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Derivatives Demystified A Step-by-Step Guide to Forwards, Futures, Swaps and Options phần 6

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Nếu giá cổ phiếu tăng mạnh lợi nhuận được giới hạn - đó là một nguy cơ mất từ một cuộc biểu tình thị trường. Để minh họa cách chiến lược hoạt động cho phép chúng tôi giả định rằng nhà đầu tư đồng ý gói lựa chọn với một đại lý sau đây: | Currency Options 109 Figure 11.3 Currency hedge using exchange-traded currency options The two lines in Figure 11.3 cross when the spot rate is 1.125. At that level the dollars received on the unhedged position is also 11.25 million. If the spot is below that level the option hedge outperforms the unhedged position and produces more dollars for the euros. Above that level the unhedged position actually produces more dollars than the hedged position. This is the effect of paying premium to buy the option contracts. The put option offers protection against a weakening euro and a reasonable level of gain if the euro strengthens but not the same level as on an unhedged position. FX COVERED CALL WRITING The final currency option strategy investigated in this chapter is not a hedge but a means by which a corporation or financial institution can generate additional income by writing FX options without incurring too much risk. Writing naked or unhedged options is extremely dangerous but here the risk is covered through other underlying currency transactions. The case we will explore is that of a US money manager. The manager holds 10 million in sterling-denominated assets. The returns are acceptable but not spectacular and the manager would like to enhance the performance of the fund without taking too many risks. The spot rate is 1.59. Two-month European-style sterling calls struck at 1.63 per pound are trading at 0.55 cents per pound. The manager decides to write calls on sterling against the 10 million assets. If the calls are ever exercised the manager will have to deliver pounds in return for dollars but can liquidate the assets to have the necessary sterling available. At a strike of 1.63 the dollars received would be 16.3 million which is rather better than the dollars received from liquidating the portfolio at the current spot rate of 1.59. In the meantime the calls will generate welcome premium income. Premium received 10000000 X 0.0055 55000 110 Derivatives .