保本商品之介绍.ppt

1、選擇新世代- 選擇權衍生之金融商品及交易策略,日盛證券 新金融商品處 曾志強,2020/8/6,Sean Tseng,2,Outlines,I. 選擇權之交易策略 選擇權之定義、基本策略 選擇權策略之天龍八部 II. 選擇權衍生之交易策略 投資組合保險(Option based portfolio insurance) 投資組合管理(Portfolio management with derivatives) III. 選擇權衍生之金融商品 保本型商品(Principal guaranteed instrument) 運用新奇選擇權之保本型商品,選擇權之交易策略 - 選擇權之定義、基本策略-

2、選擇權策略之天龍八部,2020/8/6,Sean Tseng,4,選擇新世代 The option era,Hamlet: To be, or not to be, is the question. Trader: To buy, or not to buy; to sell, or not to sell, is the question.,2020/8/6,Sean Tseng,5,選擇新世代 The option era,In nowadays, To buy, or not to buy, to sell, or not to sell, is no more a question.

3、It is your Option.,2020/8/6,Sean Tseng,6,Option是一種買賣契約, 投資人花了權利金, 買進Option之後, 便有權利在特定期間內, 向Option之賣方以事先定好的價格(履約價)買進或賣出標的. 於集中市場中交易. 買賣雙方可自由進出 Speculator, hedger, market maker, etc.,What is option?,2020/8/6,Sean Tseng,7,現貨, 期貨及選擇權,Spot 現貨: 一把蔥10元 Future 期貨: 颱風前夕,約定三天後一把蔥12元. Option 選擇權: 颱風前夕,約定三天後一把蔥

4、12元,但是要看過貨色才決定. 菜販:要先付一元權利金. 狀況一:三天後一把蔥市價變成14元, futures? option? 狀況二:三天後一把蔥市價變成10元, futures? option? 狀況三:三天後一把青蔥變黃蔥,根本不值錢,菜販怎麼辦?,2020/8/6,Sean Tseng,8,狀況三:三天後一把青蔥變黃蔥,根本不值錢,菜販(A)怎麼辦? 進價10元,忍受9元損失(10 1 = 9) 為規避狀況三之風險 菜販(A)向別家菜販(B)約好,三天後一把蔥用10元賣給你,但我有後悔的權利. 菜販B: fine, 但我要0.5元的權利金. 菜販(A): 10 10=0 1-0.5

5、= 0.5,現貨, 期貨及選擇權,2020/8/6,Sean Tseng,9,Call option & put option,買權(Call option) The right to buy 買方支付權利金，取得買進標的之權利 賣方收取權利金，負擔賣出標的之義務 賣權(Put option) The right to sell 買方支付權利金，取得賣出標的之權利 賣方收取權利金，負擔買進標的之義務,Refresh,2020/8/6,Sean Tseng,10,Long call 買買權損益分析,Index level(S),Payoff = max(S-K,0),Long Index Cal

6、l Option:,K,Call,Futures,premium,*max. profit: unlimited *max. loss: premium *initial investment: debit *breakeven point: K+premium,Refresh,2020/8/6,Sean Tseng,11,Short call 賣買權損益分析,Index level,Payoff = - max(S-K,0),Short Index Call Option:,*max. profit: premium *max. loss: unlimited *initial invest

7、ment: credit *breakeven point: K+premium,Refresh,2020/8/6,Sean Tseng,12,Long put 買賣權損益分析,Index level,Payoff = max(K-S,0),Long Index Put Option:,*max. profit: K-premium *max. loss: premium *initial investment: debit *breakeven point: K-premium,Refresh,2020/8/6,Sean Tseng,13,Short put 賣賣權損益分析,Index le

