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The time value of options and writing strategiesZhou, Mo 24 June 2010
This study examines the pattern of stock option time value decay and the implications of the time value decay pattern for option writing strategies. I also consider the returns to various options writing strategies. The central question is whether option writers can utilize a writing strategy that captures the time value of options as revenue to cover their risks and provides return on their investments.
Using transaction data, I find that the time value of options that are near-the-money decays at a decreasing rate. The implications of this result are that a significant portion of the time value of near-the-money options decays in the early days of writing an option and the decay slows down as time to expiry approaches. This motivates us to compare over the same holding periods the writing returns of options with long times to expiry with the returns of options with short times to expiry. Overall, the results suggest that trading of options face significant transaction costs and it is mainly motivated by hedging or speculation as I did not find a systematic way to profit from option writing strategies.<p>
In addition, I examine the impact of market sentiment on the time value of options. The period of the study includes a sub-period when the general trend in the stock market was positive and another sub-period when the trend was negative. In particular, I study the price of puts relative to the price of calls during these two distinct market periods. I find that during bear markets both call and put options are more expensive than call and put options during bull markets. Yet, the ratio of put premiums to call premiums during rising markets is generally higher than the same ratio during bear markets. This observation suggests that speculators may be the dominant traders in options markets.
Overall, I find that option writing strategies are not profitable. One of the reasons for this observation is transaction costs, which are significant in all the strategies that I examine. The bid-ask spread in the options market is large in comparison to the bid-ask spread in the underlying stock market.
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The time value of options and writing strategiesZhou, Mo 24 June 2010 (has links)
This study examines the pattern of stock option time value decay and the implications of the time value decay pattern for option writing strategies. I also consider the returns to various options writing strategies. The central question is whether option writers can utilize a writing strategy that captures the time value of options as revenue to cover their risks and provides return on their investments.
Using transaction data, I find that the time value of options that are near-the-money decays at a decreasing rate. The implications of this result are that a significant portion of the time value of near-the-money options decays in the early days of writing an option and the decay slows down as time to expiry approaches. This motivates us to compare over the same holding periods the writing returns of options with long times to expiry with the returns of options with short times to expiry. Overall, the results suggest that trading of options face significant transaction costs and it is mainly motivated by hedging or speculation as I did not find a systematic way to profit from option writing strategies.<p>
In addition, I examine the impact of market sentiment on the time value of options. The period of the study includes a sub-period when the general trend in the stock market was positive and another sub-period when the trend was negative. In particular, I study the price of puts relative to the price of calls during these two distinct market periods. I find that during bear markets both call and put options are more expensive than call and put options during bull markets. Yet, the ratio of put premiums to call premiums during rising markets is generally higher than the same ratio during bear markets. This observation suggests that speculators may be the dominant traders in options markets.
Overall, I find that option writing strategies are not profitable. One of the reasons for this observation is transaction costs, which are significant in all the strategies that I examine. The bid-ask spread in the options market is large in comparison to the bid-ask spread in the underlying stock market.
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Možnosti využití financování z fondů Evropské unie vybranou obcí. / Possibilities of utilisation of financing from European Union funds by chosen municipality.FÜRST, Jakub January 2010 (has links)
The aim of the thesis was to analyze possibilities of utilization financing from European Union funds by municipality Srubec. In the next step I calculate the possible debt. This results into calculating possible financing of investment plan of municipality and need of co-financing from EU funds. At the end I analyze the possibility of self-financing already realized investment project, which was financed from ROP NUTS II Jihozápad.
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Mapování a optimalizace hodnotového toku / Value Stream Mapping and OptimisationGašpierik, Andrej January 2015 (has links)
The aim of this semestral thesis is to use the Value Stream Mapping (VSM) as visual aids to describe streamlining the production process of vibration welding machines in Emerson Industrial Automation, in Nove Mesto nad Vahom. In this thesis is contained description and comparison of the software support for the VSM. Theoretical part describes the causes of lean production and discusses the purpose of mapping of the value stream and variables associated with it.
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Waranty na evropském kapitálovém trhu / Warants on the European Capital MarketBříza, Michal January 2008 (has links)
Warrants are modern investment gear product. They are emitted by famous financial institution and dedicated for small investors. The main object of this diploma thesis is to analyse warrants. In first part of the thesis is theoretical background of warrants, pricing models, etc. Second part is mainly focused on investment strategies and stockjobbing. In the last part is comparsion to other financial products and also practical investment introduction are included.
