1008.-期权及其衍生市场chapter

1、Chapter 6Options MarketsAssets UnderlyingExchange-Traded OptionsStocksForeign CurrencyStock IndicesFuturesSpecification ofExchange-Traded OptionsExpiration dateStrike priceEuropean or AmericanCall or Put (option class)Terminology Moneyness :At-the-money option(平价期权)In-the-money option(实值期权)Out-of-th

2、e-money option(虚值期权)Terminology(continued) Option class(all options of the same type(call or put) Option series(a particular contract that is traded,that is all the options of a given class with the same expiration date and strike price,i.e.,The IBM 110 January calls are an option series.) Intrinsic

3、 value Time valueDividends & Stock Splits Suppose you own N options with a strike price of X :No adjustments are made to the option terms for cash dividendsWhen there is an n-for-m stock split,the strike price is reduced to mX/n the no. of options is increased to nN/mStock dividends are handled in a

4、 manner similar to stock splitsDividends & Stock Splits(continued)Consider a call option to buy 100 shares for $20/shareHow should terms be adjusted:for a 2-for-1 stock split?for a 5% stock dividend?Organization of TradingTypes of traders:Market makersFloor brokersAlternative systems for limit order

5、sOrder book officials(指令登记员)SpecialistsMargins Margins are required when options are soldWhen a naked option is written the margin is the greater of: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 moneyA to

6、tal of 100% of the proceeds of the sale plus 10% of the underlying share priceFor other trading strategies there are special rulesWarrantsWarrants are options that are issued (or written) by acorporation or a financial institutionThe number of warrants outstanding is determined by the size of the or

7、iginal issue & changes only when they are exercised or when they expireWarrants(continued)Warrants are traded in the same way as stocks The issuer settles up with the holder when a warrant is exercisedWhen call warrants are issued by a corporation on its own stock, exercise will lead to new stock be

8、ing issuedExecutive Stock OptionsOption issued by a company to executivesWhen the option is exercised the company issues more stock Usually at-the-money when issued e vested after a period of timeCant be soldLast as long as 10 or 15 yearsConvertible BondsConvertible bonds are regular bonds that can be exchanged for equity at certain times in the future according to a predetermined exchange ratioConvertible Bonds(continued)Very often a convertible is