关于equity derivatives strategy的一个问题请教

lianghao

以下是引用barackobama在2008-12-8 14:11:00的发言：
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。

不好意思是typo，我在原题里改回来了。put spread collar是long one put + short one put + short one call。我short call @ 120%是因为相信最多会有20%的upside，所以不需要有那么多的upside participation，short call可以赚一点premium。

不过我又觉得不应该用put spread collar，因为原题里要求不要increase your exposure to the stock，所以如果我的derivatives里面包含short put的话，就要在未来买stock，这样就increase exposure了，所以我不知道是不是应该用一个普通的collar (long put + short call)，不知道各位高人怎么看？

谢谢！

lianghao

以下是引用hedge在2008-12-8 12:29:00的发言：

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

不用很认真地回答。。。。我不会为knock-in option定价，所以想听听牛牛的意见看看简单地buy a call at 80%是否可以满足客户的需求。

hedge

买两个行权价不一样，方向相反的鞍式期权，行权价分别是那个期望价

stq

以下是引用lianghao在2008-12-8 14:24:00的发言：

不好意思是typo，我在原题里改回来了。put spread collar是long one put + short one put + short one call。我short call @ 120%是因为相信最多会有20%的upside，所以不需要有那么多的upside participation，short call可以赚一点premium。

不过我又觉得不应该用put spread collar，因为原题里要求不要increase your exposure to the stock，所以如果我的derivatives里面包含short put的话，就要在未来买stock，这样就increase exposure了，所以我不知道是不是应该用一个普通的collar (long put + short call)，不知道各位高人怎么看？

call option就不用买股票？

hedge

以下是引用stq在2008-12-12 10:07:00的发言：

call option就不用买股票？

裸空令已经解除

fwl43

以下是引用lianghao在2008-12-6 15:21:00的发言：

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!

Hi there,

Please find my solutions below:

If you reckon that the upside cap should be fixed at 120% and the downside floor should not be lower than 95%, you need to go into a bull spread. Basically, long a put option at 95% whilst short another put option at 120% of the spot. In this case, you will have initial credit in your premium. Hence, this is a bull vertical spread. However, this does not provide you with a full upside exposure as the cap is locked the profit at 120%.

Apparently, the above method only solves half of your problem but does not consider if the level could be between 95% and 100%. You can buy an in-the-money revertible barrier put option with a strike level at 120% and knock in level at 100%. At the same time, you short a conventional put with strike price standing on 120%. As the exotic option should provide an outperformance compared with the conventional one, this strategy should match your investment purpose. To be honest, this is a fairly conservative strategy and your P&L will not be dramatically large. However, I would still say that it is an effective way to protect your capital. On the other hand, between 100% and approximately 118%, you P&L will be negative. I admit that this strategy does not completely meet your need.

The third way I can think about is to short a straddle or strangle. I think this is the best solution. If you choose to straddle, you can fix your strike at (95%+120%)/2=107.5%. If you go with a strangle, just short a put at 95% and short a call at 120%. I will recommend you to go with this method as it's straightforward enough. However, please bear in mind that your client is bearing with significant short volatility risk.

Please let me know if I have any logical flaws. Happy to discuss. Many thanks.

[此贴子已经被作者于2008-12-20 22:16:36编辑过]

lianghao

多谢高人耐心详细的解答！

[此贴子已经被作者于2008-12-30 5:47:39编辑过]

xaquarius

take home考试可以问人的么？还大张旗鼓的到CD上来问？！！同学查一下你们的honor code吧。。

edwen

LZ是UCL的？

听说你们那边不少人已经拿到offer了

[此贴子已经被作者于2009-2-6 1:43:42编辑过]

osman

 第一个场景 short call at 120% + long put at 95%