14-22 台積電選擇權

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14-22 台積電選擇權
Chapter 14
•Options and Corporate
Finance
McGraw-Hill/Irwin
Copyright © 2006 by The McGraw-Hill Companies, Inc. All rights reserved.
Key Concepts and Skills
• Understand the options terminology
• Be able to determine option payoffs and pricing
bounds
• Understand the five major determinants of option
value
• Understand employee stock options
• Understand the various managerial options
• Understand the differences between warrants
and traditional call options
• Understand convertible securities and how to
determine their value
14-1
Chapter Outline
•
•
•
•
•
•
•
Options: The Basics
Fundamentals of Option Valuation
Valuing a Call Option
Employee Stock Options
Equity as a Call Option on the Firm’s Assets
Options and Capital Budgeting
Options and Corporate Securities
14-2
Option Terminology
•
•
•
•
•
•
•
•
Call
Put
Strike or Exercise price
Expiration date
Option premium
Option writer
American Option
European Option
14-3
選擇權的特性
• 選擇權具有槓桿操作及損失有限的特性
• 例如:台積電現股股價70元
• 而標的為台積電,履約價格70元,權利期間
一個月之買權目前市價為7元
14-4
選擇權的特性
• 選擇權具有槓桿操作及損失有限的特性
到期時股
價
$60
65
70
75
80
85
90
買進一股台積電現
股投資金額為70元
損益
報酬率
$-10
-14%
-5
-7
0
0
5
7
10
14
15
21
20
28
買進十個台積電買
權投資金額為70元
損益
報酬率
$-70
-100%
-70
-100
-70
-100
-20
-28
30
43
80
114
130
186
14-5
選擇權的特性
• 選擇權的報酬型態—以前述台積電買進
買權為例
損益
0
70 77
7
到期日股價
14-6
選擇權的特性
• 選擇權的報酬型態—若為買進賣權
損益
0
63 70
7
到期日股價
14-7
選擇權的特性
• 選擇權的報酬型態—若為賣出買權
損益
0
7
70
77
到期日股價
14-8
選擇權的特性
• 選擇權的報酬型態—若為賣出賣權
損益
0
63 70
7
到期日股價
14-9
選擇權的特性
• 選擇權與認購權證的異同
選擇權
認購(售)權證
種類
買權或賣權
交易場所
期交所
認購權證或
認售權證
證交所
保證金
制度
賣方須繳保證金
無保證金制度
權利期間
通常較短
通常較長
14-10
Stock Option Quotations
• Look at Table 14.1 in the book
• Price and volume information for calls and puts with
the same strike and expiration is provided on the
same line
• Things to notice
• Prices are higher for options with the same strike price
but longer expirations
• Call options with strikes less than the current price are
worth more than the corresponding puts
• Call options with strikes greater than the current price
are worth less than the corresponding puts
14-11
Option Payoffs – Calls
• The value of the call
at expiration is the
intrinsic value
• Assume that the
exercise price is $30
25
Call Value
• Max(0, S-E)
• If S<E, then the payoff
is 0
• If S>E, then the payoff
is S – E
Call Option Payoff
Diagram
20
15
10
5
0
0 10 20 30 40 50 60
Stock Price
14-12
Option Payoffs - Puts
• The value of a put at
expiration is the
intrinsic value
• Assume that the
exercise price is $30
Option Value
• Max(0, E-S)
• If S<E, then the payoff
is E-S
• If S>E, then the payoff
is 0
Payoff Diagram for Put
Options
35
30
25
20
15
10
5
0
0 10 20 30 40 50 60
Stock Price
14-13
Work the Web Example
• Where can we find option prices?
