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Introduction

Alexei Zhdanov

Derivatives

Derivative is a financial instrument whose value is derived entirely from the value of another asset (or a group of assets), known as the underlying asset Most commonly used types of derivatives Forwards Futures Swaps Options

Spot contract

A spot contract is an agreement between a buyer and a seller at time 0 The seller agrees to deliver the asset immediately The buyer agrees to pay for that asset immediately Thus, in these contracts there is an immediate and simultaneous exchange of cash for securities

Forward contract

A forward contract is a firm commitment to buy or sell an asset at a specified price, on a specified future date (the delivery date) -Just like a spot contract but with delayed delivery and payment time

Forward contract

Almost all forward contracts are traded over the counter - No exchange listing - Price have to be collected from dealers Forward contracts are part of many commercial transactions - Built to order Planes, houses, bridges, shoes, suits

Forward payoffs

Buy forward

Sell forward

F,t

St+

V For an oil user, rising oil prices [ P(oil) > 0] increase costs and decrease firm value.

P (oil)

Core Business

V

Hedging FX receivables

Suppose that a U.S. firm sells computers to a French firm for 1,000,000 The payment of the computers is due in 90 days The exchange rates are as follows - Spot: St ($/ ) = 1.25 - Forward: F90,t ($/ ) = 1.30

Hedging FX receivables

If the receivables are not hedged, the firm will receive in 90 days from now St+90 1,000,000 This cash flow depends on the spot rate in 90 days from now and as of now is uncertain

Hedging FX receivables

Suppose the firm sells euros forward at F90,t ($/ ). The firm will receive in 90 days from now F90,t ($/ ) 1,000,000 = $ 1,300,000 This cash flow does not depend on the spot rate in 90 days from now and is certain Spot 1,300 Forward 0 1.3 2 St+90 Hedged position

Futures contracts

A futures contract is normally arranged through an exchange Contrary to forward contracts, futures contracts are marked to market daily - The contracts price is adjusted each day as the futures price for the contract changes Futures contracts are agreements to - Purchase (sell) a specified quantity of a specified asset at a specified date for the then current futures price

Margin calls

A margin is cash or marketable securities deposited by an investor with his or her broker The balance in the margin account is adjusted to reflect daily settlements Margins minimize the possibility of a loss through a default on a contract Futures contracts are settled daily leading to margin calls Initial margin the amount that must be deposited at the time the contract is entered Maintenance margin the minimum balance allowed on the margin account

Example

An investor takes a long position in 2 December gold futures contracts on June 5 - Contract size: 100oz. - Futures price: US$400 - Margin requirement per contract is USD $2,000 (so that the total requirement is US$4,000) - Maintenance margin per contract is USD $1,500 (so that the maintenance margin on the position is US$3,000 in total) The mechanics are as follows

Example

Daily Cumulative Margin Futures Gain Gain AccountMargin Price (Loss) (Loss) Balance Call Day (US$) (US$) (US$) (US$) (US$) 400.00 5-Jun 397.00 . . . . . . 6-Jun . . . 7-Jun . . . 8-Jun 393.30 . . . (600) . . . (740) . . . 4,000 (600) 3,400 . . . . . . 0 . . .

(1,340) 2,660 + 1,340 = 4,000 . . . . . . . . < 3,000 (2,600) 2,740 + 1,260 = 4,000 . . . . . . . . . (1,540) 5,060 0

Clearinghouse

Long Position

Money Commodity

Clearinghouse

Money Commodity

Short Position

Futures contracts

Futures contracts Resettled daily (margin calls) Exchange traded Clearinghouse Tick size, price limit Pros and cons - Futures contracts have lower default risk - Forward contracts can be customized Forward contracts Payments at maturity OTC Counterparty risk No regulation

Closing out a futures position involves entering into an offsetting trade. Most contracts are closed out before maturity If a contract is not closed out before maturity, it is usually settled by delivering the assets underlying the contract When there are alternatives about what is delivered, where it is delivered, and when it is delivered, the party with the short position chooses A few contracts (for example, those on stock indices and Eurodollars) are settled in cash

Futures prices

Terminology

Open interest: the total number of contracts outstanding - equal to number of long positions or number of short positions Settlement price: the price just before the final bell each day - used for the daily settlement process Volume of trading: the number of trades in 1 day

Questions

When a new trade is completed what are the possible effects on the open interest? Can the volume of trading in a day be greater than the open interest? What must be the net inflow or outlay from marking to market for the clearinghouse?