8、vel,Payoff = - max(K-S,0),Short Index Put Option:,*max. profit: premium *max. loss: K-premium *initial investment: credit *breakeven point: K-premium,Refresh,2020/8/6,Sean Tseng,14,Bull Spread多頭價差,Index level,Payoff,Long a call at K1 + Short a call at K2, K1 K2,c1,c2,K1,K2,*max. profit: K2-K1-(c1-c2

9、) *max. loss: c1-c2 *initial investment: net debit *breakeven point: K1+(c1-c2),Refresh,2020/8/6,Sean Tseng,15,Bear Spread空頭價差,Index level,Payoff,Short a call at K1 + Long a call at K2, K1 K2,*max. profit: c1-c2 *max. loss: K2-K1-(c1-c2) *initial investment: net credit *breakeven point: K1+(c1-c2),c

10、1,c2,K1,K2,Refresh,2020/8/6,Sean Tseng,16,Long Straddle 買進鞍式,Index level,Payoff,Long a call + Long a put at the same strike,Call,Put,Refresh,2020/8/6,Sean Tseng,17,Long Straddle買進鞍式,Index level,*max. profit: unlimited *max. loss: c+p *initial investment: debit *breakeven point: K(c+p),c,p,K,Refresh,

11、2020/8/6,Sean Tseng,18,Short Straddle賣出鞍式,Index level,Payoff,Short a call + Short a put at the same strike,*max. profit: c+p *max. loss: unlimited *initial investment: credit *breakeven point: K(c+p),c,p,K,Refresh,2020/8/6,Sean Tseng,19,Bottom Strangle,Payoff,Long a call + Long a put at different st

12、rikes,Index level,*max. profit: unlimited *max. loss: c+p *initial investment: debit *breakeven point: K1-(c+p) & K2+(c+p),c,p,K1,K2,Refresh,2020/8/6,Sean Tseng,20,Top Strangle,Payoff,Short a call + Short a put at different strikes,Index level,*max. profit: c+p *max. loss: unlimited *initial investm

13、ent: credit *breakeven point: K1-(c+p) & K2+(c+p),c,p,K1,K2,Refresh,2020/8/6,Sean Tseng,21,Butterfly Spread,Index level,Payoff,Bull spread + Bear spread or Short straddle + Long strangle,Refresh,2020/8/6,Sean Tseng,22,Ratio Spread,Short a call at K1 + Long two calls at K2, K1 K2,*max. profit: unlimi

14、ted *max. loss: K2-K1-c1+2*c2 *initial investment: uncertain *breakeven point: K2+max. loss,Index level,Payoff,c1,c2,K1,K2,2*c2,Refresh,2020/8/6,Sean Tseng,23,關於策略的問題 A point to ponder,策略何其之多? 組合何其複雜? 同樣的損益狀況又有各種不同的組合方式 組合中不同的履約價不同的比率又會出現全然不同之損益狀況 招式記了一堆，又要如何上場應戰? 張無忌如何向張三豐學太極拳?,介紹選擇權之天龍八部,2000/11/2

15、5,Building blocks in option strategies,大法無法 見招拆招,2020/8/6,Sean Tseng,25,財金工程的積木遊戲 The building blocks of FE,Modern finance is particle finance. We decompose, then recompose.,2020/8/6,Sean Tseng,26,多空生兩儀,Long position & short position,Stock price,P&L,2020/8/6,Sean Tseng,27,兩儀生四象,Long call, put & shor

16、t call, put,LONG CALL,SHORT PUT,LONG PUT,SHORT CALL,Stock price,P&L,2020/8/6,Sean Tseng,28,四象生八卦,Different strikes & different amount,Different strike,Different ratio,2020/8/6,Sean Tseng,29,八卦之後就千變萬化,Different strikes & different amount,2020/8/6,Sean Tseng,30,創造自己的策略 Create your own strategies,Under

17、standing the instruments. Define your market view. Bull or Bear, the price range, risk and reward. Build your initiate positions. Set the positions to meet your major market view. Revise your positions. Add or drop positions to fit your concerns.,Dynamically change your positions according the marke

