关于equity derivatives strategy的一个问题请教

lianghao

Hope somebody can give some ideas on how to deal with these two scenarios:

Of the stocks you are long, you believe that one of your positions, 1 million shares of Microsoft (MSFT) has 20% upside and shouldn't decline by more than 5% over the next three months. However, under no condition do you want to increase your exposure to the stock.

How about constructing a Put Spread Collar (Long 1 put + Short 1 put + Short 1 call) on the MSFT position?

You are bullish on one stock which you do not own, say, Merck (MRK), but believe that over the next six months you should wait until it declines 20% in price before investing $25 million in a position. You can trade OTC options so you can customize the term and strike price.

Go into a Knock-in Barrier Option contract I guess? 

I can calculate the pricing. Just suggest a general strategy. This post will be deleted soon.

Thanks!

[此贴子已经被作者于2008-12-8 14:19:13编辑过]

hedge

第一个：买两个沽权同时空一个购权？ 这个做法是看空。既然是做空，直接放空标的证券即可，不要去买什么沽权，之后自我安慰地说“我也是看空的”

第二个：since u believe that over the next six months you should wait, u just wait. 在你认为时机未到之前，就不要交易，更不要去交易期权。要知道与其费力地去交易knock-in barrier option，其效果等同于“等到那个时候简单地做空标的证券”。

不要太多的衍生品， 不熟不做，simple is the best

[此贴子已经被作者于2008-12-6 22:05:57编辑过]

lianghao

这是我考试。。。。

xun

你进展的好顺利啊，ubs？

barackobama

ubs operation估计不会考这些问题。

lianghao

是我这边的期末考试。。。。UBS去不成了。。。。

lianghao

以下是引用hedge在2008-12-6 22:05:00的发言：

第一个：买两个沽权同时空一个购权？ 这个做法是看空。既然是做空，直接放空标的证券即可，不要去买什么沽权，之后自我安慰地说“我也是看空的”

第二个：since u believe that over the next six months you should wait, u just wait. 在你认为时机未到之前，就不要交易，更不要去交易期权。要知道与其费力地去交易knock-in barrier option，其效果等同于“等到那个时候简单地做空标的证券”。

不要太多的衍生品， 不熟不做，simple is the best

关于第二题，我直接买一个80% (strike) call 怎么样呢？take-home exam，谢谢啦。

hedge

楼上，如果要认真回答起来，这个问题很复杂。需要分很多种情况

barackobama

虽然我不是高手，但

Of the stocks you are long, you believe that one of your positions,
1 million shares of Microsoft (MSFT) has 20% upside and shouldn't
decline by more than 5% over the next three months. However, under no
condition do you want to increase your exposure to the stock.

How about constructing a Put Spread Collar (Long 2 puts Short 1 call) on the MSFT position?

long 2 puts short 1 call肯定不对。既然你觉得MSFT会升20%为什么你还要short call?如果是at the money call你就亏20%了。而且你又觉得不会跌超过5%，那么为什么还要买两个put来hedge呢？反过来还有些道理。

hedge

如果你作的不是Margin交易，不能用简单的交易期权办法来investing $25 million in a position。

因为如果你买了期权，那么你的股票头寸是完全达不到25M的