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1、Chapter10 MechanicsofOptionsMarketsOptions,Futures,andOtherDerivatives,9thEdition,Copyright©JohnC.Hull20141ReviewofOptionTypesAcallisanoptiontobuyAputisanoptiontosellAEuropeanoptioncanbeexercisedonlyattheendofitslifeAnAmericanoptioncanbeexercisedatanytimeOptions,Futures,andOther
2、Derivatives,9thEdition,Copyright©JohnC.Hull20142OptionPositionsLongcallLongputShortcallShortputOptions,Futures,andOtherDerivatives,9thEdition,Copyright©JohnC.Hull20143LongCall(Figure10.1,Page214)ProfitfrombuyingoneEuropeancalloption:optionprice=$5,strikeprice=$100,optionlife=2mo
3、nthsOptions,Futures,andOtherDerivatives,9thEdition,Copyright©JohnC.Hull201443020100-5708090100110120130Profit($)Terminalstockprice($)ShortCall(Figure10.3,page216)ProfitfromwritingoneEuropeancalloption:optionprice=$5,strikeprice=$100Options,Futures,andOtherDerivatives,9thEdition,
4、Copyright©JohnC.Hull20145-30-20-1005708090100110120130Profit($)Terminalstockprice($)LongPut(Figure10.2,page215)ProfitfrombuyingaEuropeanputoption:optionprice=$7,strikeprice=$70Options,Futures,andOtherDerivatives,9thEdition,Copyright©JohnC.Hull201463020100-7706050408090100Profit(
5、$)Terminalstockprice($)ShortPut(Figure10.4,page216)ProfitfromwritingaEuropeanputoption:optionprice=$7,strikeprice=$70Options,Futures,andOtherDerivatives,9thEdition,Copyright©JohnC.Hull20147-30-20-1070706050408090100Profit($)Terminalstockprice($)PayoffsfromOptionsWhatistheOptionP
6、ositioninEachCase?K=Strikeprice,ST=PriceofassetatmaturityOptions,Futures,andOtherDerivatives,9thEdition,Copyright©JohnC.Hull20148PayoffPayoffSTSTKKPayoffPayoffSTSTKKAssetsUnderlying Exchange-TradedOptionsPage217-218StocksForeignCurrencyStockIndicesFuturesOptions,Futures,andOther
7、Derivatives,9thEdition,Copyright©JohnC.Hull20149Specificationof Exchange-TradedOptionsExpirationdateStrikepriceEuropeanorAmericanCallorPut(optionclass)Options,Futures,andOtherDerivatives,9thEdition,Copyright©JohnC.Hull201410TerminologyMoneyness:At-the-moneyoptionIn-the-moneyopti
8、onOut-of-the-moneyoptionOptions,Futures,andOthe
