Ch16-股指期权和货币期权(Hull).pdf

Chapter 16 Options on Stock Indices and Currencies Options, Futures, and Other Derivatives, 8th Edition, 1 Index Options (347) The most popular underlying indices in the U.S. are The S&P 100 Index (OEX and XEO) The S&P 500 Index (SPX) The Dow Jones Index times 0.01 (DJX) The Nasdaq 100 Index (NDX) Exchange-traded contracts are on 100 times index; they are settled in cash; OEX is American; the XEO and all others are European Options, Futures, and Other Derivatives, 8th Edition, 2 Index Option Example Consider a call option on an index with a strike price of 880 Suppose 1 contract is exercised when the index level is 900 What is the payoff? Options, Futures, and Other Derivatives, 8th Edition, 3 Using Index Options for Portfolio Insurance Suppose the value of the index is S0 and the strike price is K If a portfolio has a b of 1.0, the portfolio insurance is obtained by buying 1 put option contract on the index for each 100S dollars held 0 If the b is not 1.0, the portfolio manager buys b put options for each 100S0 dollars held In both cases, K is chosen to give the appropriate insurance level Options, Futures, and Other Derivatives, 8th Edition, 4 Example 1 Portfolio has a beta of 1.0 It is currently worth $500,000 The index currently stands at 1000 What trade is necessary to provide insurance against the portfolio value falling below $450,000? Options, Futures, and Other Derivatives, 8th Edition, 5 Example 2 Portfolio has a beta of 2.0 It is currently worth $500,000 and index