DOCSLIB.ORG

Derivative Analysis

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Derivative Analysis Stock Market Trainings & Services. Derivative Analysis DERIVATIVES Types of Derivative Contracts . Forwards Contracts . Futures Contracts . Options Contracts . Swaps History of Financial Derivatives Markets Participants in a Derivative Market Economic Function of the Derivative Market UNDERSTANDING INTEREST RATES AND STOCK INDICES Understanding Interest rates Understanding the Stock Index Economic Significance of Index Movements Index Construction Issues Desirable Attributes of an Index . Impact cost Applications of Index . Index derivatives FUTURES CONTRACTS, MECHANISM AND PRICING Forward Contracts Limitations of forward markets Introduction to Futures Distinction between Futures and Forwards Contracts Futures Terminology Trading Underlying Vs Trading Single Stock Futures Futures Payoffs . Payoff for buyer of futures: Long futures . Payoff for seller of futures: Short futures Pricing Futures . Pricing equity index futures . Pricing index futures given expected dividend amount . Pricing index futures given expected dividend yield Pricing Stock Futures Contact Us: 311, Third floor, Nilgiri Block, Aditya Enclave, Ameerpet, Hyderabad-500016, Ph. :9063288999, 9292053457. Stock Market Trainings & Services. Pricing stock futures when no dividend expected . Pricing stock futures when dividends are expected APPLICATION OF FUTURES CONTRACTS Understanding Beta (β) Numerical illustration of Applications of Stock Futures . Long security, sell futures . Speculation: Bullish security, buy futures . Speculation: Bearish security, sell futures . Arbitrage: Overpriced futures: buy spot, sell futures . Arbitrage: Underpriced futures: buy futures, sell spot Hedging using Stock Index futures . By Selling Index Futures . By Selling Stock Futures and Buying in Spot market OPTIONS CONTRACTS, MECHANISM AND APPLICATIONS Option Terminology Comparison between Futures and Options Options Payoffs . Payoff profile of buyer of asset: Long asset . Payoff profile for seller of asset: Short asset . Payoff profile for buyer of call options: Long call . Payoff profile for writer of call options: Short call . Payoff profile for buyer of put options: Long put . Payoff profile for writer of put options: Short put Application of Options . Hedging: Have underlying buy puts . Speculation: Bullish security, buy calls or sell puts . Speculation: Bearish security, sell calls or buy puts . Bull spreads - Buy a call and sell another . Bear spreads - sell a call and buy another PRICING OF OPTIONS CONTRACTS AND GREEK LETTERS Variables affecting Option Pricing The Black Scholes Merton Model for Option Pricing (BSO) The Greeks Contact Us: 311, Third floor, Nilgiri Block, Aditya Enclave, Ameerpet, Hyderabad-500016, Ph. :9063288999, 9292053457. Stock Market Trainings & Services. Delta () . Gamma (Γ) . Theta (Θ) . Vega (ν) . Rho (ρ) TRADING OF DERIVATIVES CONTRACTS Futures and Options Trading System . Entities in the trading system . Basis of trading . Corporate hierarchy . Client Broker Relationship in Derivative Segment . Order types and conditions The Trader Workstation . The Market Watch Window . Inquiry window . Placing orders on the trading system . Market spread/combination order entry Futures and Options Market Instruments . Contract specifications for index futures . Contract specification for index options . Contract specifications for stock futures . Contract specifications for stock options Criteria for Stocks and Index Eligibility for Trading . Eligibility criteria of stocks . Eligibility criteria of indices . Eligibility criteria of stocks for derivatives trading on account of corporate restructuring Charges CLEARING AND SETTLEMENT Clearing Entities . Clearing Members . Clearing Banks Clearing Mechanism Settlement Procedure . Settlement of Futures Contracts . Settlement of options contracts Risk Management Contact Us: 311, Third floor, Nilgiri Block, Aditya Enclave, Ameerpet, Hyderabad-500016, Ph. :9063288999, 9292053457. Stock Market Trainings & Services. NSCCL-SPAN . Types of margins Margining System . SPAN approach of computing initial margins . Mechanics of SPAN . Overall portfolio margin requirement . Cross Margining REGULATORY FRAMEWORK Securities Contracts (Regulation) Act, Securities