• On the Internet, of course. One site that provides
option prices is Yahoo Finance
• Click on the web surfer to go to Yahoo Finance
• Enter a ticker symbol to get a basic quote
• Follow the options link
• Check out “symbology” to see how the ticker symbols
are formed
14-14
選擇權契約
項
目
內
容
交易標的
臺灣證券交易所發行量加權股價指數
中文簡稱
臺指選擇權(臺指買權、臺指賣權)
英文代碼
TXO
履約型態
歐式(僅能於到期日行使權利)
契約乘數
指數每點新臺幣 50 元
到期月份
自交易當月起連續三個月份,另加上三月、六月、九月、
十二月中二個接續的季月,總共有五個月份的契約在市場
交易
履約價格間距
三個連續近月契約:100 點
接續之二個季月契約:200 點
權利金報價單位 報價未滿 10 點:0.1 點(5 元)
報價 10 點以上,未滿 50 點:0.5 點(25 元)
報價 50 點以上,未滿 500 點:1 點(50 元)
報價 500 點以上,未滿 1,000 點:5 點(250 元)
報價 1,000 點以上:10 點(500 元)
14-15
每日漲跌幅 權利金每日最大漲跌點數以前一營業日臺灣證券交易所發行
量加權股價指數收盤價之百分之七為限
交易時間
本契約之交易日與臺灣證券交易所交易日相同
交易時間為營業日上午 8:45~下午 1:45
最後交易日 各契約的最後交易日為各該契約交割月份第三個星期三
到期日
最後交易日之次一營業日
最後結算價 以到期日臺灣證券交易所所提供依標的指數各成分股當日交
易時間開始後十五分鐘內之平均價計算之指數訂之
前項平均價係採每筆成交價之成交量加權平均,但當日市場
交易時間開始後十五分鐘內仍無成交價者,以當日市價升降
幅度之基準價替代之
交割方式
符合本公司公告範圍之未沖銷價內部位,於到期日當天自動
履約,以現金交付或收受履約價格與最後結算價之差額
14-16
台指選擇權(TXO)行情表
(2003/10/09)
003/10/09
Call
時間
履約價
買進 賣出 成交
漲跌
最高 最低
總量
結算
未平倉
13:42:05
5000
830
915
920
90.00
920
855
9
870
72
13:43:36
5100
740
795
795
70.00
830
730
27
770
28
13:42:05
5200
655
700
695
75.00
695
635
35
695
171
13:42:11
5300
590
600
590
65.00
590
540
40
590
207
13:43:19
5400
473
500
490
64.00
490
438
78
490
463
13:43:42
5500
390
396
390
60.00
390
310
341
390
1412
13:45:01
5600
290
295
294
64.00
295
222
1283
294
4861
13:45:01
5700
192
193
192
54.00
194
135
6608
192
16259
13:45:00
5800
102
104
104
39.00
105
60
19436
104
29821
13:45:08
5900
39
39.5
39.5
17.00
41
20
14355
42
42618
13:45:08
6000
10.5
12
12
5.50
13
5
7967
16
47111
13:43:25
6100
2
2.7
2.5
1.50
2.7
1
725
4.7
2029
14-17
003/10/09
台指選擇權(TXO)行情表
(2003/10/09)
Put
時間
履約價 買進 賣出 成交
漲跌
最高 最低
總量
結算
未平倉
13:34:44
5000
0.1
0.5
0.1
0.70
0.7
0.1
18
0.1
2460
13:37:24
5100
0.2
0.4
0.2
0.50
0.4
0.2
93
0.1
2947
13:32:18
5200
0.2
0.4
0.4
0.70
0.9
0.3
603
0.1
4506
13:38:34
5300
0.6
0.8
0.8
0.20
0.8
0.5
750
0.1
11202
13:41:11
5400
0.5
1
1
0.60
2
0.1
460
0.1
18555
13:43:58
5500
0.3
1.7
0.4
2.10
3
0.3
1635
0.1
28281
13:44:31
5600
1
1.4
1.4
3.40
5
1
2746
0.5
26266
13:45:02
5700
3.1
3.3
3.2
5.80
10
3.1
5460
4
25102
13:45:02
5800
12
12.5
11.5
26.50
40
10.5
14104
18.5
25999
13:44:59
5900
43.5
44
44
51.00
97
42
8573
56
13865
13:45:02
6000
114
115
115
65.00
