TNG QUAN CHUNG V MN HC

CHNG 1: TNG QUAN V QUN TR RI RO TI CHNH

CHNG 2: TH TRNG K HN V GIAO SAU
CHNG 3: TH TRNG PHI SINH QUYN CHN
CHNG 4: TH TRNG PHI SINH HON I V NG DNG
CHNG 5: RI RO TN DNG
CHNG 6: RI RO THANH KHON V RI RO LI SUT
CHNG 7: RI RO HOT NG
1

CHNG 3

TH TRNG PHI SINH

QUYN CHN

NI DUNG CHNG 3
Gii thiu v hp ng quyn chn

Cc yu t nh hng n gi hp ng quyn chn

c im ca hp ng quyn chn

Cc chin lc kinh doanh lin quan n quyn chn

KHI NIM V HP NG QUYN CHN

Hp ng quyn chn l mt cng c

ti chnh, theo ngi mua quyn
chn c quyn (khng phi ngha
v) mua hoc bn mt ti sn c s t
hoc cho ngi bn quyn chn vi
mt mc gi xc nh khi thc hin k
kt hp ng, ti hay trc mt thi
im xc nh trong tng lai.
4

KHI NIM V HP NG QUYN CHN

Ngi mua phi tr mt khon ph quyn
chn (gi quyn chn) cho ngi bn.
Nu ngi mua thc hin quyn mua
hoc bn TSCS, ngi bn c ngha v
thc hin giao dch bn hoc mua TSCS
.
Gi thc hin: l mc gi c nh m ti
TSCS c mua hoc bn.
Thi im xc nh trong tng lai chnh
l ngy o hn.
5

KHI NIM V HP NG QUYN CHN

Hp ng quyn chn c giao dch

trn c th trng giao dch tp trung
v c th trng OTC.
Hu ht th trng s dng nh to
lp th trng h tr cho cc giao
dch quyn chn.
C hai loi: quyn chn mua v
quyn chn bn
6

KHI NIM V HP NG QUYN CHN

Quyn chn mua (call option)
QCM trao cho ngi mua QC c quyn
(khng phi ngha v) mua mt TSCS ti
mc gi c nh vo mt thi im hay
trc mt thi im trong tng lai.
C 2 v th trong quyn chn mua:
Mua call (long call): ngi mua QCM c
quyn chn mua TSCS.
Bn call (short call): ngi bn QCM c
ngha v bn TSCS.
7

KHI NIM V HP NG QUYN CHN

Quyn chn bn (put option)
QCB trao cho ngi mua QC c quyn
(khng phi ngha v) bn mt TSCS ti
mc gi c nh vo mt thi im hay
trc mt thi im trong tng lai.
C 2 v th trong quyn chn bn:
Mua put (long put): ngi mua QCB c
quyn chn bn TSCS.
Bn put (short put): ngi bn QCB c
ngha v mua TSCS.
8

KHI NIM V HP NG QUYN CHN

Cc kiu thc hin quyn chn
Quyn chn kiu Chu u: l kiu QC ch c th
c thc hin vo ngy o hn ca HQC.
Quyn chn kiu M: l kiu QC c th c
thc hin vo bt k ngy no trc hoc ngay
ngy o hn HQC.
Vo ngy o hn: hai kiu QC l nh nhau
nhng im khc duy nht l kiu quyn chn.
Trc ngy o hn hp ng: gi tr ca QC kiu
M s bng hoc ln hn QC kiu Chu u.
9

KHI NIM V HP NG QUYN CHN

Cc loi ti sn c s
Quyn chn trn c phiu, ch s c
phiu, tri phiu, li sut, tin t.
Quyn chn trn hng ho: TSCS l
hng ho: nh du, vng, la m
Quyn chn trn hp ng tng lai:
ti sn c s l cc H tng lai.
10

