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Yeni bir finansal araç : opsiyonlar

Yeni bir finansal araç : opsiyonlar

##### Dosyalar

##### Tarih

1991

##### Yazarlar

Gökalan, İlhan

##### Süreli Yayın başlığı

##### Süreli Yayın ISSN

##### Cilt Başlığı

##### Yayınevi

Fen Bilimleri Enstitüsü

##### Özet

Bir hisse senedi opsiyonu, alıcıya, prim ya da opsiyon fiyatı olarak bilinen bir ödeme yapması karşılığında, belli bir dönem içinde, o hisse senedini satıcıdan (opsiyonu düzenleyenden) satma İma ya da ona satma hakkı veren devredilebilir bir sözleşmedir. Opsiyonlar "türetilmiş men kul kıymetler" olarak anılırlar, çünkü opsiyon ancak ilgili menkul kıymetin var olması sonucunda ortaya çıkabilir ve vade sonunda değerini yitirir. Opsiyonlar yüzyıllardır kullanılmalarına rağmen son yıllara kadar karanlıkta kalmış f inansal araçlardır. Opsiyon pazarındaki gelişmenin en önemli aşaması, ilk defa opsiyon kontratlarının standartlaştırıldığı ve mübadele edilebilir bir hale getirildiği 26 Nisan 1973 tarihinde Chicago Opsiyon Borsası 'nın açılmasıdır. Bu tarihten sonra opsiyon pazarının gelişmesi hızlanmıştır. Yeni opsiyon kontratlarının yenilikçiliği ve hızlı gelişimi dikkate değer sonuçlar doğurmuş ve finansal pazarlarda önemli etkiler yapmıştır. Bu kontratlar finansal pazarların karmaşıklığını arttırmakla birlikte yatırımcılar için yeni fırsatlar da yaratmışlardır. Günümüzde opsiyonlar oldukça yaygın bir kullanım alanına sahiptirler. Opsiyonlar; hisse senetleri, dövizler, hisse senedi indeksleri, borçlanma aracı niteliğindeki men kul kıymetler üzerine yazılabilmektedirler. Bu tezde ise hisse senedi opsiyonlar ı incelenmiştir. Bölüm 2 'de kısaca opsiyon tanımı verilmiş ve opsiyonlar m risk yönetimindeki ve finansmandaki önemine değinilmiştir. Kısaca opsiyonların tarihçesi ve ne amaçlarla kullanılabileceği yine bu bölümün bir konusunu oluşturmak tadır. Bölüm 3 'de geniş anlamıyla opsiyon kavramı, opsiyon kontratlarının ana parametreleri ve opsiyonların kotasyonu incelenmiştir. Bölüm 4 'de önce opsiyon fiyatının temel özellikleri verilip, bileşenleri gösterilmiştir. Daha sonra da opsiyon fiyatlarını etkileyen faktörler incelenmiş ve opsiyon fiyatlandırma modelleri anlatılmıştır. Bölüm 5' de en popüler opsiyon stratejileri incelenmiş ve opsiyonların stratejik rolü belirlenmeye çalışılmıştır. Bölüm 6 ise opsiyonlar için gerekli olan ihtiyat rezervi ve komisyon ücretlerinin incelendiği bir bölümdür. Oldukça yeni bir finansal araç olan opsiyonlar günümüzde Türkiye koşulların da kullanılabilir değillerdir. Gerekli koşulların oluşturulması durumunda ise opsiyonların kullanılmasının yararlı olacağı açıktır.