179
111
707
119
1181
13:44:39
6100
210
220
212
42.00
270
212
8
212
20
14-18
股票選擇權契約
項 目
內
容
交易標的
於台灣證券交易所上市之普通股股票
中文名稱
股票選擇權(買權、賣權)
英文代碼
各標的證券依序以英文代碼表示
契約單位
1,000 股標的證券(但依規定為契約經調整者,不在此限)
履約方式
歐式(僅得於到期日行使權利)
到期月份
自交易當月起連續三個月份,另加上三、六、九、十二月中最近兩
個接續季月,總共有五個月份的契約在市場交易
履約價格
新台幣 2 元以上,未滿 10 元
新台幣 1 元
10 元以上,未滿 50 元
2元
履約價格間 50 元以上,未滿 100 元
距
間距
5元
100 元以上,未滿 200 元
10 元
200 元以上,未滿 500 元
20 元
500 元以上,未滿 1000 元
50 元
1000 元以上
100 元
14-19
權利金報價,1 點價值為新台幣 1, 000 元
權利金未滿 5 點:0.01 點
權利金 5 點以上,未滿 15 點:0.05 點
權利金報價
權利金 15 點以上,未滿 50 點:0.1 點
單位
權利金 50 點以上,未滿 150 點:0.5 點
權利金 150 點以上,未滿 1,000 點:1 點
權利金 1,000 點以上:5 點
每日漲跌幅
交易權利金最大漲跌點數,以約定標的物價值之當日最大變動金額
除以權利金乘數(1,000 元)計算
本契約交易日同臺灣證券交易所標的證券交易日
交易時間
交易時間為營業日上午 8:45~下午 1:45
最後交易日 各契約的最後交易日為各該契約交割月份第三個星期三
到期日
交割方式
同最後交易日
除另有規定外,採股票實物交割,於到期日申請履約後第一個營業
日交割之
14-20
台積電選擇權(ADO)行情表股票代碼2330
(2003/10/09)
買權
履約價
時間
成交價
買價
50
-
-
55
-
-
60
-
65
賣價
漲跌
總量
-
-
-
-
-
-
-
-
-
-
-
-
-
11:07
3.6
2.6
3.6
▽1
1
70
12:26
0.41
0.37
0.52
▽0.58
3
75
-
-
-
-
-
-
80
-
-
-
-
-
-
14-21
買權
台積電選擇權(ADO)行情表股票代碼2330
(2003/10/09)
賣權
履約價
時間
成交價
買價
賣價
漲跌
總量
50
-
-
-
-
-
-
55
-
-
-
-
-
-
60
-
-
-
-
-
-
65
13:39
0.01
0.01
0.41
▼0.1
3
70
10:21
2.58
2.18
2.58
△1
1
75
-
-
-
-
-
-
80
-
-
-
-
-
-
14-22
14-23
14-24
Call Option Bounds
• Upper bound
• Call price must be less than or equal to the stock price
• Lower bound
• Call price must be greater than or equal to the stock
price minus the exercise price or zero, whichever is
greater
• If either of these bounds are violated, there is an
arbitrage opportunity
14-25
Figure 14.2
14-26
A Simple Model
• An option is “in-the-money” if the payoff is
greater than zero
• If a call option is sure to finish in-the-money,
the option value would be
• C0 = S0 – PV(E)
• If the call is worth something other than
this, then there is an arbitrage opportunity
14-27
What Determines Option Values?
• Stock price
• As the stock price increases, the call price increases
and the put price decreases
• Exercise price
• As the exercise price increases, the call price
decreases and the put price increases
• Time to expiration
• Generally, as the time to expiration increases both the
call and the put prices increase
• Risk-free rate
• As the risk-free rate increases, the call price increases
and the put price decreases
14-28
What about Variance?
