SlideShare ist ein Scribd-Unternehmen logo
1 von 55
Downloaden Sie, um offline zu lesen
DERIVATIVES
DERIVATIVES ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
TYPES OF DERIVATIVES ,[object Object],[object Object],[object Object]
[object Object],Forward Contract
Risk in Forward Contract ,[object Object],[object Object],[object Object],[object Object],[object Object]
It involves an obligation on both the parties i.e the buyer and the seller to fulfill the terms of the contract (i.e. these are pre-determined contracts entered today for a date in the future) ,[object Object],[object Object],[object Object],[object Object],[object Object],FUTURES CONTRACT
Very high Liquidity as contracts are standardized contracts. Poor Liquidity as contracts are tailor made contracts Liquidation Better; as fragmented markets are brought to the common platform. Poor; as markets are fragmented.  Profile Price Discovery Exists, but assumed by Clearing Corporation/ house Exists. Counterparty Risk Contracts are standardized contracts. Differs from trade to trade.  Contract Specifications Traded on exchange.  Not traded on exchange  Operational Mechanism  Futures Forward  Features
OPTIONS ,[object Object],[object Object],[object Object],[object Object],[object Object]
Classification of Option ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Option  Jargons S = Spot price  K = Strike price   S > K 2800 > 2700 S = K 2800 = 2800 S < K 2800 < 2900 PUT S < K 2800 < 2900 S = K 2800 = 2800 S > K 2800 > 2700 CALL Out -the-Money (OTM) At-the-Money (ATM) In-the-Money (ITM) Infosys (2800)
  INTRINSIC   VALUE TIME  VALUE ,[object Object],[object Object],[object Object],[object Object],[object Object],OPTION PREMIUM
[object Object],[object Object],[object Object],[object Object],[object Object],ATM ITM OTM Time value Reduces Time value Reduces
Eg.  Stock ONGC   (-30)  or  0 11 (1200-1230)  = 11 OTM 1200 1230 CA 25/01/2006  OPTSTK 0 24 (1200-1200)  = 24 ATM 1200 1200 CA 25/01/2006  OPTSTK 7 (1200-1170) = 30 37 ITM 1200 1170 CA 25/01/2006  OPTSTK     TIME VALUE INTRINSIC VALUE PREMIUM TYPE OF OPTION SPOT STRIKE CALL /  PUT EXPIRY TYPE
PARTICIPANTS ,[object Object],[object Object],[object Object]
FUTURES STRATEGIES   ,[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],TECHNICAL INDICATORS
Predicting the F&O markets based on Open Interest movements ,[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
Derivatives’ Strategies Calculation of Historical Volatility 1.    Measure the day-to-day price changes in the market: Calculate the natural log of the ratio (R t  ) of a stock’s price (S) from the  current day (t) to the previous day (t-1): 2.  Calculate the Average daily price change (R m ) for a period of time (n) 3.  “Average Variance” from the mean is calculated which is the historical volatility
Derivatives’ Strategies ,[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object]
Derivatives’ Strategies ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
FUTURES ARBITRAGE ,[object Object],[object Object],[object Object]
1) Cash and Carry Arbitrage Expiry Date Act. Yield (%)* Fut. Price Cash Price Scrip Reversal Date 31-08-2006 14.87 1128.75 1128.61 Reliance 28-08-2006 31-08-2006 13.01 1002.45 992.61 Reliance 07-08-2006 Expiry Date Exp. Yield (%) * Fut. Price Cash Price Scrip Execution Date
2) Reverse Cash and Carry Arbitrage Expiry Date Exp. Yield (%) * Fut. Price Cash Price Scrip Reversal Date 31-08-2006 529.84 528.23 Wipro 30-08-2006 31-08-2006 477.17 483.43 Wipro 25-07-2006 Expiry Date Exp. Yield (%) * Fut. Price Cash Price Scrip Execution Date
[object Object],[object Object],[object Object],[object Object],INDEX ARBITRAGE
[object Object],[object Object],[object Object],[object Object],[object Object],PROCESS
[object Object],[object Object],[object Object]
121 NIFTY CONTRACTS : DEPLOYMENT Rs. 16,940,000 Rs. 96,800,000 Total 48,400,000*20% = Rs. 9,680,000 Rs. 48,400,000  Due to Perfect Hedge strategy. Stock Futures 48,400,000*15% = Rs. 7,260,000 4,000*12,100 =  Rs. 48,400,000 Nifty Futures (currently @ 4,000) Margin Deployment Contract Value Instrument
RETURNS ,[object Object],[object Object],[object Object],[object Object],10%-12% Low Risk Index Arbitrage Expected Returns Risk Category Strategy
RISKS ,[object Object],[object Object]
MANAGING RISKS ,[object Object],[object Object]
HEDGING ,[object Object],[object Object],[object Object],[object Object]
PORTFOLIO HEDGING ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
OPTIONS STRATEGIES ,[object Object],[object Object],[object Object]
HEDGING STRATEGIES ,[object Object],[object Object],[object Object],[object Object],18 1200 Call Reliance Sell - - Stock @ 1150 Reliance Buy Premium Strike Price Type Stock Buy/Sells
Payoff Diagram: 1150 1200 Short Call Long Stock Hedge position 1142 1218
[object Object],[object Object],[object Object],[object Object],22 500 Put Century Text Buy - - Stock @ 505 Century Text Buy Premium Strike Price Type Stock Buy/Sell
Payoff Diagram: Long Put Long Stock Hedged Position 505 500 555
DIRECTIONAL SPREADS ,[object Object],[object Object],[object Object],[object Object],11 540 Call (OTM) Tata Steel Sell 17 520 Call (ATM) Tata Steel Buy Premium Strike Price Type Stock Buy/Sell
Payoff Diagram:  520 540 551 537 Long call Short call Hedged position Stock price Profit Loss 0 14 -6
[object Object],[object Object],[object Object],[object Object],18 1110 Put (OTM) ONGC Sell 28 1140 Put (ATM) ONGC Buy Premium Strike Price Type Stock Buy/Sell
Payoff Diagram: Long put Short put Hedged position Stock price 1128 1168 1140 1110 Profit Loss 0 20 -10
VOLATILITY SPREAD ,[object Object],[object Object],[object Object],[object Object],58 1800 Put (ATM) Infosys Buy 70 1800 Call (ATM) Infosys Buy Premium Strike Price Type Stock Buy/Sell
Payoff Diagram: 1672 Hedged position Long Call Long put Profit Loss 1800 1928
[object Object],[object Object],[object Object],[object Object],[object Object],19 780 Put (OTM) Satyam Buy 29 820 Call (OTM) Satyam Buy Premium Strike Price Type Stock Buy/Sell
Payoff Diagram: 780 820 868 732 Long Put Long Call Hedged position Profit Loss
DERIVATIVES’ GREEKS ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
DERIVATIVES REPORT ,[object Object],[object Object],[object Object],[object Object],[object Object]
MIB (Smart Net) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object]