Historically, the first type of option contracts to be traded consisted of put options on tulip bulbs that Dutch growers would purchase to protect the price of their crops. This example, dating back to the seventeeth century, has been followed an erratic development, including common stock written options trading Great Britain during the eighteenth century and in the United States since the beginning of the nineteenth century. During those days, however, option contracts were not standardized. The mar kets were not regulated and were often manipulated, lead ing on several occasions to suspensions of option trading. The major breakthrough in the development of option market happened in April 1973, when the Chicago Board of Options Exchange began treading standardized call option contracts on 16 common stocks and thereby offered the first regulated structure capable of providing the volume, the liquidity, and the solvability necessary to create efficient option market. Since then, the Chicago Board of Options Exchange has also developed transactions in put options, and several other exchanges in the United States, such as the American Stock Exchange, the Philadelphia Stock Exchange, and the New York Stock Exchange, have begun trading standardized call and put contracts written on common stocks. In terms of volume, the success of these instruments has been tremendous, as can be observed through the fact that the number of option contracts traded since the early 1980s exceed s-in terms of their underlying stock equivalent- the number of shares traded on the New York Stock Exchange. However, the most remarkable feature of the recent development of standardized option contracts has to be its expansion in the variety of option contracts written on different types of underlying instruments that have been introduced in different exchanges since the beginning of 1980s. Indeed, stock written options are now just one type of option contract among a large population consisting of stock index options, stock index futures options, fixed -income securities written options, foreign currency options, commodity options, and, so on. - vx - The success of standardized option contracts can be explained by the negotiability, the liquidity, and the smaller transactions costs their centralized, regulated, and standardized trading has been able to offer market participants. But to an even greater extent this success has to be found in the very nature of option and thereby in the 'original1 payoff structure and various risk-monito ring strategies this financial instrument can provide to its potential buyers or sellers. Finally, it should be noted that although options have indeed gained interest among the academic community since the introduction of standardized option contracts -with the pioneering development of the Black and Scholes option pricing formula in 1973- the analysis of options and the development of pricing models to assess their 'fair,' or theoritical, value extend far beyond the con-r cept of the standardized option contracts. Indeed, options can be found 'everywhere' j they can be standardized or not, traded or not traded -the option embedded in a callable bond. Some securities or financial decisions that do not even look like options at first sight can easily be analy zed and priced in the general setting of option pricing theory. The purpose of this study to provide with a general understanding essential features of an option contract, and analysis of option strategies, and analysis of option pricing. Broadly speaking, an option is a contract that entitles its owner with the right to buy or sell a speci fic quantity of underlying instrument -in this study the stock- at a specific price and during a specific time period. The first part of this general definition of an option contract is related to the fact that this instru ment conveys a 'right,' not an. obligation, to its owner? in other words, the choice of buying or selling the under lying instrument is optional and cannot be imposed on the option owner. This is very different from a futures cont ract or a forward contract since these financial instru ments 'oblige' both parties -the buyer and the seller- to meet their obligations at the contract's expiration date. However, the preceeding definition of option is still to vague at this stage since it does not explicitly emphasize that there are two types of options, namely call and put options. The former type of option conveys to its owner the right to buy, and the latter gives its owner the right to sell the underlying instrument. When the owner of a call or put option decides to use the right to buy or sell the underlying instrument, it can be said that he or she is exercising his or her option. The owner has the choice of deciding whether or not to exercise that right, but note that the counterpart to the - vii call or the purt contract is obliged to sell (in the case of an exercised put) the underlying instrument. Hence it can be seen that the structure of payoffs an option provides to its owner and to its seller -the counterpart is generally is called the option writer- are not the same since the former bears a right while the lat ter has the resulting obligation to eventually -if the owner exercises the option- buy or sell the underlying security. Since the option writers provide a valuable finan cial instrument to the option owners, they will have to be compansated by a cash amount equal to the market price of the option, also called the option premium. This price should represent the 