18、t movement,2020/8/6,Sean Tseng,31,1.了解各項部位特性 Understanding the instruments(Vector analysis),2020/8/6,Sean Tseng,32,向量分析 Vector analysis,Short 3 stock at 100: (-1,+1)*3= (-3,+3) Long 2 call at 100: (+1, 0)*2= (+2, 0) Short 3 put at 100: ( 0, -1)*3= ( 0, -3) The over all position: (-1, 0) What will it

19、 look like?,2020/8/6,Sean Tseng,33,了解各項部位特性,多空方向 看多或是看空 折線方向 攻方或是守方 數量 合約數量之搭配 轉折點 履約價格之選定,2020/8/6,Sean Tseng,34,2. 規劃行情走勢,Define your market view,假設1: Bottom is confirmed, but the market can hardly go beyond 4800 in the near term.,2020/8/6,Sean Tseng,35,-10 put at 4800,Bottom is confirmed, but the

20、 market can hardly go beyond 4800.,Strategies to meet Scenario 1,2020/8/6,Sean Tseng,36,規劃行情走勢,假設2: If TAIEX drop below 4800, there will be substantial downside risk. Even though, it still looks like a rebound is coming, but unlikely to go beyond 5000.,2020/8/6,Sean Tseng,37,Strategies to meet Scena

21、rio 2,2020/8/6,Sean Tseng,38,If TAIEX drop below 4800, there will be substantial downside risk. Even though, it still looks like a rebound is coming, but unlikely to go beyond 5000,Strategies to meet Scenario 2,2020/8/6,Sean Tseng,39,規劃行情走勢,假設3: It is likely the market stay in a narrow trading range

22、. But who knows? Some dramatic change may happen.,2020/8/6,Sean Tseng,40,Strategies to meet Scenario 3,2020/8/6,Sean Tseng,41,It is likely the market will stay in a narrow trading range. But who knows? Some dramatic change may happen,Strategies to meet Scenario 3,2020/8/6,Sean Tseng,42,規劃行情走勢 Try ag

23、ain,(NASDAQ),跌破1900可能性不高 跌破1600則絕不可能 比較可能在1900及2300之間作區間盤整. 然而, 若能有效突破 2400, 之後仍有可觀的上漲空間.,So, what can we do as an option trader?,2020/8/6,Sean Tseng,43,Strategies to meet market scenario,2020/8/6,Sean Tseng,44,Strategies to meet Scenario 1,2020/8/6,Sean Tseng,45,偏移分析 The deviation analysis,Assumpti

24、on,Confirmation,Action,Bull,Bear,Deviation,2020/8/6,Sean Tseng,46,Bull/ Vol.flat,Neutral/ Vol.flat,Bear/ Vol.flat,Market scenario,2020/8/6,Sean Tseng,47,關於天龍八部 Summary,大法無法,見招拆招. 了解部位特性 多空, 折線, 轉折, 數量. 規劃市場行情 多空, 價位, 時點. 機動調整部位 移除, 新增, 改變損益圖形.,操作選擇權像是在玩麻將. 一方面要胡牌,一方面要小心不能放炮, 攻守之間便是Option strategies

25、之精要所在. 善用選擇權天龍八部千變萬化的特性,II. 選擇權(期貨)衍生之交易策略,投資組合保險 資產組合管理,2020/8/6,Sean Tseng,49,交易策略之分類 The spectrum of trading strategies,Timing Ratio,期貨,現貨,PISSA,2020/8/6,Sean Tseng,50,風險之微調控管 Hedge = Exposure tuning,What I want is what I get. Risk(exposure) = Systematic exposure + Specific exposure Fully or part