Pricing

Arbitrage: An arbitrage strategy is a strategy which requires no initial investment, never yields a negative terminal value and has a strictly positive expected terminal value The absence of arbitrage opportunities implies that two equivalent goods or cash flows must have the same value Otherwise - Buy the cheap one - Convert it to the expensive one at no cost - (Short) Sell the expensive one - Do this at a large scale to make very large profits at no cost

Short selling

Short selling involves selling securities you do not own Your broker borrows the securities from another client and sells them in the market in the usual way At some stage you must buy the securities back so they can be replaced in the account of the client You must pay dividends and other benefits the owner of the securities receives

Pricing - no dividends

What should be the forward price of a non-dividend paying stock 1 year from now? Strategy 1: Buy stock now - CF today: -St - CF in 1 year: S1 year Strategy 2: Buy stock forward, invest F1 year,t/(1+r) in the risk-free asset - CF today: - F1 year,t/(1+r) -CF in 1 year: S1 year F1 year,t + F1 year,t= S1 year

Pricing

What should be the forward price of a non-dividend paying stock 1 year from now? Both strategies result in identical payoffs one year from now Therefore, their costs at date 0 must be the same:

In general:

FT, t = St (1+r)T

If interest is compounded continuously, then

FT, t = St erT

Example

What should be the price of a forward contract to purchase a non dividend paying stock in 3 months? The current stock price is $40 and the 3-month interest rate is 5% per annum

Pricing - dividends

Strategy 1: Buy stock now, reinvest all dividends in the risk-free asset - CF today: -St - CF in 1 year: S1 year +FV(Div) Strategy 2: Buy stock forward, invest F1 year,t/(1+r)+ PV(Div) in the risk-free asset - CF today: - F1 year,t/(1+r)- PV(Div) - CF in 1 year: S1 year F1 year,t + F1 year,t + FV(Div)

= S1 year + FV(Div)

Pricing

Time 0 costs must be the same:

In general:

If interest is compounded continuously, then

Example

What should be the price of a forward contract to purchase a dividend paying stock in 1 year? The current stock price is $40 and the risk-free interest rate is 5% per annum. The stock is expected to pay a dividend of $2 per share in 6 months.

Pricing

It is usually assumed that the dividends provide a known yield rather than a known cash income. If q is the dividend yield rate then

FT, t = St e(r-q)T

Consider a 3 month futures contract on S&P 500. Suppose that the stocks underlying the index provide a dividend yield of 1% per annum, the current price of the index is 800, and the risk-free rate is 6% per annum. What is the futures price?

Futures on commodities

Storage cost can be treated as negative income. Let U be the present value of all storage costs during the life of a forward contract. Then

If interest is compounded continuously, then

If the storage cost is proportional to the price of the commodity, it can be viewed as negative yield

FT, t = St e(r+u)T

Futures on commodities

Suppose F T, t > [St +U] erT 1. borrow St +U at the risk-free rate and use it to purchase one unit of commodity and pay storage costs. 2. Short a forward contract on one unit of the commodity Suppose F T, t < [St +U] erT 1. Sell the commodity, save storage costs, and invest the proceeds in the risk-free asset. 2. Take a long position in a forward contract

Futures on commodities

The second strategy cannot be applied to commodities that are not to any significant extent held for investment. For such commodities

Pricing

Some assets, like commodities, may have both carrying/storage costs u and/or a convenience yield y The convenience yield is positive and reflects the benefits from ownership of the physical commodity that are not obtained by the holder of the forward contract - May include the ability to profit from temporary local shortages or the ability to keep the production process running The pricing formula in that case becomes

F,t = St e (r+u-y)