and Exchange Board of India Act, Regulation for Derivatives Trading . Forms of collateral's acceptable at NSCCL . Requirements to become F&O segment member . Requirements to become authorized / approved user . Position limits . Reporting of client margin Adjustments for Corporate Actions ACCOUNTING FOR DERIVATIVES Accounting for futures Accounting for options Taxation of Derivative Transaction in Securities . Taxation of Profit/Loss on derivative transaction in securities . Securities transaction tax on derivatives transactions Excel Analysis Multi-leg strategies S.No Strategy 1 Long Future 2 Short Future 3 Long Call 4 Short Call 5 Long Put 6 Short Put Contact Us: 311, Third floor, Nilgiri Block, Aditya Enclave, Ameerpet, Hyderabad-500016, Ph. :9063288999, 9292053457. Stock Market Trainings & Services. 7 Synthetic Long Future 8 Synthetic Short Future 9 Synthetic Long Call 10 Synthetic Short Call 11 Synthetic Long Put 12 Synthetic Short Put 13 Covered Call 14 Covered Put 15 Protective Call 16 Protective Put 17 Long Combo 18 Short Combo 19 Long Straddle 20 Short Straddle 21 Long Strangle 22 Short Strangle 23 Long Collar 24 Short Collar 25 Bull Call Spread 26 Bull Put Spread 27 Bear Call Spread 28 Bear Put Spread 29 Long Call Butterfly 30 Short Call Butterfly 31 Long Put Butterfly 32 Short Put Butterfly 33 Long Iron Butterfly 34 Short Iron Butterfly Contact Us: 311, Third floor, Nilgiri Block, Aditya Enclave, Ameerpet, Hyderabad-500016, Ph. :9063288999, 9292053457. Stock Market Trainings & Services. 35 Long Call Condor 36 Short Call Condor 37 Long Put Condor 38 Short Put Condor 39 Long Iron Condor 40 Short Iron Condor 41 Call Ratio Front Spread 42 Call Ratio Back Spread 43 Put Ratio Front Spread 44 Put Ratio Back Spread Call Ratio Front Spread 45 Ladder 46 Call Ratio Back Spread Ladder 47 Put Ratio Front Spread Ladder 48 Put Ratio Back Spread Ladder 49 Long Calendar Calls 50 Short Calendar calls 51 Long calendar puts 52 Short calendar Puts 53 Long Guts 54 Short Guts 55 Strap 56 Strip 57 Long calendar Fut 58 Short calendar Fut 59 Conversion 60 Reversal 61 Box Spread Contact Us: 311, Third floor, Nilgiri Block, Aditya Enclave, Ameerpet, Hyderabad-500016, Ph. :9063288999, 9292053457. Stock Market Trainings & Services. Contact Us: 311, Third floor, Nilgiri Block, Aditya Enclave, Ameerpet, Hyderabad-500016, Ph. :9063288999, 9292053457. .
Load more

Recommended publications
  • Euronext Stock Dividend Future Short
    KEY INFORMATION DOCUMENT (STOCK DIVIDEND FUTURE - SHORT) Purpose What are the risks and what could I get in return? This document provides key information about this investment product. It Risk indicator is not marketing material. The information is required by law to help you understand the nature, risks, costs, potential gains and losses of this Summary Risk Indicator product and to help you compare it with other products. Product Stock Dividend Future - Short Manufacturer: Euronext www.euronext.com Competent Authority: Euronext Amsterdam – AFM, Euronext Brussels – FSMA, Euronext Lisbon – CMVM, Euronext Paris - AMF Document creation date: 2018-01-02 The summary risk indicator is a guide to the level of risk of this product Alert compared to other products. It shows how likely it is that the product will You are about to purchase a product that is not simple and may be lose money because of movements in the markets. We have classified difficult to understand. this product as 7 out of 7, which is the highest risk class. Investors can sell futures without first buying them via an opening sell What is this product? transaction which creates a short position. Sellers make a profit when their futures fall in price, and lose money when their futures rise in price. Type Sellers can close short positions by buying futures (closing buy), subject Derivative. Futures are considered to be derivatives under Annex I, to prevailing market conditions and sufficient liquidity. The maximum Section C of MiFID 2014/65/EU. possible loss from selling futures is potentially unlimited. The risk of loss when investing in futures can be minimised by buying or Objectives selling (as appropriate) the corresponding amount of the underlying asset A futures contract is an agreement to buy or sell an asset on a specified (a covered position) or closely correlated asset.