Weitere ähnliche Inhalte

Was ist angesagt?

Trading order types
Trading order typesTrading order types
Trading order typesDeltastock
 
Financial derivatives ppt
Financial derivatives pptFinancial derivatives ppt
Financial derivatives pptVaishnaviSavant
 
QNBFS Daily Technical Trader Qatar - January 09, 2022 التحليل الفني اليومي لب...
QNBFS Daily Technical Trader Qatar - January 09, 2022 التحليل الفني اليومي لب...QNBFS Daily Technical Trader Qatar - January 09, 2022 التحليل الفني اليومي لب...
QNBFS Daily Technical Trader Qatar - January 09, 2022 التحليل الفني اليومي لب...QNB Group
 
QNBFS Daily Technical Trader Qatar - November 01, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 01, 2020 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - November 01, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 01, 2020 التحليل الفني اليومي ل...QNB Group
 
Short hedge and Long hedge
Short hedge and Long hedgeShort hedge and Long hedge
Short hedge and Long hedgeabisek123
 
QNBFS Daily Technical Trader Qatar - November 08, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 08, 2020 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - November 08, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 08, 2020 التحليل الفني اليومي ل...QNB Group
 
QNBFS Daily Technical Trader - Qatar for February 25, 2018 التحليل الفني اليو...
QNBFS Daily Technical Trader - Qatar for February 25, 2018 التحليل الفني اليو...QNBFS Daily Technical Trader - Qatar for February 25, 2018 التحليل الفني اليو...
QNBFS Daily Technical Trader - Qatar for February 25, 2018 التحليل الفني اليو...Aicha El-Mamy
 