26、ially hedge market risk Short index futures,市場大好 兩者都賺 市場不好 只賺個別表現,2020/8/6,Sean Tseng,51,避險的難題 To hedge, or not to hedge,When? How much?,1. Full hedge 全然規避大盤風險 2. Technical hedge 技術性擇時避險 3. Protective put hedge 使用或複製賣出權,2020/8/6,Sean Tseng,52,投資組合保險 買入 protective put,Long equity portfolio+ Long prot

27、ective put Long synthetic call,持有績優之投資組合 買進 index put option 下檔風險有限, 上檔獲利無窮,2020/8/6,Sean Tseng,53,投資組合保險 payoff using protective put,profit Loss,Synthetic position,Assuming no tracking errors,2020/8/6,Sean Tseng,54,選擇權(Put option)之履約價 Higher strike, better protection, but higher premium. 選擇權(Put op

28、tion)之時間長短 3m 5.59%, 6m 7.66%, 9m 9.15%, 12m 10.33% 投資組合之績效表現 Outperform or under-perform index Put option之持有時間 Early termination can not ensure the protection effect. Pay insurance premium to get down side protection.,投資組合保險 Issues of using protective put,2020/8/6,Sean Tseng,55,To Hedge, or not to

29、hedge.,投資組合保險 Implication of using protective put,Better than Buy and Hold with big swing in TAIEX. Worse than Buy and hold with little swing in TAIEX.,2020/8/6,Sean Tseng,56,複製Index Put option when the premium is not available,profit Loss,Short hedge based on the put delta,2020/8/6,Sean Tseng,57,-1

30、Delta0,Put Delta value sensitivity,The slope turns steep approaching expiration around money. Put:-Delta,2020/8/6,Sean Tseng,58,股價越漲, -Delta越小, 放空避險的口數越少 股價大漲, -Delta趨近於0, 幾乎全不避險. 股價越跌, -Delta越大, 放空避險的口數越少. 股價大跌, -Delta趨近於-1, 幾乎全部避險. 依據Delta值, 機械式的進行動態避險. 如同動態的停損操作. 問題一：避險技術不佳將提高避險成本 問題二：如期貨長期呈逆價差也將

31、提高避險成本,複製Index Put option Implication of replicating put,-60.00%,-50.00%,-40.00%,-30.00%,-20.00%,-10.00%,0.00%,10.00%,20.00%,30.00%,40.00%,98/2/21,98/4/21,98/6/21,98/8/21,98/10/21,98/12/21,99/2/21,99/4/21,日期,報,酬,率,2330,Index,Fully Hedge,Delta Hedge,投資組合避險實例 1 台積電 98/02- 99/04,-60.00%,-50.00%,-40.00%

32、,-30.00%,-20.00%,-10.00%,0.00%,10.00%,20.00%,30.00%,40.00%,00/1/4,00/2/4,00/3/4,00/4/4,00/5/4,00/6/4,00/7/4,00/8/4,00/9/4,00/10/4,00/11/4,00/12/4,日期,報,酬,率,2330,Index,Fully Hedge,Delta Hedge,投資組合避險實例 1 台積電 00/01- 00/12,-60.00%,-50.00%,-40.00%,-30.00%,-20.00%,-10.00%,0.00%,10.00%,20.00%,30.00%,98/2/21

33、,98/4/21,98/6/21,98/8/21,98/10/21,98/12/21,99/2/21,99/4/21,日期,報,酬,率,Fund,Index,Fully Hedge,Delta Hedge,投資組合避險實例 2 績優基金 98/02- 99/04,-60.00%,-50.00%,-40.00%,-30.00%,-20.00%,-10.00%,0.00%,10.00%,20.00%,30.00%,00/1/4,00/2/4,00/3/4,00/4/4,00/5/4,00/6/4,00/7/4,00/8/4,00/9/4,00/10/4,00/11/4,00/12/4,日期,報,酬