'fair' compansation to the option writers for bearing for counterpart's obligation of even tually having to buy or to sell the underlying instruments. However, it should be distinguished between those options that enable the owner to exercise his or her right at any time during the contracts life time and those that only enable him or her to exercise the option at the expi ration date of the contract. The first category is called American type. The second category contains options that can only be exercised at expiration and that are generally referred to as Euro pean Options. This geographical distinction is somewhat artificial nowadays since most standardized option cont racts trading in the world are of the American type. In particular, a call or a put option written on a stock is characterized by the following: The size of the contract is the number of shares of stock a single option contract allows to buy or sell. Gene rally, a single contract enables its owner to buy or sell 100 shares of the underlying stock. The exercise price of an option represents the fixed price the owner of the call (put) will have to pay (receive) for one share of stock when the option is exerci sed. The time to maturity of an option contract is also standardized so it is observed that each stock has options with three different maturities. The payout -protection rule indicates whether the terms of the contract are adjusted for some type of events that can dilute the stock price. The underlying stock must be identified through its name and must also meet certain requirements. - viii - Finally, it should be noted that standardized stock options can be exercised at any time since they are almost always of the American type. The price of an option can consist of intrinsic value, time value, or a combination of both. Intrinsic value is the in-the-money portion of an option's price. Time value is the portion of an option's price that is in excess of intrinsic value. If the stock price is above the strike price of a call option, the stock price minus the strike price repre sents the intrinsic value of the call option. For put options, intrinsic value equals strike pri ce minus stock price because put options are in-the-money when the stock price is below the strike price. There are six components of an option's theoretical value. These are as follows? 1. The price of the stock 2. The strike price of the option 3. The time remaining until the expiration date 4. The prevailing interest rates 5. The expected volatility of the stock 6. The dividents The relationship of the stock's price to the opti on's strike price determines whether the option is called in-the-money, at the money, or out-of-the-money. The value of an option is an increasing function of the time remaining until the expiration date. There are two reasons for this. First, the leveraging advantage in creases with time. Second, the opportunity for the stock price to far exceed the exercise price increases over time, Another factor that affects an option's price is the prevailing interest rates. The rising interest rates boost call prices and depress put prices. However the effect of changes in interest rates is small. Mathematically, volatility is a measure of stock price fluctiations without regard to direction. Specifi cally, volatility is the annualized standart deviation of daily percentage changes in a stock's price. The rela tionship between volatility and option prices is a direct one-as the volatility percentage increases, so do option prices. Of the other five components of an option's theore tical value,. the stock price, strike price, time until expiration, prexailing interest rates, and dividents are readily observable. Only the expected volatility of the underlying stock is unknown. - ix - Among the others, the Black-Scholes option pricing model is the industry standart, widely used with or with out modifications by many traders to guide their trading decisions. It was the first exact option pricing formula to be derived. The formula is obtained by construction of a riskless hedge using the option and its underlying securities and then solving the resulting equation for either the option price or the hedge ratio. The formula for the Black-Scholes option pricing method is given by -R-T C = S-Nfd^ - E.e x N(d2) ln(S/E) + [Rf-(l/2)a2]T where d-, = o/T" d2 = dx - a/T N(d,), N(d2) = cumulative normal probability values of d, and d2, respectively S = Stock price E = exercise price Rf= the risk-free rate of interest a = volatility T = time remaining until expiration. Options give a unique advantage to investors who want to achieve their financial goals. They increase the number of ways these investors can manage their financial assets by giving their power to create positions that precisely reflect their expectations of the underlying security and at the some time, balance their risk-reward tolerance. From speculation to hedging, options can be used to construct scenarios that maximize payoff for outcomes the investor considers most likely. There are ways to express the degree of one's opinion, each with its own particular risk-reward profile. The trading of options in the equities markets has long been associated with a broad range of trading strate gies. Seme of these are simple and straight forward others are complex and subtle, some for hedging purposes and ot hers to speculate. The basic option strategies are; buying calls, selling calls, buying puts and selling puts, the other trading strategies are created by combining these for strategies.

