1、INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 17 Options Markets: Introduction INVESTMENTS | BODIE, KANE, MARCUS 17-2 Derivatives are securities that get their value from the price of other securities. Derivatives a
2、re contingent claims because their payoffs depend on the value of other securities. Options are traded both on organized exchanges and OTC. Options INVESTMENTS | BODIE, KANE, MARCUS 17-3 The Option Contract: Calls A call option gives its holder the right to buy an asset: At the exercise or strike pr
3、ice On or before the expiration date Exercise the option to buy the underlying asset if market value strike. INVESTMENTS | BODIE, KANE, MARCUS 17-4 The Option Contract: Puts A put option gives its holder the right to sell an asset: At the exercise or strike price On or before the expiration date Exe
4、rcise the option to sell the underlying asset if market value strike. INVESTMENTS | BODIE, KANE, MARCUS 17-5 The Option Contract The purchase price of the option is called the premium. Sellers (writers) of options receive premium income. If holder exercises the option, the option writer must make (c
5、all) or take (put) delivery of the underlying asset. INVESTMENTS | BODIE, KANE, MARCUS 17-6 Example 17.1 Profit and Loss on a Call A January 2010 call on IBM with an exercise price of $130 was selling on December 2, 2009, for $2.18. The option expires on the third Friday of the month, or January 15,
6、 2010. If IBM remains below $130, the call will expire worthless. INVESTMENTS | BODIE, KANE, MARCUS 17-7 Example 17.1 Profit and Loss on a Call Suppose IBM sells for $132 on the expiration date. Option value = stock price-exercise price $132- $130= $2 Profit = Final value Original investment $2.00 -
7、 $2.18 = -$0.18 Option will be exercised to offset loss of premium. Call will not be strictly profitable unless IBMs price exceeds $132.18 (strike + premium) by expiration. INVESTMENTS | BODIE, KANE, MARCUS 17-8 Example 17.2 Profit and Loss on a Put Consider a January 2010 put on IBM with an exercis
8、e price of $130, selling on December 2, 2009, for $4.79. Option holder can sell a share of IBM for $130 at any time until January 15. If IBM goes above $130, the put is worthless. INVESTMENTS | BODIE, KANE, MARCUS 17-9 Example 17.2 Profit and Loss on a Put Suppose IBMs price at expiration is $123. V
9、alue at expiration = exercise price stock price: $130 - $123 = $7 Investors profit: $7.00 - $4.79 = $2.21 Holding period return = 46.1% over 44 days! INVESTMENTS | BODIE, KANE, MARCUS 17-10 In the Money - exercise of the option would be profitable Call: exercise price market price Out of the Money -
10、 exercise of the option would not be profitable Call: market price exercise price. At the Money - exercise price and asset price are equal Market and Exercise Price Relationships INVESTMENTS | BODIE, KANE, MARCUS 17-11 American - the option can be exercised at any time before expiration or maturity
11、European - the option can only be exercised on the expiration or maturity date In the U.S., most options are American style, except for currency and stock index options. American vs. European Options INVESTMENTS | BODIE, KANE, MARCUS 17-12 Stock Options Index Options Futures Options Foreign Currency
12、 Options Interest Rate Options Different Types of Options INVESTMENTS | BODIE, KANE, MARCUS 17-13 Notation Stock Price = ST Exercise Price = X Payoff to Call Holder (ST - X) if ST X 0if ST X 0if ST X (X - ST) if ST X -(X - ST)if ST 115 Since the leveraged equity is less expensive, acquire the low co
13、st alternative and sell the high cost alternative Put Call Parity - Disequilibrium Example 0 (1)T f X CSP r INVESTMENTS | BODIE, KANE, MARCUS 17-39 Table 17.5 Arbitrage Strategy INVESTMENTS | BODIE, KANE, MARCUS 17-40 Option-like Securities Callable Bonds Convertible Securities Warrants Collateralized Loans