34、,率,Fund,Index,Fully Hedge,Delta Hedge,投資組合避險實例 2 績優基金 00/01- 00/12,Core list,JS list,Stock trend,Sell stocks,Portfolio,Market analysis,Poor fundamental,Bull sign,Systematic risk,Poor technical,Short futures,Option hedge,Technical hedge,Rep. put,Rep. calls,The comprehensive approach of fund managemen

35、t,Buy put,2020/8/6,Sean Tseng,64,部位管理模式架構說明 The comprehensive approach of fund management,股票端 1.Market analysis：進行大勢研判 2.Core portfolio：主要以基本面資料為選擇核心股票，佐以各股之趨勢判斷。 3.Bull sign -Buy stock：待上述之核心股票出先多頭訊號時買入股票 4.Portfolio：建立持股部位 5.Bearish sign -Sell stock： 基本面或技術面出現警訊時，出脫持股,2020/8/6,Sean Tseng,65,避險端 A.

36、Market analysis： 進行大勢分析，考慮應採行之避險策略 B.Technical hedge： 以技術指標界定風險狀態，機動避險。 C.Option based hedge： 以選擇權之避險模式進行交易,部位管理模式架構說明 The comprehensive approach of fund management,2020/8/6,Sean Tseng,66,關於投資組合保險的問題 To hedge, or not to hedge,Exposure tuning: what you want is what you get 避險額度: Fully hedge, partial

37、hedge. 避險時機: Always, technical, mechanical. 避險方式: Use index futures, or index put. 成功關鍵: Good portfolio,systematic hedging approach.,III. 選擇權衍生之金融商品,保本型商品(Principal guaranteed instrument)新奇保本型商品,2020/8/6,Sean Tseng,68,保本型商品 The basic structure,報酬特定資產連動 ( 封閉型, 特定到期日) 結合零息債券及選擇權. 買進零息債券,其面額於到期時等於應保障之本

38、金. 利用剩餘資金買進以特定資產圍標的之選擇權 所以, 投資人於到期時能拿回被保障的本金, 另外還可以透過買進的選擇權,參與特定資產之價格變動之利益.,2020/8/6,Sean Tseng,69,保本型商品範例,Set guaranteed rate as 100% on the 100 principal. Pay back 100(Future value) at maturity. Buy zero coupon bond: Future Value=100, fixed income yields 7%, Present value=100/1.07=93.45 Residual c

39、apital: 100-93.45=6.55 Buy option with the residual capital: Ex. Option premium 12.7, participation rate=6.55/12.7=0.524,2020/8/6,Sean Tseng,70,100,93.45,6.55,Buy option to ensure fixed participation rate,PV,FV,7%,95 FV,88.78 PV,Buy more options and get higher participation rate,11.22,保本型商品範例,2020/8

40、/6,Sean Tseng,71,Zero coupon bond + index option Return bond face value + option payoff Pay for the present value for bond Use the rest of capital (RC) to buy options Buy Call option for bull Buy Put option for bear Participation rate: option premium/RC,保本型商品之回收 Ex. Index option,2020/8/6,Sean Tseng,

41、72,Option value,Option value,Principal,保本型商品之回收 with call option,2020/8/6,Sean Tseng,73,Option value,Principal,保本型商品之回收 with put option,2020/8/6,Sean Tseng,74,Example Principal Guaranteed fund,基金名稱：怡富日本美元還本收益基金 投資標的：NIKKIE225指數 投資方向：看漲 投資期間：2年 最低投資金額：新台幣10萬元 本金保證額度：100%，以美金計算 參與率：125%,2020/8/6,Sean

42、Tseng,75,Structuring the PGI,Guaranteed R.,Option premium,Participation R.,Option type,Volatility,Structuring,Fixed income yield,Liquidity,Credit quality,2020/8/6,Sean Tseng,76,Guaranteed rate vs. Participation rate,朝三暮四 vs. 朝四暮三 Higher Principal Guaranteed rate, lower Participation rate. 保本率G% 到期時保