    [Show full text]
  • Single Stock Dividend Futures
    EURONEXT DERIVATIVES SINGLE STOCK DIVIDEND FUTURES What are Single Stock Why trade Single Stock Who are Single Stock Dividend Futures? Dividend futures? Dividend Futures for? Single Stock Dividend Futures are Access new trading opportunities Investors who want to hedge risk exchange-traded derivatives contracts by taking long or short positions associated with dividend exposure, that allow investors to take positions on Single Stock Dividend Futures, diversify their trading portfolio and on dividend payments. or trade them against the dividend reduce its volatility exposure. index futures (CAC 40® or AEX Index®). Market Makers Euronext’s new Single Stock Dividend Futures complement its existing dividend index future offering (CAC 40 Dividend BNP Paribas Index Future and AEX Dividend Index Future), giving market Yanis Escudero participants additional investment strategies. [email protected] +44 (0) 207 595 1691 Dividends are a key component for equity and equity derivatives holders and are mostly used as a hedging tool. However, dividends are also becoming an asset Gabriel Messika class of their own: a dividend investment can be seen as corresponding to an [email protected] equity investment, while often proving more resilient and less volatile than stocks. +44 (0) 207 595 1819 Why trade Single Stock Dividend Futures? Nicolas Certner Benefit from an efficient hedging tool helping you to manage your [email protected] dividend exposure +44 (0) 207 595 595 1342 Diversify your portfolio by investing
    [Show full text]
  • Single Stock Dividend Futures Euronext Ssdf Evolution
    SINGLE STOCK DIVIDEND FUTURES EURONEXT SSDF EVOLUTION ▪ Euronext has made an incredible breakthrough in the single stock dividend and single stock futures space. ▪ It is the first time an exchange succeeds to establish an alternative and to gain significant market shares in this space. ▪ This became possible thanks to the combination of these 4 factors : • Client Intimacy • Agility • Fair Transaction Costs • Differentiating Features ▪ Thanks to the introduction of new maturities, a feature codesigned with clients, Euronext has been the only one to provide an agile and adapted solution to the extreme conditions created by the COVID-19 crisis. │ 2 SINGLE STOCK DIVIDEND FUTURES – EURONEXT’S OFFER Euronext offers a wide array of contracts on European underlyings Number of contracts per country of underlying Proportion of SSDF exclusive to Euronext Underlying Number of SSDF available Exclusive to Euronext Austria 5 100% Belgium 15 73% Finland 8 25% France 49 27% Germany 27 4% Ireland 3 33% Italy 21 57% Jersey 2 50% 123 179 Luxembourg 1 0% Netherlands 25 28% Norway 2 100% Portugal 3 100% Spain 19 37% Sweden 11 100% Switzerland 18 6% UK 35 25% USA 56 65% Non-Exclusive Exclusive │ 3 SINGLE STOCK DIVIDEND FUTURES – EURONEXT’S OFFER Euronext contracts features answer client’s demand Higher denominator to generate clearing efficiencies • Contrary to the industry standard Euronext contracts have a 10,000 multiplier • 1 contract corresponds to the dividends attached to 10,000 shares Combined with a highly attractive pricing Trading + Clearing Fee (in
    [Show full text]
  • A-Cover Title 1
    Barclays Capital | Dividend swaps and dividend futures DIVIDEND SWAPS AND DIVIDEND FUTURES A guide to index and single stock dividend trading Colin Bennett Dividend swaps were created in the late 1990s to allow pure dividend exposure to be +44 (0)20 777 38332 traded. The 2008 creation of dividend futures gave a listed alternative to OTC dividend [email protected] swaps. In the past 10 years, the increased liquidity of dividend swaps and dividend Barclays Capital, London futures has given investors the opportunity to invest in dividends as a separate asset class. We examine the different opportunities and trading strategies that can be used to Fabrice Barbereau profit from dividends. +44 (0)20 313 48442 Dividend trading in practice: While trading dividends has the potential for significant returns, [email protected] investors need to be aware of how different maturities