• When an option may finish out-of-the-money (expire
without being exercised), there is another factor that
helps determine price
• The variance in underlying asset returns is a less
obvious, but important, determinant of option values
• The greater the variance, the more the call and the
put are worth
• If an option finishes out-of-the-money, the most you
can lose is your premium, no matter how far out it is
• The more an option is in-the-money, the greater the
gain
• The owner of the option gains from volatility on the
upside, but don’t lose anymore from volatility on the
downside
14-29
Table 14.2
14-30
Employee Stock Options
• Options that are given to employees as part of
their benefits package
• Often used as a bonus or incentive
• Designed to align employee interests with stockholder
interests and reduce agency problems
• Empirical evidence suggests that they don’t work as
well as anticipated due to the lack of diversification
introduced into the employees’ portfolios
• The stock isn’t worth as much to the employee as it is
to an outside investor because of the lack of
diversification – this suggests that options may work in
limited amounts, but not as a large part of the
compensation package
14-31
Equity: A Call Option
• Equity can be viewed as a call option on the
company’s assets when the firm is leveraged
• The exercise price is the face value of the debt
• If the assets are worth more than the debt when
it comes due, the option will be exercised and
the stockholders retain ownership
• If the assets are worth less than the debt, the
stockholders will let the option expire and the
assets will belong to the bondholders
14-32
負債到期時的股東權益價值
股
東
權
益
價
值
(E)
E=VB
E=0
0
B
公司價值(V)
14-33
負債到期時的負債價值
負
債
價
值
(D)
D=B
D=V
0
公司價值(V)
B
14-34
Capital Budgeting Options
• Almost all capital budgeting scenarios
contain implicit options
• Because options are valuable, they make
the capital budgeting project worth more
than it may appear
• Failure to account for these options can
cause firms to reject good projects
14-35
實質選擇權
• 實質選擇權(Real Option),乃探討投資方案
中具有各種選擇權的特質,可以在投資計畫
進行期間,隨時擴充、縮減、轉換、或放棄
該計畫的權利。
• 可解決在傳統資本預算評估技術中,如NPV
法存在之缺失。
擴張的NPV=傳統NPV+實質選擇權價值
14-36
Timing Options
• We normally assume that a project must be
taken today or forgone completely
• Almost all projects have the embedded option to
wait
• A good project may be worth more if we wait
• A seemingly bad project may actually have a positive
NPV if we wait due to changing economic conditions
• We should examine the NPV of taking an
investment now, or in future years, and plan to
invest at the time that the project produces the
highest NPV
14-37
Example: Timing Options
• Consider a project that costs $5000 and has an
expected future cash flow of $700 per year
forever. If we wait one year, the cost will increase
to $5500 and the expected future cash flow will
increase to $800. If the required return is 13%,
should we accept the project? If so, when should
we begin?
• NPV starting today = -5000 + 700/.13 = 384.62
• NPV waiting one year = (-5500 + 800/.13)/(1.13) =
578.62
• It is a good project either way, but we should wait until
next year
14-38
Managerial Options
• Managers often have options after a project has
been implemented that can add value
• It is important to do some contingency planning
ahead of time to determine what will cause the
options to be exercised
• Some examples include
• The option to expand a project if it goes well
• The option to abandon a project if it goes poorly
• The option to suspend or contract operations
particularly in the manufacturing industries
• Strategic options – look at how taking this project
opens up other opportunities that would be otherwise
unavailable
14-39
Warrants
• A call option issued by corporations in conjunction
with other securities to reduce the yield required on
the other securities
• Differences between warrants and traditional call
options
• Warrants are generally very long term
• They are written by the company and exercise results
in additional shares outstanding
• The exercise price is paid to the company, generates
cash for the firm and alters the capital structure
• Warrants can normally be detached from the original
securities and sold separately
• Exercise of warrants reduces EPS, so warrants are
included when a firm reports “diluted EPS”
14-40
Convertibles
• Convertible bonds (or preferred stock) may be
converted into a specified number of common
shares at the option of the bondholder
• The conversion price is the effective price paid
for the stock
• The conversion ratio is the number of shares
received when the bond is converted
• Convertible bonds will be worth at least as much
as the straight bond value or the conversion
value, whichever is greater
14-41
Valuing Convertibles
• Suppose you have a 10% bond that pays
semiannual coupons and will mature in 15 years.
The face value is $1000 and the yield to maturity
on similar bonds is 9%. The bond is also
convertible with a conversion price of $100. The
stock is currently selling for $110. What is the
minimum price of the bond?
•
•
•
•
Straight bond value = 1081.44
Conversion ratio = 1000/100 = 10
Conversion value = 10*110 = 1100
Minimum price = $1100
14-42
Other Options
• Call provision on a bond
• Allows the company to repurchase the bond prior to
maturity at a specified price that is generally higher
than the face value
• Increases the required yield on the bond – this is
effectively how the company pays for the option
• Put bond
• Allows the bondholder to require the company to
repurchase the bond prior to maturity at a fixed price
• Insurance and Loan Guarantees
• These are essentially put options
14-43
Quick Quiz
• What is the difference between a call option and
a put option?
• What is the intrinsic value of call and put options
and what do the payoff diagrams look like?
• What are the five major determinants of option
prices and their relationships to option prices?
• What are some of the major capital budgeting
options?
• How would you value a convertible bond?
14-44
Chapter 14
•End of Chapter
McGraw-Hill/Irwin
Copyright © 2006 by The McGraw-Hill Companies, Inc. All rights reserved.

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