KHI NIM V HP NG QUYN CHN

Thu nhp/gi tr ni ti ca quyn chn
K: gi thc hin quyn chn ,
S0: gi ca ti sn c s ti thi im 0
ST: gi ca ti sn c s ti thi im t ,
T: thi im n k hn/o hn
c: gi quyn chn mua ti thi im 0 ,
p: gi quyn chn bn ti thi im 0
11

KHI NIM V HP NG QUYN CHN

Mua call (long call)

Thu nhp thun = max (0, ST K)
=0
nu ST K
= ST K nu ST > k
Li nhun = max (0, ST K) c
12

KHI NIM V HP NG QUYN CHN

13

KHI NIM V HP NG QUYN CHN

Bn call (short call)

Thu nhp thun = max (0, ST K)
=0
nu ST K
= (ST K) nu ST > K
Li nhun = max (0, ST K)+ c
14

KHI NIM V HP NG QUYN CHN

15

KHI NIM V HP NG QUYN CHN

Mua put (long put)

Thu nhp thun = max (0, K ST)
=0
nu ST K
= K ST nu ST < K
Li nhun = max (0, K ST) p
16

KHI NIM V HP NG QUYN CHN

17

KHI NIM V HP NG QUYN CHN

Bn put
Thu nhp thun = max (0, K ST)
=0
nu ST K
= K ST nu ST < K
Li nhun = max (0, K ST) p
18

KHI NIM V HP NG QUYN CHN

19

KHI NIM V HP NG QUYN CHN

Gi tr thi gian ca quyn chn

Trc khi o hn, HQC thng
c bn vi gi ln hn gi tr ni ti
ca n..

Gi quyn chn = gi tr ni ti
+ gi tr thi gian
20

KHI NIM MONEYNESS CA HQC

Quyn chn c gi (in the money)
Mt quyn chn c gi l c gi
quyn chn nu vic thc hin quyn
chn mang li cho nh u t thu nhp
dng.
Quyn chn mua: ST > K
Quyn chn bn:

ST < K
21

KHI NIM MONEYNESS CA HQC

QC khng c gi (out of the money)
Nu nh u t khng thu c mt khon thu
nhp dng t vic thc hin quyn chn th
quyn chn c gi l khng c gi
quyn chn.
Quyn chn mua: K > ST
Quyn chn bn: K < ST
22

KHI NIM MONEYNESS CA HQC

Quyn chn ngang gi (at the money)
Khi gi th hin quyn chn bng vi gi
th trng ca ti sn c s th quyn
chn l quyn chn ngang gi.
Thu nhp bng zero (ST = K).

23

KHI NIM V HP NG QUYN CHN

Cc yu t nh hng n gi hp ng quyn chn
C: Gi QCM kiu Chu u

C: Gi QCM kiu M

P: Gi QCB kiu Chu u

P: Gi QCB kiu M

Gi c phiu vo ngy
S0: Gi c phiu giao ngay
ST:
o hn
K: Gi thc hin
Gi tr hin ti ca c tc
D: c tr trong sut k
T: K hn quyn chn
hn ca quyn chn
Li sut phi ri ro cho k
: Bin ng ca gi c phiu R:
hn T, ghp li lin tc 24

KHI NIM V HP NG QUYN CHN

Bin
S0
K
T
R
D

C
+

?
+
+

+
?
+

C
+

+
+
+

+
+
+

+
25

CN TRN V DI CA QUYN CHN

Cn trn ca quyn chn

i vi QCM: gi tr ln nht ca
QCM l gi tr hin ti ca TS c s.
c S0, C S0
Nu iu ny khng xy ra s xut hin
c hi kinh doanh chnh lch gi. Nh
u t s mua TSCS v bn QCM.
26

CN TRN V DI CA QUYN CHN

Cn trn ca quyn chn
i vi Quyn chn bn:
Kiu M: thu nhp ln nht l K khi gi
ca TSCS = 0 => gi tr ln nht ca QCB
kiu M l gi thc hin P K
Kiu Chu u: gi tr ln nht ca QCB l
gi tr hin ti ca gi thc hin