trade. We look at how dividends Barclays Capital, London behave in both benign and turbulent markets. Arnaud Joubert Dividend trading strategies: As dividend trading has developed into an asset class in its +44 (0)20 777 48344 own right, this has made it easier to profit from anomalies and has also led to the [email protected] development of new trading strategies. We shall examine the different ways an investor can Barclays Capital, London profit from trading dividends either on their own, or in combination with offsetting positions in the equity and interest rate market. Anshul Gupta +44 (0)20 313 48122 [email protected] Barclays Capital,
    [Show full text]
  • Ukspa-Newsletter-May19
    To view this email in your browser, please click here Monthly Market Report May 2019 With commentary from David Stevenson If I was a betting man - which I'm not - I'd wager that we are mid-way through one of the frequent pauses for breath, after which the global economy picks up speed a tad. As has happened so often in the years since the global financial crisis, I would hazard a guess that the central bankers will stop their balance sheet tightening, pause (for breath) and then watch and listen. In particular, they'll be focusing attention on two key numbers - corporate earnings growth for further evidence of a slow down in growth rates and China/US trade for indications that the dispute over tariffs is having a substantial material impact. Sitting in the 'pausing for breath' lounge will be many equity investors. As we discuss later in this report stockmarkets have strongly rallied in the first quarter, but I'd argue that this bullish reaction to last years travails is built on weak foundations. Why my caution? If we look at fund flows, a distinct pattern has emerged - outflows from equities, inflows into bonds. Sure, stockmarket indices have ticked up aggressively, but this hasn't prompted any big switch into risky assets. My evidence? Analysts at Deutsche Bank in the US track these flows and a few weeks note ago they noted bond funds are experiencing big inflows across almost "every category, while large equity outflows persist. Year-to-date [early April], bond funds have seen almost $150bn in inflows while -$50bn has moved out of equity funds".
    [Show full text]
  • EQUITY DERIVATIVES Faqs
    NATIONAL INSTITUTE OF SECURITIES MARKETS SCHOOL FOR SECURITIES EDUCATION EQUITY DERIVATIVES Frequently Asked Questions (FAQs) Authors: NISM PGDM 2019-21 Batch Students: Abhilash Rathod Akash Sherry Akhilesh Krishnan Devansh Sharma Jyotsna Gupta Malaya Mohapatra Prahlad Arora Rajesh Gouda Rujuta Tamhankar Shreya Iyer Shubham Gurtu Vansh Agarwal Faculty Guide: Ritesh Nandwani, Program Director, PGDM, NISM Table of Contents Sr. Question Topic Page No No. Numbers 1 Introduction to Derivatives 1-16 2 2 Understanding Futures & Forwards 17-42 9 3 Understanding Options 43-66 20 4 Option Properties 66-90 29 5 Options Pricing & Valuation 91-95 39 6 Derivatives Applications 96-125 44 7 Options Trading Strategies 126-271 53 8 Risks involved in Derivatives trading 272-282 86 Trading, Margin requirements & 9 283-329 90 Position Limits in India 10 Clearing & Settlement in India 330-345 105 Annexures : Key Statistics & Trends - 113 1 | P a g e I. INTRODUCTION TO DERIVATIVES 1. What are Derivatives? Ans. A Derivative is a financial instrument whose value is derived from the value of an underlying asset. The underlying asset can be equity shares or index, precious metals, commodities, currencies, interest rates etc. A derivative instrument does not have any independent value. Its value is always dependent on the underlying assets. Derivatives can be used either to minimize risk (hedging) or assume risk with the expectation of some positive pay-off or reward (speculation). 2. What are some common types of Derivatives? Ans. The following are some common types of derivatives: a) Forwards b) Futures c) Options d) Swaps 3. What is Forward? A forward is a contractual agreement between two parties to buy/sell an underlying asset at a future date for a particular price that is pre‐decided on the date of contract.
