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Derivatives Demystified A Step-by-Step Guide to Forwards, Futures, Swaps and Options phần 5

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Nó cung cấp một mức độ bảo vệ nhược điểm ở chi phí bảo hiểm thấp. Chi phí vốn chủ sở hữu cổ áo Zero-zero-chi phí cổ phần cổ áo là một trong đó là xây dựng với phí bảo hiểm ròng không. Tuy nhiên, điều quan trọng là phải hiểu rằng điều này không có nghĩa là không có tổn thất tiềm năng. | 84 Derivatives Demystified Figure 9.6 Equity collar with put strike 95 and call strike 110 price will increase sharply over the next three months the strategy is perfectly reasonable. It provides a good level of downside protection at low premium cost. Zero-cost equity collar A zero-cost equity collar is one that is constructed with zero net premium. However it is important to understand that this does not mean that there are no potential losses. If the share price rises sharply the profits are capped - there is a risk of losing out from a market rally. To illustrate how the strategy works let us assume that the investor agrees the following package of options with a dealer Contract Long put Short call Expiry 3 months 3 months Strike Premium 95 -3.46 107 3.46 The strike on the call this time is lower than before 107 rather than 110 such that the premiums cancel out. The expiry payoff profile for the zero-cost collar is shown in Figure 9.7. The maximum loss is 5 reached when the share price has fallen from 100 to 95. After that the investor will receive compensation on the 95 strike put option to offset any further losses on the share. The maximum gain is 7 reached when the share price has risen from 100 to 107. After that profits are capped. The advantage of the zero-cost collar is that it provides a good level of protection with no net premium to pay. There is the risk of underperformance if the share price rises but the investor may consider this a remote possibility and the risk worth taking. COLLARS AND FORWARDS The exploration of hedging strategies in this chapter started with a forward hedge. To complete the circle it is interesting to see what happens if the zero-cost collar is arranged with the strikes Hedging with Options 85 Figure 9.7 Zero-cost equity collar Figure 9.8 Short forward composed of long put and short call of the long put and the short call set at the fair forward price of the share which in this case is 100.5. The details of the option .