Bi 1:

Ngy 10/08/2011 khi gi vng ti Vit Nam t ngt tng ln mc 44.5 triu ng
mt lng so vi mc 38 triu 1 thng trc v 40 triu so vi mt tun trc ,
mt s nh u t tin rng y l nh ca vng trong giai on ny v quyt nh
u t gi xung. Tuy nhin, kh nng vng tip tc i ln vn cao v tim n nhiu
ri ro cho nh u t. Theo bn, nu c t vn cho nh u t s dng cc cng c
phng nga ri ro, bn s t vn cho nh u t s dng cng c no. Gii thch.
Bi 2:
Ngy 23/08/2011 vng t nh cao v gi ca mi thi i t mc 48.4 triu ng
mt lng, trong nhng thng sau gi vng lun gi vng trn 45 triu/lng. V
th vo ngy 15/12/2011 khi vng rt xung mc 43.1 triu ng 1 lng, rt nhiu
nh u t tin y l mc gi thp nht ca vng v t vng s tip tc i ln.
Nhiu nh u t da vo phn on ny v u t gi ln. Bn hy t vn cho
nh u t cng c phng nga ri ro.
Bi 3:
-

Chn 3 cp tin t:
Tm t gi spot
Tm gi quyn chn mua, quyn chn bn ca 3 cp tin t ny.
Tm t gi k hn mua, bn ca cc cp tin t trong k hn tng ng vi
options.
Xy dng bng tnh excel tnh ton li nhun ca cc cp tin t trong cc trng
hp sau y (din bin gi th trng sinh vin t gi nh vi cc trng hp gi
tng so vi gi spot, gi gim so vi gi spot v gi nh t nht l 6 t gi) :
a. Mua ngoi t giao ngay v bn ngoi t theo quyn chn bn.
b. Mua ngoi t giao ngay v bn ngoi t theo hp ng k hn.
c. Bn ngoi t giao ngay v mua ngoi t theo quyn chn mua.
d. Bn ngoi t giao ngay v mua ngoi t theo hp ng k hn.
Tnh tng li nhun ca cc trng hp trn v v th li nhun tng nghip v
ring l v th tng li nhun. Nhn xt trng hp a so vi trng hp b; trng
hp c so vi trng hp d .

Mu bng tnh tng t nh bi 4 di y.

Bi 4:
Mt nh u t mua 100,000GBP t gi GBP/USD: 1.5720 vi k vng gi GBP s tng
bn ra trong vng 1 tun. phng chng ri ro cho v th m, nh u t quyt nh
chn hp ng quyn chn:
GBP/USD (vt: pips) (Gi strike 1.5780)

QC Mua_Call

QC Bn_Put

K hn

01 tun
02 tun
01 thng

90
112
157

88
115
162

Hy t vn cho nh u t nn la chn loi quyn chn no.

Tnh li nhun kt hp (t v th m v hp ng quyn chn) ca nh u t khi
din bin gi th trng nh sau:
Gi th trng
KQKD giao ngay
KQKD quyn chn Tng KQKD
1.5680
1.5700
1.5710
1.5770
1.5820
1.5870
1.5890
1.5930
1.5940

V th li nhun ca v th spot, th l nhun ca v th options v th li

nhun kt hp.

Bi 5:
Mt nh u t mua 100,000GBP t gi GBP/USD: 1.5720 vi k vng gi GBP s
tng bn ra trong vng 1 tun. phng chng ri ro cho v th m, nh u t
quyt nh chn hp ng k hn 1 tun:
GBP/USD: 1.5718 1.5720
im k hn: 52 55
- Tnh li nhun kt hp (t v th m v hp ng k hn) ca nh u t khi din
bin gi th trng nh sau:
Gi th trng
KQKD giao ngay
KQKD k hn
Tng KQKD
1.5680
1.5700
1.5710
1.5770
1.5820
1.5870
1.5890
1.5930
1.5940

V th li nhun ca v th spot, th l nhun ca v th forward v th li

nhun kt hp.
Nhn xt kt qu ca bi tp 4 v 5.

Bi 6.
Hp ng quyn chn AUD/USD c gi tr 100,000AUD.
- Mua mt hp ng quyn chn bn AUD kiu u n hn vo thng 3, gi thc
hin l 1.1800 vi mc ph 0.1117 USD/AUD.
- Bn mt hp ng quyn chn bn AUD kiu u n hn vo thng 3, gi thc
hin l 1.0350 vi mc ph l 0.0014 USD/AUD.
Yu cu:
- Kt hp 2 quyn chn trn s to ra chin lc g?
- Nu gi th trng ngy o hn l 1.0500, kt qu kinh doanh ca nh u t
nh th no?
Bi 7
1. Mt nh u t mua cc quyn chn kiu Chu u nh sau:
AUD/USD Mar-12
Volume

Strike

Type

Premium

Buy

1.0000

CALL

0.0737

Buy

1.1200

CALL

0.0006

Sell

1.0600

CALL

0.0194

Mi hp ng quyn chn c gi tr 100,000AUD.

Nu tn chin lc c to ra.
Tnh kt qu kinh doanh ca nh u t khi ngy o hn, gi AUD/USD trn th
trng nh sau:
- AUD/USD = 0.9950
- AUD/USD = 1.1100
- AUD/USD = 1.1450
- AUD/USD = 1.0300
Bi 8
Tm gi quyn chn ca 1 cp ngoi t trn th trng. Hy to ra cc chin lc
straddle, bull-bear spread v chin lc butterfly.