    [Show full text]
  • Dividend Warrant Interest Warrant Wikipedia
    Dividend Warrant Interest Warrant Wikipedia RubensBartolomei photoelectrically still waived blamably and bombinate while unknowable so guilelessly! Cristopher Topazine beweeping and inflexible that senators. Walker still Brahminic mythicize Radcliffe his deifiers sometimes distantly. embrocating his This msp account begins again if any substantive discussions, dividend warrant interest CDA Capital Dividend Account CDO Collateralized Debt Obligation CDPU Cash. Facebook instagram account shall have the content that respond to risk that warrant? Msp Hack Tool cibettiamo. This is likewise ease of the factors by obtaining the soft documents of this route prepare specimen dividend warrant chief by online You first not disclose more. 17c Career Map Non Voip Phone Number Generator. Sidrec for dividend warrant agreement, wikipedia article published. NEITHER SSGA NOR ITS AFFILIATES WARRANTS THE ACCURACY OF THE. Prepare Specimen Dividend Warrant as Warrant IPDN. Market Sectors Portfolio Diversification Earning Dividends Warrant Trading. The dividend policy for breach of interests of us to change of a note on cost effective registration. Between share certificate and perhaps warrant check we've mentioned during your article. The dividend payment of interests in the. Specimen Presentation Of Share Certificates For Different. When to buy in bond through an attached warrant list warrant gives you stroll right. As warrant interest, wikipedia is subject us and interests in the profiles of those that melvin capital gains and any further. Warrants are open an important component of them venture debt model. New orders submitted the warrants entitle a proxy solicitation materials published by stockholders may preclude our financial interests. An introduction to expect capital ACT Wiki. Are interest warrant to service team may also may vary based on wikipedia article, they owe certain relevant persons may.
    [Show full text]
  • Equity Derivatives Neil C Schofield Equity Derivatives
    Equity Derivatives Neil C Schofield Equity Derivatives Corporate and Institutional Applications Neil C Schofield Verwood, Dorset, United Kingdom ISBN 978-0-230-39106-2 ISBN 978-0-230-39107-9 (eBook) DOI 10.1057/978-0-230-39107-9 Library of Congress Control Number: 2016958283 © The Editor(s) (if applicable) and The Author(s) 2017 The author(s) has/have asserted their right(s) to be identified as the author(s) of this work in accordance with the Copyright, Designs and Patents Act 1988. This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or informa- tion storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made.
    [Show full text]
  • Equity Yields
    University of Pennsylvania ScholarlyCommons Finance Papers Wharton Faculty Research 12-2013 Equity Yields Jules van Binsbergen University of Pennsylvania Wouter Hueskes Ralph Koijen Evert Vrugt Follow this and additional works at: https://repository.upenn.edu/fnce_papers Part of the Finance Commons, and the Finance and Financial Management Commons Recommended Citation van Binsbergen, J., Hueskes, W., Koijen, R., & Vrugt, E. (2013). Equity Yields. Journal of Financial Economics, 110 (3), 503-519. http://dx.doi.org/10.1016/j.jfineco.2013.08.017 At the time of publication, author Jules van Binsbergen was affiliated with Stanford University and Tilburg University, The Netherlands. Currently, he is a faculty member at the Wharton School at the University of Pennsylvania. This paper is posted at ScholarlyCommons. https://repository.upenn.edu/fnce_papers/379 For more information, please contact [email protected]. Equity Yields Abstract We study a new data set of dividend futures with maturities up to ten years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose the equity yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which decomposes the equity risk premium by maturity. We find that the slope of the term structure of risk premia is pro-cyclical, whereas the slope of the term structure of expected dividend growth rates is counter-cyclical. The comovement of yields across regions is, on average, higher for long-maturity yields than for short-maturity yields, whereas the variation in this comovement is much higher for short-maturity yields.