The value of a forward contract at the time it is first entered is zero At a later stage, it may have a positive or negative value

f = (F0 K)e -r

where - F0 is the forward price today

negotiated some time ago

Forwards on currencies

A foreign currency is analogous to a security providing a dividend yield The continuous dividend yield is the foreign risk-free interest rate It follows that if rf is the foreign risk-free interest rate

F ,t = St e

( r r f )

Forwards on currencies

1000 units of foreign currency at time zero

1000 e

rf T

1000 F0e

rf T

dollars at time T

1000S0 e rT

dollars at time T

Example

Suppose that the two year interest rates in Switzerland and the US are 1.5% and 5%, respectively and the spot exchange rate between CHF and USD is 0.85 USD per CHF. Suppose that the 2 year forward exchange rate is 0.881. Are there any arbitrage opportunities?

Pricing

The absence of arbitrage opportunities implies a convergence of futures prices to spot prices at maturity

Time

Time

(a)

(b)

When interest rates are non-random, futures and forward price are equal Lets prove this statement for constant interest rates Suppose that a futures contract lasts for n days and let Fi be the futures price at the end of day i. The one-day risk free interest rate is Consider the following strategy: - Take a long futures position of e at the end of day 0 - Increase long position to e2 at the end of day 1 - Increase long position to e3 at the end of day 2, and so on

Your profit (loss) on day i is (Fi Fi-1)ei invest in the risk-free asset (or borrow) This is a zero investment strategy The value at the end of day n is (Fn F0)en = (ST F0)en Assume the forward price at day 0 is G0. Sell en forward contracts at day 0. Your cash flow at the end of day n is (ST F0)en (ST G0)en = (G0 F0)en To prevent arbitrage, it must be that G0 = F0

When the interest rates are random, the forward and futures prices may not be the same For example, if the price of the underlying is positively correlated with interest rates, futures prices tend to be higher than forward prices. Why?

Options

An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset on (or perhaps before) a given date, at prices agreed upon today. Calls versus Puts - Call option gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. When exercising a call option, you call in the asset. - Put option gives the holder the right, but not the obligation, to sell a given quantity of an asset at some time in the future, at prices agreed upon today. When exercising a put, you put the asset to someone.

Options - preliminaries

Exercising the option - The act of buying or selling the underlying asset through the option contract

- Refers to the fixed price in the option contract at which the holder can buy or sell the underlying asset

Options - preliminaries

Expiry - The maturity date of the option is referred to as the expiration date, or the expiry

European versus American options - European options can be exercised only at expiry - American options can be exercised at any time up to expiry

Options - preliminaries

In-the-Money (ITM) option is an option that if exercised immediately would result in a positive payoff. - For calls, ITM options have exercise < underlying - For puts, ITM options have exercise > underlying At-the-Money option (ATM) - The exercise price is equal to the spot price of the underlying asset

Options - preliminaries

Out-of-the-Money (OTM) option is an option that if exercised immediately would result in a negative payoff. The price of the option is sometimes called the option premium Writing and selling an option are synonymous

Options - preliminaries

Open interest in a particular option contract (for

example, the March 2006 call on IBM with strike $105) measures the total number of contracts currently outstanding. Buying the underlying, buying a call option, or selling a put option represents a bullish position in the underlying security Short selling the underlying, writing a call option, or buying a put option represents a bearish position in the underlying security

Options - preliminaries

At expiry, an American call option is worth the same as a European option with the same characteristics.

If the call is in-the-money, it is worth ST E If the call is out-of-the-money, it is worthless C = Max(ST E, 0)

Where

ST is the value of the stock at expiry (time T) E is the exercise price. C is the value of the call option at expiry .

