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1、投资投资组合管理习题组合管理习题Stock #1: Own 10,000 64.00 Forecast: price rise 10%-15% Willing to buy 10,000 $60 Willing to sell 5,000 $75. StrikeCallPut 605.400.90 653.003.50 701.106.70Portfolio Management ExercisesStock #1 The Strategy Sell 100 Puts to buy 10,000 shares Sell 50 Calls to sell 5,000 shares. Which
2、strikes? Sell 100 65 Puts 3.50 each Sell 50 65 Calls 3.00 each Effective buy price = 65 3.50 1.50 = 60 Effective sell price = 65 + 3.00 + 7.00 = 75Stock #2: Own 15,000 35.50 Forecast: Will begin a L-T rise of 50-100% Worry: earnings report next week. Goal: hold stock but limit risk to 5%. StrikeCall
3、Put 351.701.10 400.754.90Stock #2 The Strategy Buy 150 puts to protect stock Which strike? Buy 150 35 Puts 1.10 each Effective sell price = 35.00 1.10 = 33.90 (35.50 * 5% 33.72)Stock #3: Own 20,000 49.40 Forecast: takeover at $65 or higher. Goal: buy calls with $25,000 StrikeCallPut 455.250.50 502.4
4、02.40 551.00 5.90Stock #3 The Strategy Spend $25,000 on calls Which strike? Stock 65 47 45 Calls 5.25 20.00 +280% 104 50 Calls 2.40 15.00 +525% 250 55 Calls 1.00 10.00 +900%Stock #4: Own 15,000 81.00 Forecast: Will rise 5% in 90 days. Goals: Increase profit without more risk. Willing to sell entire
5、position at $90. StrikeCallPut 804.002.35 852.004.60Stock #4 The Strategy Add ratio call spread to stock position Which strike? Own 15,000 shares 81.00 Buy 150 80 Calls 4.00 each Sell 300 85 Calls 2.00 eachStock #4 P/(L) Diagram+10+50 -575 80 85 90 95 100Long 100 shares LMN $81.00Indifference price
6、Effective sell price = 90.00Stock #5: Own -0- shares 76.00 Forecast: L-T rise 50-100% (Same as #2) Worry: earnings report. (Same as #2) Goal: buy stock but limit risk to 5%. StrikeCallPut 753.602.10 801.754.60 850.759.25Stock #5 The Strategy Concept: Buy calls to limit risk Which strike? Buy 150 75
7、Calls 3.60 each 3.60 5% of 76.00#6: Own 25,000 / Short 17.50 Puts Forecast: takeover at 30.00 Goals: close position with max loss of 0.50 keep job Stock #6StrikeCallPut 19.2017.502.250.40 20.001.201.90 22.500.703.50Stock #6 The Strategy Concept: 1. Close short puts to eliminate risk 2. Buy new puts
8、to protect stock (and limit risk to 0.50) Which strike? 1. Buy 50 17.50 Puts 0.40 each (to close) 2. Buy 250 22.50 Puts 3.50 each Effective sell price = 22.50 3.50 = 19.00 (0.20 below 19.20) #1Covered combination (straddle) #2Buy protective puts #3Buy calls with most leverage #4Add ratio call spread
9、 to stock #5Buy calls to get limited-risk exposure #6Buy protective puts (and close short puts)Is it this simple?#1 Short puts add leverage Short 100 65 Puts Obligation to buy 10,000 shares Potential $650,000 cash requirement Current cash balance = $250,000 Obligation adds leverage to portfolioSpeak
10、ing of Cash. 6 strategies what is the impact on the cash? Buying options decreases cash Selling options increases cash Selling puts reserve cash to buy stock? Buying calls reserve cash to buy stock? How do options fit into the portfolios cash management plan?Initial Cash Impact#1 sell 100 Puts & 50
11、Calls+$ 50,000 #2 buy 150 35 Puts 1.10-16,500 #3 buy 250 55 Calls 1.00-25,000 #4 80/85 Ratio Spread0 #5 buy 150 75 Calls 3.60-54,000 #6 buy 50 17.50 Puts 0.40-2,000 buy 250 22.50 Puts 3.50-87,500 - $135,000#4 & #5 Long Calls need for cash? #4 Ratio Spread with calls Long 150 80 Calls Potential need
12、for $1,200,000 #5 Buy 150 75 Calls Want 15,000 shares “same as #2” Need for $1,125,000Possible Cash ImpactBeg. Balance+250,000Net Immediate Cash Impact(135,000)minus cash for short puts #1(650,000)minus cash for long calls #4(1,200,000)minus cash for long calls #5(1,125,000)Cash and Commitments =(2,860,000)