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台指選擇權之波動率-以馬可夫轉換模型分析 / Regime-switched Volatility of TAIEX Options Using Markov-switching variance model陳宛頤, Chen, Wan Yi Unknown Date (has links)
本篇論文使用馬可夫移轉變異數模型探討台指選擇權之買權的波動性。馬可夫移轉變異數模型將條件變異設定為可隨時間變動而改變,甚至移轉到不同區間上。樣本在不同區間下的平滑機率估計值有助於捕捉資料特性,實證結果顯示當樣本落在高波動率區間上時,會對應著重大事件的發生,例如2004年台灣319槍擊案、2006年全球股災、2008年金融海嘯等。當樣本落在低波動率區間上時,會對應著投資人傾向將台股指數的上漲或下跌視為超漲或超跌,而賦予台指選擇權之買權負的時間價值。 / This paper investigates the volatility of TAIEX Call Options using Markov-switching variance model. The Markov-switching variance model allows the conditional disturbances to change as time passes and even switch between different regimes. The estimation of smoothed probabilities under different regimes facilitates to capture the characteristics of data. The empirical result shows that the high volatility regime is related to extraordinary events, such as 319 shooting incident in 2004, the global stock market crash in 2006, and the Financial Crisis in 2008. When in low volatility regime, investors tend to treat rise or fall in TAIEX as overreactions and give TAIEX Call Options turning points of time values.
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VYUŽITÍ KONCEPTU CELOŽIVOTNÍ HODNOTY ZÁKAZNÍKA VE STRATEGICKÉM ŘÍZENÍ FIREM / USING THE CONCEPT OF CUSTOMER LIFE-TIME VALUE IN STRATEGIC MANAGEMENT COMPANIESHanzelka, Michael January 2017 (has links)
This paper aims to define methods for measuring CLV in the segment of internal customers of companies operating in the financial market. It's about finding such a method to determine the value of internal customers to predict and measure whether an internal customer pays off to the company. The standalone task is to quantify the internal customer's contributions to the overall value of the company. The area of CLV determination for internal customers of the company is not described in the literature. From this point of view, the determination of CLV internal customers in the strategic management system will be a major scientific achievement. Similarly to external customers (markets), as well as internal customers express greater or lesser affinities with their behavior and performance, in the first case the brand and in the latter case the employer. Therefore, CLV modeling for internal customers requires qualified predictions and expressions of a whole range of both hard (eg, cash flow indicators) and Soft (indicators of qualitative research such as loyalty) of indicators and their use in the calculation of CLV internal customers. An important prerequisite for CLV for both internal customers is their segmentation.
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台灣集中交易市場個股型認購權證時間價值衰退現象探討 / Time value of Covered Warrants in Taiwan Stock Market林宣君, Lin, Hsuan-chun Unknown Date (has links)
認購權證已在台灣發行與交易已接近七年的歷史,提供了更多套利、投機與避險交易的機會給市場參與者,也同時增加資本市場之完整性。而由於認購權證提供持有者在一段期間內依照特定價格購買特定數量標的股票之權利,投資人可以根據其意願與看法於到期日前來決定是否進行履約。而權證投資人購買權證之權利金即是包含內含價值與投資人願意支付的時間價值兩部分。時間價值的多寡反應出投資人對於未來權證履約價格是否可以無限增加的看法。而在其他條件不變之下,距到期時間越久之權證的價值應是越高。不過,是否時間越接近到期日時,投資人對於時間價值的看法就會呈現單純線性下降的狀態,還是另外有其他的資訊內涵會影響投資人對於價值的看法,即為本研究所欲探討之主題。
本研究針對台灣市場中個股型認購權證不同時點之時間價值變化程度,與可能影響時間價值變化的因素進行分析,其研究結果如下:
1.研究樣本並非完全符合越接近到期日時間價值減少的現象越明顯的狀態,顯示時間價值的變化隱含著會有其他之因素影響投資願意支付金額的多寡。且部分權證的確曾發生短期內時間價值大幅衰減的現象。
2.權證之價內外程度、距到期日之遠近、相對交易量的多寡與標的股票是否為電子業,對時間價值減少均有顯著的影響。另外,距到期日之天數、權證相對成交量、標的股票所屬產業與市場是否處於多頭與否均顯著影響短期內發生時間價值大幅衰退之現象。
3.本研究發現目前無法利用權證發行條件的差異,來判斷此權證是否會在存續期間當中發生時間價值急速衰退的現象。 / Warrants has been traded in Taiwan for seven years, and provides more opportunities for participants to arbitrage, hedge and speculate in capital market. Warrant gives holders the right to buy stocks at certain price during a period of time. The premium (price) to long warrants is contained intrinsic value and time value. Other things being equal, the longer the time to expiration day, the higher the value of warrants, since there is larger probability for investors to get more return. However, would any other terms expect time to expiration affect the variations of time value, or if we can find some variables could provide other content of information and result the change of time value. This is what the study focus on. Followings are the results of this study:
1. There are not all thetas of warrants in this sample decreasing simply by the time to expiration. It seems to be other variables would cause the change of theta. Besides, some warrants had serious time-decay in a short period of time.