60 Option payoffs ($)

40

20

20 20

40

50

60

80

100

40

60 Option payoffs ($)

40

Buy a call

40

Sell a call

Options - preliminaries

At expiry, an American put option is worth the same as a European option with the same characteristics If the put is in-the-money, it is worth E ST. If the put is out-of-the-money, it is worthless. P = Max(E ST, 0)

60 Option payoffs ($)

40

20

20 20

40

50

60

80

100

40

60 Option payoffs ($)

40

20 10 20 10 20 40 50 60 80

Sell a put

Stock price ($) 100

Buy a put

40

Types of options

Individual stock options

Maturities usually several months or less, but occasionally up to several years May be traded on exchanges (CBOE) or overthe-counter (OTC) Almost always American options Settled in cash

Types of options

Stock index options

Maturities up to several years, but most volume is in 1-3 months contracts Usually exchange traded (CBOE) Large markets for American and European options Settled in cash Underlying asset is an index (possibly foreign, as in Nikkei 225 options)

Types of options

Bond/interest rate options

Payoffs depend on movements in the yield curve Traded on the Amex and CBOE Usually American options

Underlying is foreign currency Traded on several exchanges

Option/Strike Exp. 130 Oct IBM 138 130 Jan 138 135 Jul 138 135 Aug 138 140 Jul 138 140 Aug --Call---Put-Vol. Last Vol. Last 364 15 107 5 112 19 420 9 2365 4 2431 13/16 1231 9 94 5 1826 1 427 2 2193 6 58 7

User 1: The Hedgers What is a hedge?

Consider an investor who in August 2004 owns 1000 shares of Microsoft. The current price per share is $73/share. The investor is concerned that the developments in Microsofts anti-trust case may cause the share price to decline sharply in the next two months and wants protection. The investor notices that she could buy 1000 October 2004 put options on Microsoft stock traded on the Chicago Board of Options Exchange. The exercise price is $65/share. Each put option costs $2.50. If the investor decides to purchase the options, what will her exposure to Microsoft stock look like at option expiration?

Exposure

Cost of hedge

User 2: Speculators

Hedgers want to avoid exposure to adverse movements in the price of a stock. What do speculators want to do?

Suppose that a speculator considers that Cisco is likely to increase in value over the next two months. The stock price is currently $20/share and a 2 month call option with a $25 exercise price is currently selling for $1. Suppose that the investor is willing to bet $4000 on his information. He has two alternatives: Buy shares or buy call options. How many shares can he buy for $4000?

Suppose that the speculators hunch is correct and the stock price rises to $35 per share in two months. What is the speculators profit if he had invested in shares of stock?

Suppose now that the price actually drops to $15 instead. What is the loss on the two different positions? What do you notice?

Assumptions - No taxes; no transaction costs - Agents can lend an borrow freely at the risk-free rate r - There are no arbitrage opportunities Notations - St: Spot price of the underlying asset at time t - T: Maturity date of the options; E: Exercise price - Dt: PV at time t of the dividends paid between t and T - ct and pt: Prices of European call and put options at time t - Ct and Pt: Prices of American call and put options at time t

Options prices are always positive A call option is never worth more than the stock ct (St ,E,T,t) St Ct (St ,E,T,t) St A put option is never worth more than the strike price pt (St ,E,T,t) E Pt (St ,E,T,t) E A European put option is never worth more than the present value of the strike price pt (St ,E,T,t) E e-(T-t)r

American options are at least as valuable as European options Ct (St ,E,T,t) ct (St ,E,T,t) Pt (St ,E,T,t) pt (St ,E,T,t) American options with more time to maturity are at least as valuable as the same options with less time to maturity. If T2 >T1 then Ct (St ,E, T2 ,t) Ct (St ,E, T1 ,t) Pt (St ,E, T2 ,t) Pt (St ,E, T1 ,t) An American option is at least as valuable as its intrinsic value (the value of immediate exercise) Ct (St ,E, T2 ,t) St -E Pt (St ,E, T2 ,t) E-St

Consider 2 strategies: - Strategy 1: Buy a European call option with the strike E. - Strategy 2: Buy the stock and borrow Ee-r(T-t) Payoff of a call is always higher than the payoff of the levered equity. Prices must reflect this preference: ct (St ,E, T2 ,t) St - Ee-r(T-t) > St -E One implication is that American call options will never be exercised early (assuming no dividends) For a put option pt (St ,E, T2 ,t) Ee-r(T-t) - St

Option payoffs ($)

Profit

St

Ee-r(T-t) loss

St

Profit Ee-r(T-t)

Option payoffs ($)

Put

Ee-r(T-t) loss

St

Put-Call Parity: pt + St = ct +

Portfolio value today: ct + Ee-r(T-t)

Option payoffs ($)

-r(T-t) Ee

Portfolio payoff

25

25

Consider the payoffs from holding a portfolio consisting of a call with a strike price of $25 and a bond with a future value of $25.