1+

27

CN TRN V DI CA QUYN CHN

Cn di ca quyn chn
i vi QC kiu M: gi tr nh nht ca QC l
gi tr ni ti hin ti ca n.
C max (0, S0 K)

P max (0, K S0)

i vi QC kiu Chu u: quyt nh cn

di cho quyn chn kiu Chu u, chng ta
cn lp mt DMT c thu nhp tng t vi
quyn chn.
28

CN TRN V DI CA QUYN CHN

Quyn chn mua kiu Chu u
Danh mc u t

Chi ph

Mua call
C
Bn khng ti sn c s
S0
Mua tri phiu
K/(1+r)T
Tng
c S0 + K/(1+r)T

Gi tr vo ngy o hn
ST K
ST K
0
ST K
ST
ST
K
K
K ST 0
0

ngn nga c hi KD chnh lch gi, bt k DMT

no c thu nhp dng phi c gi tr ln hn zero.
c S0 + K/(1+r)T 0 => c S0 K/(1+r)T, kt hp vi c 0
=> c max [0, S0 K/(1+r)T]

29

CN TRN V DI CA QUYN CHN

Quyn chn bn kiu Chu u
Danh mc u t

Mua put
Mua ti sn c s
Pht hnh tri phiu
Tng

Chi ph

P
S0
K/(1+r)T
p + S0 K/(1+r)T

Gi tr vo ngy o
hn
ST K
ST K
K ST
0
ST
ST
K
K
0
ST K 0

ngn nga c hi kinh doanh chnh lch gi, bt k DMT no

c thu nhp dng phi c gi tr ln hn zero.
p +S0 K/(1+r)T 0 => p K/(1+r)T S0, kt hp vi p 0
=> p max [0, K/(1+r)T S0]
30

CN TRN V DI CA QUYN CHN

Tm tt
Quyn chn

Cn di

Cn trn

Quyn chn mua kiu Chu u c max [0, S0 K/(1+r)T]

S0

Quyn chn bn kiu M

S0

C max (0, S0 K)

Quyn chn mua kiu Chu u p max [0, K/(1+r)T S0]

Quyn chn bn kiu M

P max (0, K S0)

K/(1+r)T
K
31

Ngang gi quyn chn (put-call parity)

Ngang gi quyn chn biu din mi
quan h gia gi quyn chn mua v
quyn chn bn kiu Chu u m c
cng ti sn c s, gi thc hin v
ngy o hn.
Ngang gi quyn chn khng p
dng cho quyn chn kiu M bi v
n c th c thc hin trc khi
o hn.
32

Ngang gi quyn chn (put-call parity)

Xt 2 danh mc u t nh sau:
Danh mc u t

Chi ph

Gi tr vo ngy o hn

ST K
ST K
QCM u quyn (Fiduciary Call: cho vay + mua QCM)
Mua call
c
0
ST K
Mua tri phiu
K/(1+r)T
K
K
Tng
c + K/(1+r)T
K
ST
QCB phng nga (Protective put: mua TSCS + mua QCM)
Mua put
Mua ti sn c s
Tng

K ST

S0
p + S0

ST
K

ST
ST

33

Ngang gi quyn chn (put-call parity)

V y l QC kiu Chu u, khng th
thc hin trc khi o hn. Hai DMT
trn phi c gi tr ngang nhau, tc l:
c + K/(1+r)T = p +S0
Nu ghp li lin tc:

c + Ke-rt = p +S0

Ngang gi QC nu TSCS c nhng dng

tin (c tc, li sut coupon,):
c + K/(1+r)T = p +S0 PV(CF)

34

Ngang gi quyn chn (put-call parity)

V d:
QCM v QCB kiu Chu u vi gi thc hin l
45, s o hn sau 115 ngy. TSCS hin ti c
nh gi 48 v khng c khon thanh ton tin mt
trong sut k hn QC. Li sut phi ri ro l 4,5%.
Gi QCB 3,75 v gi QCM 8,0.
a. Hy xc nh s nhm ln trong vic nh gi
bng cch so snh gi thc t ca QCM v gi
th trng.
b. Hy tnh thu nhp thu c t vic kinh doanh
chnh lch gi.
35