43、證回收本金的比例 參與率P% 參與市場漲（跌）幅而獲利的比例,2020/8/6,Sean Tseng,77,Conservative vs. Aggressive,Aggressive,Conservative,Principal,Guarantee rate,There is a price to pay to get insured.,運用新奇選擇權之保本商品,2020/8/6,Sean Tseng,79,如何提高參與率,Assuming fixed guaranteed rate Lower the option premium, higher the participation rat

44、e Use the option with lower premium Change the pay-off of option Change the way to calculate the return Here come the Exotic options,2020/8/6,Sean Tseng,80,常見的新奇選擇權,Mostly applied exotic option 平均式選擇權 Average Option 價差式選擇權 Vertical Spread 界限式選擇權 Barrier Option Whatever structure you can imagine.,202

45、0/8/6,Sean Tseng,81,平均式選擇權,At maturity, Pay-off = Max ( AT - K ) , 0 AT : The average of index level for every observation period Observation period: every week, month, or quarter,2020/8/6,Sean Tseng,82,平均式選擇權 In calculating return,Quarterly observation, for one year Launch index: 4500, Q1:4900, Q2:

46、5500, Q3:6800, Q4:5400 The different returns PV:(5400-4500)/4500=900/4500=17.39% AA:(4900+5500+6800+5400)/4-4500)/4500=25.55% Better or worse? Depends on price path!,2020/8/6,Sean Tseng,83,平均式選擇權 Marketing implication,Those look good, not necessarily more expensive. Sales can say: 4500 is very likel

47、y the bottom. Unfortunately, since we are not sure the peak will located in which month. We give you a privilege to average the return of every months. And we also increase the participation rate. It is definitely a good deal. Only for our VIPs.,2020/8/6,Sean Tseng,84,Set a cap for index return Cons

48、truction: Lt is like long a call at (K1) , Short Call at (K2), K2 K1 Give up the profit opportunity when index move above the cap(K2) Use the premium received from short Call (K2) to lower the cost of holding long Call(K1) Lower the cap, lower the option value.,價差式選擇權,2020/8/6,Sean Tseng,85,價差式選擇權 P

49、ayoff with vertical spread,Index level,Payoff,Long a call at K1 + Short a call at K2, K1 K2,c1,c2,K1,K2,2020/8/6,Sean Tseng,86,界限式選擇權,Knock-out: When index goes up or down to certain index level(barrier), the option will automatically get expired. Knock-in: When reaches the barrier, the option will

50、become valid. (Up or Down)*2, ( In or Out )*2 , ( Call or Put )*2，totally 8 combinations.,2020/8/6,Sean Tseng,87,範例 Up and Out Call,Launch index: 4500 Barrier: 5400 Rrebate: 100 If index is 5435 at maturity, investor gets 5435-4500=935 If index is once above 5400, say 5402, investor will get only th

51、e rebate 100. Lower the barrier, lower the premium. Lower the rebate, lower the premium.,2020/8/6,Sean Tseng,88,範例一 組合式存款 Structured deposit,Knock-out call Guaranteed rate:90% The underlining index: Nikkei Strike: 16000 Participation: 250% Knock out index: 21000 Rebate: 0,2020/8/6,Sean Tseng,89,The

52、payoff chart,Option knock-out,Out of money,In the money,2020/8/6,Sean Tseng,90,HSI equity linked deposit 8/2001 Currency USD, principal USD 100,000 At maturity Investor receive 95% of principal and 100% of the return of HSI. USD deposit plus HSI index option( K=97% of S) Knock-out level 120% of S Rebate for the option: 10,000,範例二 外幣保本型存款 Structured deposit,2020/8/6,Sean Tseng,91,The payoff chart,11640,USD 95,000,USD 117,992,USD 105,000,14399,HIS. index,2020/8/6,Sean Tseng,92,The backside of the story,Assuming 1 yr yield of USD 3% The present value of 95,000 in