Historically, the first type of option contracts to be traded consisted of put options on tulip bulbs that Dutch growers would purchase to protect the price of their crops. This example, dating back to the seventeeth century, has been followed an erratic development, including common stock written options trading Great Britain during the eighteenth century and in the United States since the beginning of the nineteenth century. During those days, however, option contracts were not standardized. The mar kets were not regulated and were often manipulated, lead ing on several occasions to suspensions of option trading. The major breakthrough in the development of option market happened in April 1973, when the Chicago Board of Options Exchange began treading standardized call option contracts on 16 common stocks and thereby offered the first regulated structure capable of providing the volume, the liquidity, and the solvability necessary to create efficient option market. Since then, the Chicago Board of Options Exchange has also developed transactions in put options, and several other exchanges in the United States, such as the American Stock Exchange, the Philadelphia Stock Exchange, and the New York Stock Exchange, have begun trading standardized call and put contracts written on common stocks. In terms of volume, the success of these instruments has been tremendous, as can be observed through the fact that the number of option contracts traded since the early 1980s exceed s-in terms of their underlying stock equivalent- the number of shares traded on the New York Stock Exchange. However, the most remarkable feature of the recent development of standardized option contracts has to be its expansion in the variety of option contracts written on different types of underlying instruments that have been introduced in different exchanges since the beginning of 1980s. Indeed, stock written options are now just one type of option contract among a large population consisting of stock index options, stock index futures options, fixed -income securities written options, foreign currency options, commodity options, and, so on. - vx - The success of standardized option contracts can be explained by the negotiability, the liquidity, and the smaller transactions costs their centralized, regulated, and standardized trading has been able to offer market participants. But to an even greater extent this success has to be found in the very nature of option and thereby in the 'original1 payoff structure and various risk-monito ring strategies this financial instrument can provide to its potential buyers or sellers. Finally, it should be noted that although options have indeed gained interest among the academic community since the introduction of standardized option contracts -with the pioneering development of the Black and Scholes option pricing formula in 1973- the analysis of options and the development of pricing models to assess their 'fair,' or theoritical, value extend far beyond the con-r cept of the standardized option contracts. Indeed, options can be found 'everywhere' j they can be standardized or not, traded or not traded -the option embedded in a callable bond. Some securities or financial decisions that do not even look like options at first sight can easily be analy zed and priced in the general setting of option pricing theory. The purpose of this study to provide with a general understanding essential features of an option contract, and analysis of option strategies, and analysis of option pricing. Broadly speaking, an option is a contract that entitles its owner with the right to buy or sell a speci fic quantity of underlying instrument -in this study the stock- at a specific price and during a specific time period. The first part of this general definition of an option contract is related to the fact that this instru ment conveys a 'right,' not an. obligation, to its owner? in other words, the choice of buying or selling the under lying instrument is optional and cannot be imposed on the option owner. This is very different from a futures cont ract or a forward contract since these financial instru ments 'oblige' both parties -the buyer and the seller- to meet their obligations at the contract's expiration date. However, the preceeding definition of option is still to vague at this stage since it does not explicitly emphasize that there are two types of options, namely call and put options. The former type of option conveys to its owner the right to buy, and the latter gives its owner the right to sell the underlying instrument. When the owner of a call or put option decides to use the right to buy or sell the underlying instrument, it can be said that he or she is exercising his or her option. The owner has the choice of deciding whether or not to exercise that right, but note that the counterpart to the - vii call or the purt contract is obliged to sell (in the case of an exercised put) the underlying instrument. Hence it can be seen that the structure of payoffs an option provides to its owner and to its seller -the counterpart is generally is called the option writer- are not the same since the former bears a right while the lat ter has the resulting obligation to eventually -if the owner exercises the option- buy or sell the underlying security. Since the option writers provide a valuable finan cial instrument to the option owners, they will have to be compansated by a cash amount equal to the market price of the option, also called the option premium. This price should represent the 'fair' compansation to the option writers for bearing for counterpart's obligation of even tually