price (MP), and will expire unexercised, with an intrinsic value of zero.

At the money  The market price = the strike price upon the expiration date, and has a zero intrinsic value.

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Pembeli Opsi Beli (Call Option) :

  • Opsi akan dieksekusi, jika kondisi opsi pada IN THE MONEY (harga saham pada saat j.t. / spot price > harga eksekusi).
put option
PUT OPTION

A put option is the right, not obligation, to sell some underlying asset at same predetermined price (called the exercise or strike price) at or before some predetermined date (called the expiration date).

  • Put option  Bernilai nilai, jika pada saat jatuh waktu 

Sstrike Price (SP) > Market Price (MP).

  • Intrinsic value is the value of the option upon the expiration.

The intrinsic value of the put option is max (0, SP – MP).

Investor purchase put options  If they expect the underlying asset price to fall  BEARISH.

  • Put Option :
  • Writer  limited gain ad loss.
  • Buyer  limited gain and loss.
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Put Option :

In the money  The market price (MP) < The strike price (SP), and will expire exercised. The option’s intrinsic value is positive.

Out the money  The strike price (E) > The market price, and will expire unexercised, with an intrinsic value of zero.

At the money  The market price = The strike price upon the expiration date, and has a zero intrinsic value.

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Pembeli Opsi jual (Put Option) :

  • Opsi akan dieksekusi, jika kondisi opsi pada IN THE MONEY (harga eksekusi > harga saham pada saat j.t. / spot price).
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C. Determinant of the Option Premium.

  • The price of underlying asset (+)
  • The exercise or strike price (-).
  • 2) Time to maturity (+).
  • 3) Relative interest rate (+).
  • 4) Volatility of the underlying asset (+).
  • 5) Supply and demand for specific option (+).
  • 6) Market Sentiment.
slide12

D. STRATEGI OPSI

  • Beli Call dan Put  Straddle.
  • Beli Call, Put dan Saham.
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Beli Opsi Call dan Saham atau Beli Opsi Put dan saham

Berapa nilai akhir dana yang diinvestasikan, jika harga saham naik menjadi Rp. 12.000,-- dan turun menjadi Rp. 8.000,-- jika harga saham saat ini Rp. 10.000,--.

slide14

OPSI CALL DAN BELI SAHAM

OPSI PUT DAN BELI SAHAM

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D. OPTION VALUATION

  • Binomial Option Pricing Model (BOPM).
  • BOPM  Asumsi bahwa harga saham dapat lebih murah atau mahal dari harga eksekusi dengan peluang yang sama pada suatu periode tertentu (expiration).
  • Black – Scholes Option Pricing Model (BSOPM)
    • BSOPM  menggunakan 5 variabel untuk menilai nilai opsi :
    • The price of the underlying stock.
    • b) The exercise price of the option.
    • c) The time remining to the expiration of the option.
    • d) The interest rate.
    • e) The volatility of the underlying stock.
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The Black – Scholes Option Pricing Model :

atau

Where :

CP = The price of the cal option

CMP = Current market price of the underlying common stock.

N(d1) = The cummlative density function of d1.

N(d2) = The cummlative density function of d2.

EP = The exercise price of the option.

e = The base of natural logarithms = approximately 2,71828.

r = The continuously compounded riskless rate of interest on an

annual basis.

t = The time remaining before the expiration date of the option,

expressed as a fraction of a year.

slide18

Where :

Ln (CMP/EP) = The natural log of (CMP/EP)

σ = The standard deviation of the annual rate of return on

the underlying common stock.

slide19

Example :

CMP = $40. EP =$ 45. r = 0,10. t = 0,5 ( 6 monts). σ = 0,45.

Penyelesaian :

Step 1 : Solve for d1

Step 2 : Use a commulative probability distribution table to find the value of N(d1).

N(d1) = 0,4801.

Where d1 = -0,054.

slide20

Step 3 : Find d2

d2 = - 0,054 - [0,45 (0,5)1/2] = 0,372.

Step 4 : Find N(d2) see Table  N(d2) = 0,3557.

Step 5 : Solve for CP, the price of the call :

CP = CMP ( 0,4801 ) – EP [ Antilpg – ( 0,1 ) ( 0,5 ) ] { 0,3557 }

CP = 19,20 – 45 ( 0,9512 ( ( 0,3557 )

CP = 19,20 – 15,23 = $ 3,97.

The theoritical (fair) value of the option, according to the Black – Scholes formula, is $3,97. If the current market price of the option is greater than the theoretical value, it is overpriced; if less, it is underpriced.