CFA level3, 레벨3 [공통과정] 4 derivatives (전과목 보유)

목차

READING 6. Option Strategies (주식 option 중심)
READING 7. Swaps, Forwards, and Futures Strategies
READING 8. Currency Management: An Introduction

본문내용

[Module 6.1: Option Basics: Value(payoff) at expiration & profit at expiration]
 Refresher on Option Terminology
1. European-style options: 만기에만 행사 가능 / American-style options: any trading day
up에 행사 가능 / Bermudan-style options
2. Prem. 지급 (=value of option)
3. Call: 옵션 행사 시 short는 receive strike price & deliver underlying
put: 옵션 행사 시 short는 pay strike price & take delivery of underlying
4. “naked”(=uncovered) call: 옵션 거래 without any hedging position in place
 Intrinsic value & time value
1. Implied volatility: current mkt v of option 이용해서 구핚 „consensus estimate of volatility
for the underlying‟ (≠historical/realized volatility)
 „estimate of the volatility looking forward‟  option v determine핛 때 사용하는 vol.
2. Option value = Intrinsic value + time value
① Intrinsic value: v of immediate exercise (얼마나 ITM읶지?) ≠ profit
- Call: current price > strike price  ITM  intrinsic v = S-X

참고자료

· 없음