Ngang gi quyn chn (put-call parity)

So snh gi thc t ca QCM v gi th
trng.
Theo cng thc ngang gi quyn chn:
c + K/(1+r)T = p +S0 => c = p +S0 K/(1+r)T
= 3,75 + 48 45/(1+4,5%)115/360 = 7,37
Gi th trng ca QCB l 8,0 => QCB
c nh gi qu cao
36

Ngang gi quyn chn (put-call parity)

Thu nhp t vic kinh doanh chnh lch gi
Danh mc u t

Dng tin

Gi tr vo ngy o hn
ST < 45

ST > 45

Quyn chn mua u quyn (Fiduciary Call: cho vay + mua QCM)
Bn call

8,0

K ST

Mua put

-3,75

K ST

-48

ST

ST

45/(1+4,5%)115/360

-K

-K

0,88

Mua c phiu
i vay
Tng

37

Cc chin lc kinh doanh lin quan

n quyn chn
C phiu cng vi quyn chn

Covered Call : Mua c phiu v bn QCM. V th

bn QCM c bo v.
Thu nhp thun: VT
= ST max(0, ST K)
= ST
nu ST K
= K
nu ST K
Li nhun: VT (S0c) = ST max(0,ST K) (S0 c)
TN thun ln nht: K + c S0 , L ln nht: S0 c
im ho vn: ST = S0 c

38

Cc chin lc kinh doanh lin quan

n quyn chn
C phiu cng vi quyn chn
Covered Call : Mua c phiu v bn QCM. V th
bn QCM c bo v.
Thu nhp thun: VT
= ST max(0, ST K)
= ST
nu ST K
= K
nu ST K
Li nhun: VT (S0c) = ST max(0,ST K) (S0 c)
TN thun ln nht: K + c S0 , L ln nht: S0 c
im ho vn: ST = S0 c

39

Cc chin lc kinh doanh lin quan

n quyn chn

40

Cc chin lc kinh doanh lin quan

n quyn chn
Protective Put : y l mt chin lc ngc li. Nh
u t cng nm v th mua c phiu nhng cng vi
v th mua QCB (mua put).
Thu nhp thun : VT = ST + max(0, K ST)
= K
nu ST K
= ST
nu ST K
Li nhun: VT (S0+p) = ST + max(0,KST) (S0+p)
TN thun ln nht: ST S0 p , L ln nht: K S0 p
im ho vn: S0 + p

41

Cc chin lc kinh doanh lin quan

n quyn chn

42

Cc chin lc kinh doanh lin quan

n quyn chn
Hai quyn chn cng loi hoc nhiu hn
(chnh lch gi mua vo, bn ra a spead)
Chin lc Spread l chin lc c s dng khi
nh u t k vng gi ti sn c s s tng. y l
chin lc kt hp 2 hay nhiu quyn chn cng loi
(cng Call hoc cng Put)
Cc loi chin lc Spread:

43

Cc chin lc kinh doanh lin quan

n quyn chn
Bull Spread: C hai cch to Bull Spread:
S dng QCM: mua QCM vi mc gi thc hin thp hn
(K1) v bn mt QCM khc vi cng TSCS vi mc gi
thc hin cao hn (K2) (K2>K1)
S dng QCB: mua QCB vi mc gi thc hin thp hn
v bn mt QCB khc vi cng TSCS vi mc gi thc
hin cao hn.
Thu nhp thun: VT = max(0, ST K1) max(0, ST K2)
=0
nu ST K1
= ST K1
nu K2 ST K1
= K2 K1
nu ST K2
Li nhun:VT (c1 c2)= max(0,ST K1) max(0,ST K2) (c1c2)
44

