ChOptionsMarkets(金融工建华东师范大学汤银才)

1、Options, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.1 Options MarketsChapter 6Options, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.2Assets UnderlyingExchange-Traded OptionsPage

2、151-2 Stocks Foreign Currency Stock Indices Futures Commodities etcOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.3Specification of “Plain-Vanilla” Exchange-Traded Options Expiration date Strike price Style (European or American) Cla

3、ss (Call or Put)Options, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.4Terminology (page 154) Moneyness :At-the-money option(平值)In-the-money option(实值)Out-of-the-money option(虚值)Options, Futures, and Other Derivatives, 4th edition 2000 by J

4、ohn C. HullTang Yincai, Shanghai Normal University6.5Terminology(continued) Option class Option series Intrinsic value Time valueOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.6Dividends & Stock Splits (Page 155-6) Suppose you own N

5、options with a strike price of X : NO adjustments are made to the option terms for cash dividends When there is an n-for-m stock split, the strike price is reduced to mX/n the no. of shares in one contract is increased to nN/m (Example 6.1) Stock dividends are handled in a manner similar to stock sp

6、litsOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.7Dividends & Stock Splits(continued) Consider a call option to buy 100 shares of XYZ for $20/share How should terms be adjusted:for a $0.50/share cash dividend?for a 2-for-1 stock sp

7、lit?for a 5% stock dividend?Options, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.8Organization of Trading Types of traders: Market makers Floor brokers Alternative systems for limit orders Order book officials SpecialistsOptions, Futures,

8、and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.9Margins :NakedMargins are required when options are SOLD (written)-The initial margin is 50% of the value of the shares- The maintenance margin is 25%When a naked option (whose position is not combined w

9、ith an offsetting position in the underlying stock) is written, the margin is the greater of:1. A total of 100% of the proceeds of the sale plus 20% of the underlying share price less the amount (if any) by which the option is out of the money2. A total of 100% of the proceeds of the sale plus 10% o

10、f the underlying share priceExample 6.3 (Page 161)Options, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.10Margins: Covered Calls No Margin is required for the options.This is because the shares are already owned. The minimum cash outlay to

11、set up a covered call isThe margin for the stock is 50%Less the proceeds from the sale of the optionsPlus the extent (if any) that the options are ITMOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.11Warrants Warrants are options that

12、 are issued (or written) by a corporation or a financial institution. They are added to the bond issue to make it more attractive to investors The number of warrants outstanding is determined by the size of the original issue and only changeswhen they are exercised or when they expireOptions, Future

13、s, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.12Warrants (continued) Warrants are traded in the same way as stocks The issuer settles up with the holder when a warrant is exercised When call warrants are issued by a corporation on its own stock, e

14、xercise will lead to new treasury stock (库存股票) being issuedOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.13Executive Stock Options Call options issued by a company to executives to motivate them to act in the best interests of the c

15、ompanys shareholders. When the option is exercised the company issues more stock Usually at-the-money when issuedOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.14Executive Stock Options （continued） They become vested (归属) after a per

16、iod of time They cannot be sold They often last for as long as 10 or 15 yearsOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.15Convertible Bonds Convertible bonds (a.k.a. convertibles)are regular bonds that can be exchanged for equity

17、at certain times in the future according to a predetermined exchange ratioOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.16Convertible Bonds(continued) Very often a convertible is callable The call provision is a way in which the iss

18、uer can force conversion at a time earlier than the holder might otherwise chooseOptions, Futures, and Other Derivatives, 4th edition 2000 by John C. HullTang Yincai, Shanghai Normal University6.17Reading Quotes from the WSJ(page 156) -Call- -Put-Option/Strike ExpVol LastVol LastBrianInc 50 Sept.235 5/1664 60 Aug5773 7/8220 1/4