2. Intrinsic value, time to expiration, trading volume, whether underlying stock in electronic industry or not and the market condition all have obvious effects on decrease of time value and serious time-decay.
3. It is still impossible to use issue information to identify if this warrant will have time-decay in its life.
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選擇權賣方跨式與勒式交易策略之探討--以台指選擇權為例 / A study of straddle and strangle strategies: evidence from TAIEX options王祈凱, Wang, Chi Kai Unknown Date (has links)
Straddles and strangles are common trading strategies introduced in a lot of textbooks and are widely used for option market participants. However, to our knowledge, we might not know how these trades should be designed, which trades are preferable, and how they are constructed in practice. Thus, we want to apply and discuss straddles and strangles as our trading strategies to the practical market. In our research paper, focusing on the time value and finding some profitable strategies are the two important concepts of our straddles and strangles. Being a sell side to earn the time value is our main goal. Although we may take higher risk, time value decay is helpful for us. The research focuses on straddles and strangles by using historical data of TAIEX futures and options. We use the closing price and settlement price as our trading price from data period January 2005 to December 2010. We also compare two different situations, holding positions to maturity and early offset condition, to our straddles and strangles.
The findings show that the straddle strategies have positive earnings by holding positions to maturity, and 3 out of 4 strangle strategies have the same results. We can indeed earn the time value as a seller because time value decays quickly for the last seven days of the options contracts. After considering the early offset condition, the profitability of the ATM straddle and strangles become worse. We might easily fall into a trap in which the index futures price fluctuates greatly for a few days and comes back to the normal level on the settlement date. Therefore, we encounter loss due to selling low and buying high so that the trading performance is poor compared with the positions held to the end.
Key words: Straddle Strategy, Strangle Strategy, Time Value, Settlement, Early Offset, TAIEX Options, TAIEX Futures
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顧客生命週期價值分析之實地實證研究-以某銀行信用卡部門為例陳怡君 Unknown Date (has links)
要創造顧客價值,首先需瞭解顧客。顧客是企業最重要的資產,企業應掌握該資產之性質與經濟意涵。本研究自此觀點出發,對個案公司之顧客資產提出四大問題:1.可能長期/短期往來客戶分辨及探討可能長期往來客戶是否一定是好客戶2.各區隔客戶的主要消費型態3.各區隔顧客與企業之獲利關係4.各區隔顧客之理財型態。本研究藉由此四大問題,串連時間、獲利與經濟行為構面進行分析與探討。本研究之資料取自某銀行信用卡部門二年期之月顧客資料。
本研究之發現說明如下:
1.以獲利與時間兩構面為區隔,發現長期往來之客戶不一定是好客戶。可能短期往來客戶亦有極佳之獲利潛能,但可能因為企業未能滿足需求或客戶有交換使用各家信用卡之行為、預算分配情況的影響,致使此類客戶未能成為忠實客戶,管理當局應深入調查這些顧客的行為,以利策略之擬定。
2.各區隔間有鮮明之行為特質。各區隔之所注重的消費層次不同,關心的議題可能不同,因此企業在行銷上注重的層面理應不同。
3.大多數之客群對獲利有顯著貢獻,顯示出大多數客戶是具有潛在利潤的客戶。
4.「一般交易需求者」為個案銀行之主要客戶,屬於極少拖欠帳款,或者是有支出預算之消費者,銀行只能自手續費獲利,因此,日常營運成本可能是關心重點,企業應力求成為此類顧客的主要銀行。 / Customer valuation is becoming a critical element in strategy development. It is built on the notation that the customer is the primary asset of the firm. The firm has a protfolio of customer assets that should be analyzed economically to determine their value to the firm. The four issues in this study relate to (1) identifying possible long-lived or short-lived customers and if those possible long-lived customers are necessarily profitable customers or not; (2) investigating consuming behavior of each segment; (3) understanding the profit relationship between the firm and customers; (4) establising financing behavior of each segment. This study is based on a monthly data from a large retail bank for two years.
Bellows are the illustation of the empirical findings in this study:
1. Duration and customer profitability are two good dimensions of segmentation. Long-lived customers are not necessarily profitable customers. Short-lived customers have great potential in profitability, too. The firm may not fulfill their needs. Those customers may be butterflies, i.e., they like to use different banks’credit cards. On the other hand, some customers may have budget for their spending. The firm must investigate this phenomenon deeply, so as to plan their marketing strategy.
2. Each segment concerns about different issues because they have distintive consuming behavior. So, the firm must have different marketing strategies for each segment.
3. There is positive association between customers and the firm's profitability in most of the segments. This reveals that most customers are profitable.
4. Tansistors are the domain customer type of the firm. They usually pay bills in time. Maybe, they have spending budget. The firm receives transation fees only. Under this condition, operation excellence is the key point. The firm must pay great efforts to become the domain bank of their customers.
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