Put-Call Parity: pt + St = ct +

Portfolio value today: pt +St

Option payoffs ($)

-r(T-t) Ee

Portfolio payoff

25

25

Consider the payoffs from holding a portfolio consisting of a share of stock and a put with a $25 strike.

Put-Call Parity: pt + St = ct +

Portfolio value today: ct + Ee-r(T-t)

-r(T-t) Ee

25

25

25

25

Since these portfolios have identical payoffs, they must have the same value today: hence

Put-Call parity

Suppose that c=3 T = 0.25 E =30 S = 31 r = 10% D=0 What are the arbitrage opportunities when p = 2.25? p = 1? Put call parity with dividends

pt + St = ct + Ee-r(T-t) +Dt

Variable S E T c + ? + + p + ? + + C + + + + P + + + +

r D

1. Which put option is written on a stock with the lower price? Assume no dividends.

Put A B T .5 .5 E 50 50 .20 .25 Price of Option $10 $10

Call A B S 50 55 E 50 50 .20 .20 Price of Option $12 $10

Trading strategies

Types of strategies - Take a position in the option and in the underlying asset - Take a position in 2 or more options of the same types (a spread) - Combination: Take a position in a mixture of calls and puts

Two strategies are possible - Covered call: Buy underlying and sell call - Sell underlying and buy call Since ct St, the covered call requires an initial investment The cash flow associated with these strategies is similar to the cash flow on a short or long put. This is not surprising since the call put parity implies

ct - St = pt - Ee-r(T-t)

Graphical representation

Two strategies are possible - Protective Put: Buy put and underlying - Sell put and underlying The cash flow associated with these strategies is similar to the cash flow on a short or long call. This is not surprising since the call put parity writes

ct - St = pt - Ee-r(T-t)

Graphical representation

Spreads

A spread is a trading strategy involving several option contracts on the same written underlying asset, with the same maturity and with different exercise prices We are going to study the following strategies - Bull spread - Bear spread - Butterfly spread

Bull Spread

A bull spread involves a long position on a call option with exercise price E1 and a short call option with exercise price E2 with E1 E2. The two options have the same maturity date This strategy requires an initial investment. It reduces potential losses and gains One can also construct a Bull Spread with put options

Graphical representation

Bear spread

A bear spread involves a long position on a put option with exercise price E2 and a short put option with exercise price E1 with E1 E2. The two options have the same maturity date This strategy produces an initial cash flow. One can also construct a Bear Spread with call options

Graphical representation

Butterfly spread

A butterfly spread can be obtained by buying a long position on a call option with exercise price E1 and a call option with exercise price E3 E1 and by selling two call options with exercise price E2[E1,E3]. The butterfly spread produces a positive cash flow at maturity if the underlying asset value belongs to [E1,E3]. One can also construct a Butterfly spread using a combination of put options

Graphical representation

Combinations

A combination is a trading strategy involving positions on call and put options written on the same underlying asset and with the same maturity Examples - Straddle - Strip / Strap - Strangle

Straddle

A straddle involves a long position in a call option and a long position in a put option with the same exercise price At-the-money straddles are bets that price movements will be large Useful when your volatility forecast differs form the markets - Market forecasts low volatility, so market views large movements over the life of the option unlikely - Price of the straddle is low, reflecting the low probabilities of large payouts - You believe these payouts are more probable, so straddle appears cheap

Graphical representation

Graphical representation

Straddle Strangle

Strip

Strap

Graphical representation

Condor Collar

Slope restrictions for puts Can we say anything about the sensitivity of puts to the strike? Think of a bull spread constructed from puts

r ( T t )

p 0 e r ( T t ) E

A $1 increase in the strike price causes the put price to increase by no more than the PV of $1