having to buy or to sell the underlying instruments. However, it should be distinguished between those options that enable the owner to exercise his or her right at any time during the contracts life time and those that only enable him or her to exercise the option at the expi ration date of the contract. The first category is called American type. The second category contains options that can only be exercised at expiration and that are generally referred to as Euro pean Options. This geographical distinction is somewhat artificial nowadays since most standardized option cont racts trading in the world are of the American type. In particular, a call or a put option written on a stock is characterized by the following: The size of the contract is the number of shares of stock a single option contract allows to buy or sell. Gene rally, a single contract enables its owner to buy or sell 100 shares of the underlying stock. The exercise price of an option represents the fixed price the owner of the call (put) will have to pay (receive) for one share of stock when the option is exerci sed. The time to maturity of an option contract is also standardized so it is observed that each stock has options with three different maturities. The payout -protection rule indicates whether the terms of the contract are adjusted for some type of events that can dilute the stock price. The underlying stock must be identified through its name and must also meet certain requirements. - viii - Finally, it should be noted that standardized stock options can be exercised at any time since they are almost always of the American type. The price of an option can consist of intrinsic value, time value, or a combination of both. Intrinsic value is the in-the-money portion of an option's price. Time value is the portion of an option's price that is in excess of intrinsic value. If the stock price is above the strike price of a call option, the stock price minus the strike price repre sents the intrinsic value of the call option. For put options, intrinsic value equals strike pri ce minus stock price because put options are in-the-money when the stock price is below the strike price. There are six components of an option's theoretical value. These are as follows? 1. The price of the stock 2. The strike price of the option 3. The time remaining until the expiration date 4. The prevailing interest rates 5. The expected volatility of the stock 6. The dividents The relationship of the stock's price to the opti on's strike price determines whether the option is called in-the-money, at the money, or out-of-the-money. The value of an option is an increasing function of the time remaining until the expiration date. There are two reasons for this. First, the leveraging advantage in creases with time. Second, the opportunity for the stock price to far exceed the exercise price increases over time, Another factor that affects an option's price is the prevailing interest rates. The rising interest rates boost call prices and depress put prices. However the effect of changes in interest rates is small. Mathematically, volatility is a measure of stock price fluctiations without regard to direction. Specifi cally, volatility is the annualized standart deviation of daily percentage changes in a stock's price. The rela tionship between volatility and option prices is a direct one-as the volatility percentage increases, so do option prices. Of the other five components of an option's theore tical value,. the stock price, strike price, time until expiration, prexailing interest rates, and dividents are readily observable. Only the expected volatility of the underlying stock is unknown. - ix - Among the others, the Black-Scholes option pricing model is the industry standart, widely used with or with out modifications by many traders to guide their trading decisions. It was the first exact option pricing formula to be derived. The formula is obtained by construction of a riskless hedge using the option and its underlying securities and then solving the resulting equation for either the option price or the hedge ratio. The formula for the Black-Scholes option pricing method is given by -R-T C = S-Nfd^ - E.e x N(d2) ln(S/E) + [Rf-(l/2)a2]T where d-, = o/T" d2 = dx - a/T N(d,), N(d2) = cumulative normal probability values of d, and d2, respectively S = Stock price E = exercise price Rf= the risk-free rate of interest a = volatility T = time remaining until expiration. Options give a unique advantage to investors who want to achieve their financial goals. They increase the number of ways these investors can manage their financial assets by giving their power to create positions that precisely reflect their expectations of the underlying security and at the some time, balance their risk-reward tolerance. From speculation to hedging, options can be used to construct scenarios that maximize payoff for outcomes the investor considers most likely. There are ways to express the degree of one's opinion, each with its own particular risk-reward profile. The trading of options in the equities markets has long been associated with a broad range of trading strate gies. Seme of these are simple and straight forward others are complex and subtle, some for hedging purposes and ot hers to speculate. The basic option strategies are; buying calls, selling calls, buying puts and selling puts, the other trading strategies are created by combining these for strategies.

##### Açıklama

Tez (Yüksek Lisans) -- İstanbul Teknik Üniversitesi, Fen Bilimleri Enstitüsü, 1991

##### Anahtar kelimeler

İşletme,
Hisse senetleri,
Opsiyon,
Business Administration,
Stocks,
Option