Cc chin lc kinh doanh lin quan

n quyn chn
Bull Spread s dng Call

45

Cc chin lc kinh doanh lin quan

n quyn chn
Bull Spread s dng Put

46

Cc chin lc kinh doanh lin quan

n quyn chn
Bear Spread : c th c to ra theo 2 cch:
S dng QCM: bn QCM vi mc gi thc hin thp
hn (K1) v mua mt QCM khc vi cng TSCS vi mc
gi thc hin cao hn (K2) (K2>K1)
S dng QCB: bn QCB vi mc gi thc hin thp hn
v mua mt QCB khc vi cng TSCS vi mc gi thc
hin cao hn.
Thu nhp thun: VT = max(0, K1 ST) max(0, K2 ST)
= K2 K1
nu ST K1
= K2 ST
nu K1 ST K2
=0
nu ST K2
Li nhun = VT + p1 p2
47

Cc chin lc kinh doanh lin quan

n quyn chn
Bear s dng Call

48

Cc chin lc kinh doanh lin quan

n quyn chn
Bear s dng Put

49

Cc chin lc kinh doanh lin quan

n quyn chn
Butterfly Spread: C 2 cch to ra Butterfly Spread:
S dng QCM: mua QCM 1 vi mc gi K1 tng i thp v
1 QCM 3 vi K3 tng i cao v bn 2 QCM 2 vi K2 nm
gia K1 v K3.
S dng QCB: mua QCB 1 vi mc gi K1 tng i thp v
1 QCB 3 vi K3 tng i cao v bn 2 QCB 2 vi K2 nm
gia K1 v K3.
TN thun: VT = max(0,ST K1) 2max(0,STK2) + max(0,ST K3)
=0
nu ST K1
= ST K1
nu K1 < ST K2
= ST + 2K2 K1
nu K2 < ST K3
= 2K2 K1 K3
nu ST K3
Li nhun = VT c1 + 2 c2 c3
50

Cc chin lc kinh doanh lin quan

n quyn chn
Butterfly s dng Call

51

Cc chin lc kinh doanh lin quan

n quyn chn
Butterfly s dng Put

52

Cc chin lc kinh doanh lin quan

n quyn chn
Hai quyn chn khc loi hoc nhiu hn: Collar
L chin lc kt hp gia mua protective put v
bn QCM nhm gii hn gi tr ca DMT trong
mt bin nht nh.
Vic nm gi v th mua protective put nhm phng
nga tn tht t vic gim gi ti sn. ng thi,
nh u t c th b t ph quyn chn t vic mua
QCB v bn QCM. gi l chin lc Collar.
Nu ph QCM bng vi ph QCB, gi l Collar
khng tr ph. Gi thc hin ca QCM (K2) v QCB
(K1) thng thng c chn nh sau K1 < S0 < K532

Cc chin lc kinh doanh lin quan

n quyn chn
Collar
TN thun: VT = ST + max(0, K1 ST) max(0, ST K2)
= K1
nu ST K1
= ST
nu K1 < ST K2
= K2 nu ST > K2
Li nhun = VT S0 p +c = VT S0 (nu p = c)
Chin lc Collar ph hp vi nhng nh u t c
mc li sut mc tiu vi mt mc ri ro c th
chp nhn nht nh.
54

Cc chin lc kinh doanh lin quan

n quyn chn
Straddle
Long Straddle: y l chin lc mua 1 QCM v
mt QCB vi cng gi thc hin, cng c phiu
v cng k hn.
TN thun: VT = max(0, ST K) + max(0, K ST)
= K ST
nu ST K
= ST K
nu ST > K
Li nhun = VT c p
55

Cc chin lc kinh doanh lin quan

n quyn chn

56

Cc chin lc kinh doanh lin quan

n quyn chn
Strips and straps
Strips = mua 1 QCM + mua 2 QCB vi
cng mc gi thc hin, cng c phiu v
cng k hn (thm mt QCB vo Straddle).
Straps = mua 2 QCM + mua 1 QCB vi
cng mc gi thc hin, cng c phiu v
cng k hn (thm mt QCM vo Straddle).
57

Cc chin lc kinh doanh lin quan

n quyn chn

58