JohnHull精典书籍的演示课件.ppt

Mechanics of Options MarketsChapter 7 Types of Options A call is an option to buy A put is an option to sell A European option can be exercised only at the end of its life An American option can be exercised at any time Assets UnderlyingExchange-Traded Options152 Stocks Foreign Currency Stock Indices Futures Specification ofExchange-Traded Options Expiration date Strike price European or American Call or Put (option class) Terminology Moneyness : At-the-money option In-the-money option Out-of-the-money option Terminology(continued) Option class Option series Intrinsic value Time value Dividends Stock Splits (155) Suppose you own N options with a strike price of K : No adjustments are made to the option terms for cash dividends When there is an n-for-m stock split, the strike price is reduced to mK/n the no. of options is increased to nN/m Stock dividends are handled in a manner similar to stock splits Dividends Stock Splits(continued) Consider a call option to buy 100 shares for $20/share How should terms be adjusted: for a 2-for-1 stock split? for a 5% stock dividend? Market Makers Most exchanges use market makers to facilitate options trading A market maker quotes both bid and ask prices when requested The market maker does not know whether the individual requesting the quotes wants to buy or sell Margins (159) Margins are required when options are sold When a naked option is written the margin is the greater of: A total of 100% of the proceeds of the sale plus 20% of the underlying share price less the amount (if any) by which the option is out of the money A total of 100% of the proceeds of the sale plus 10% of the underlying share price For other trading strategies there are special rules Warrants Warrants are options that are issued (or written) by a corporation or a financial institution The number of warrants outstanding is determined by the size of the original issue and changes only when they are exercised or when they