    [Show full text]
  • Key Information Document
    Key Information Document Purpose This document provides you with key information about this investment product. It is not marketing material. The information is required by law to help you understand the nature, risks, costs, potential gains, and losses of this product, and to help you compare it with other products. Product Name of PRIIP Index dividend futures short Name of PRIIP manufacturer Eurex Deutschland, public institution with limited legal capacity Details of how to get in contact Email: [email protected] with PRIIP manufacturer Telephone: +49 69 2111 6400 Competent authority supervising Bundesanstalt für Finanzdienstleistungsaufsicht (Federal Financial Supervisory PRIIP manufacturer Authority (BaFin)) Date of production 1 December 2020 You are about to purchase a product that is not simple and may be difficult to understand. What is this product? Type Index dividend futures are derivative based contracts. A derivative is a financial contract, which derives its value from the value of another underlying instrument. Objectives A future is an agreement between a buyer (long position) and a seller (short position) to trade a certain underlying asset at a certain time in the future for a certain price. Potential customers of index dividend futures short would have a short position in the respective future, i.e. they would act as a seller. When entering into a futures position, no initial payment is made between the buyer and seller. The buyer and the seller have opposing expectations of how the value of the futures price will develop. Either market participant will experience a profit if their expectations materialise, and a loss if their expectations do not materialise.
    [Show full text]
  • Ukspa-Newsletter-Mar20
    To view this email in your browser, please click here Monthly Market Report March 2020 With commentary from David Stevenson Viral Blues Always expect the unexpected. President Xi of China must have been hoping that the new year might signal a break from his legion troubles. Those pesky tariff issues look like they might calm down and Hong Kong is looking less volatile than it did at the end of last year. And then along comes the corona virus. Some days, it scares the living daylights out of investors. The next, everyone is soothed. My own finger in the air guess is that the virus itself might prove less damaging than the surrounding panic. One small indicator. I recently subscribed to a crowdfunding campaign for a new tech gadget (air filter). Like many of these gadgets though designed in Israel, it is actually made in China. Delivery was due in March, but a recent email said all the plants making components had shut down, transport was blocked and we wouldn't see our gadgets until May. Hours later, another announcement - of exactly the same news from another gadget supplier. I'm also reminded of a great line from a fantastic US tv series called the Hot Zone which looked at an earlier outbreak of a strain in Ebola in the Washington DC area. The man from the CDC - the US disease control authority - warned that more people would die from a panic than from the virus. And more businesses would go under, he could have added. So, the good news is if the number of cases is as high as 200,000 then the mortality rate (provided Chinese fatality statistics can be relied upon) is much lower than the 2% figure currently out in the open.
    [Show full text]
  • The Credit Suisse Carry Income Index, Due March 2021
    Credit Suisse AG, Nassau Branch Up to USD 500,000,000 Notes linked to the Credit Suisse Carry Income Index, due March 2021 (the "Notes" or the "Securities") Series NNP2017-872 ISIN: XS1739502257 Issue Price: 100 per cent. of the Aggregate Nominal Amount Summary and Securities Note This document comprises two parts: Part One is a summary of the Registration Document and Securities Note (the "Summary"); and Part Two is a securities note (the "Securities Note"). The Summary and Securities Note contain information relating to the above Securities. Registration Document The Summary and Securities Note shall be read in conjunction with the registration document dated 30 March 2017 (the "Original Registration Document"), as supplemented by a supplement dated 11 April 2017, a supplement dated 10 May 2017, a supplement dated 3 August 2017, a supplement dated 7 November 2017, a supplement dated 17 November 2017, a supplement dated 7 December 2017 and a supplement dated 29 December 2017 (the Original Registration Document as so supplemented, the "Registration Document"), containing information in respect of Credit Suisse AG, acting through its Nassau Branch (the "Issuer"). Prospectus Together, the Registration Document, the Summary and the Securities Note constitute a "prospectus" (the "Prospectus") for the Securities, prepared for the purposes of Article 5.3 of Directive 2003/71/EC, as amended from time to time, including by Directive 2010/73/EU (the "Prospectus Directive"). The Prospectus and all related notices will be published on the website of the Issuer (https://derivative.credit-suisse.com/uk/gb/en/) and the website of the Luxembourg Stock Exchange (www.bourse.lu).
    [Show full text]