Consider a bull spread with a short position in bonds (riskfree asset) Buy a call with a strike E1 ; sell a call with a strike E2 ; borrow the present value of E2-E1:

cE1 (t , T ) cE2 (t , T ) ( E2 E1 )e r (T t ) 0 e e

r ( T t )

cE2 (t , T ) cE1 (t , T ) E2 E1

r ( T t )

c 0 E

A $1 increase in the strike price causes the call price to decrease by no more than the PV of $1

If restrictions violated, there must be arbitrage opportunities Example: St=$100 European calls with 4 months to maturity are priced: at $8 for E=$100 at $19 for E=$90 The continuously compounded interest rate is 5%. Is there an arbitrage opportunity? How can it be exploited?

Another example Suppose St=$100 European puts with one year to maturity are priced: at $2.5 for E=$100 at $12.25 for E=$110 The continuously compounded interest rate is 10%. Is there an arbitrage opportunity? How can it be exploited?

The argument is similar, but one big difference: Written options can be exercised against you at any time If this happens: Youll have to close out the whole position You may not gain the interest on the exercise price So no-arbitrage implies that if the strike price changes from E1 to E2, the price of the option changes by no more than |E1-E2| Why?

The slope restrictions for American calls is therefore

( E2 E1 ) CE2 (t , T ) CE1 (t , T ) 0 C 1 0 E

The slope restriction for American puts:

0 PE2 (t , T ) PE1 (t , T ) ( E2 E1 ) P 0 1 E

Convexity Restrictions

A butterfly spread combines three options of the same type

but with different strike prices Let us construct a butterfly spread with calls: Long a call with strike E1 Long a call with strike E3 Short two calls with strike E2=(E1+E3)/2 The payoff of this butterfly spread is always positive, therefore

Convexity Restrictions

For calls options, we have:

c( E1 ) 2c( E2 ) + c( E3 ) = 0 c( E3 ) c( E2 ) c( E2 ) c( E1 ) 0 E3 E 2 E2 E1 2c 0 2 E

What about puts? Question: do convexity restrictions apply to options on dividend paying stocks?

Arbitrage Example

WMT is trading at $48. A 4 month European put options are priced At $11 for E=55 At $15.75 for E=60 At $20 for E=65 The risk-free rate over the next 4 months is 3.25% Is there an arbitrage opportunity?

The convexity restrictions for American options are exactly the same as they are for European options The arbitrage arguments are also the same except a written American option may be exercised against you This will force you to liquidate the rest of your position In any event

C P 0; 2 0 2 E E

2 2

Example

Exotic options

Derivatives with more complicated payoffs than the standard European or American calls are sometimes referred to as exotic options Most of these securities trade in the over-the-counter market and are designed by financial institutions to meet the requirements of their clients

Package Forward start Compound Barrier Asian ...

Exercisable only on specific dates (Bermudans) Early exercise allowed during only part of life (e.g. there may be an initial lock out period). Strike price changes over the life of the option Example: Warrants. Warrants are often structured to have an initial lockout period (e.g. 3 years) and then specific exercise dates with an exercise price that increases with time

The option starts at some future time Most common in employee stock option plans Often structured so that the strike price equals the asset price at time t. - Accounting reasons: Not taxable for the recipient of the stock option - Economic reasons: Desire to maintain the delta of the stock option high enough to provides the appropriate incentives to the recipient

Compound Options

Option to buy/sell an option - Call on call - Put on call - Call on put - Put on call Price is quite low compared with a regular option When the firm has issued coupon-bearing debt, equity can be viewed as a compound option written on the firms assets

Asian Options

Payoff related to the average stock price Useful if the counterparty is large enough to affect the underlying price Average price options pay - max(Save - E; 0) (call) or - max(E - Save; 0) (put) Average strike options pay - max(ST - Save ; 0) (call) or - max(Save - ST; 0) (put)

Pricing options

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