QNBFS Daily Technical Trader Qatar - July 14, 2021 التحليل الفني اليومي لبورص...
QNBFS Daily Technical Trader Qatar - July 14, 2021 التحليل الفني اليومي لبورص...QNBFS Daily Technical Trader Qatar - July 14, 2021 التحليل الفني اليومي لبورص...
QNBFS Daily Technical Trader Qatar - July 14, 2021 التحليل الفني اليومي لبورص...QNB Group
 
QNBFS Daily Technical Trader Qatar - December 30, 2021 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - December 30, 2021 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - December 30, 2021 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - December 30, 2021 التحليل الفني اليومي ل...QNB Group
 
cash future forward market
cash future forward marketcash future forward market
cash future forward marketTanvi Pagare
 
RMIT Vietnam Finance Club - Online Stock Trading Workshop
RMIT Vietnam Finance Club - Online Stock Trading WorkshopRMIT Vietnam Finance Club - Online Stock Trading Workshop
RMIT Vietnam Finance Club - Online Stock Trading WorkshopTai Tran
 
RMIT Vietnam - Risk Management - Options
RMIT Vietnam - Risk Management - OptionsRMIT Vietnam - Risk Management - Options
RMIT Vietnam - Risk Management - OptionsTai Tran
 
QNBFS Daily Technical Trader Qatar - November 23, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 23, 2020 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - November 23, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 23, 2020 التحليل الفني اليومي ل...QNB Group
 
QNBFS Daily Technical Trader Qatar - April 02, 2020 التحليل الفني اليومي لبور...
QNBFS Daily Technical Trader Qatar - April 02, 2020 التحليل الفني اليومي لبور...QNBFS Daily Technical Trader Qatar - April 02, 2020 التحليل الفني اليومي لبور...
QNBFS Daily Technical Trader Qatar - April 02, 2020 التحليل الفني اليومي لبور...QNB Group
 
QNBFS Daily Technical Trader - Qatar for August 02 2018 التحليل الفني اليومي ...
QNBFS Daily Technical Trader - Qatar for August 02 2018 التحليل الفني اليومي ...QNBFS Daily Technical Trader - Qatar for August 02 2018 التحليل الفني اليومي ...
QNBFS Daily Technical Trader - Qatar for August 02 2018 التحليل الفني اليومي ...QNB Group
 
QNBFS Daily Technical Trader Qatar - November 28, 2021 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 28, 2021 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - November 28, 2021 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 28, 2021 التحليل الفني اليومي ل...QNB Group
 
Senior Project [Hien Truong, 4204745]
Senior Project [Hien Truong, 4204745]Senior Project [Hien Truong, 4204745]
Senior Project [Hien Truong, 4204745]Hien Truong
 

Was ist angesagt? (20)

Futures and swaps
Futures and swapsFutures and swaps
Futures and swaps
 
Financial derivatives
Financial derivativesFinancial derivatives
Financial derivatives
 
Trading order types
Trading order typesTrading order types
Trading order types
 
Derivatives
DerivativesDerivatives
Derivatives
 
Financial derivatives ppt
Financial derivatives pptFinancial derivatives ppt
Financial derivatives ppt
 
QNBFS Daily Technical Trader Qatar - January 09, 2022 التحليل الفني اليومي لب...
QNBFS Daily Technical Trader Qatar - January 09, 2022 التحليل الفني اليومي لب...QNBFS Daily Technical Trader Qatar - January 09, 2022 التحليل الفني اليومي لب...
QNBFS Daily Technical Trader Qatar - January 09, 2022 التحليل الفني اليومي لب...
 
QNBFS Daily Technical Trader Qatar - November 01, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 01, 2020 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - November 01, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 01, 2020 التحليل الفني اليومي ل...
 
Short hedge and Long hedge
Short hedge and Long hedgeShort hedge and Long hedge
Short hedge and Long hedge
 
QNBFS Daily Technical Trader Qatar - November 08, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 08, 2020 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - November 08, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 08, 2020 التحليل الفني اليومي ل...
 
QNBFS Daily Technical Trader - Qatar for February 25, 2018 التحليل الفني اليو...
QNBFS Daily Technical Trader - Qatar for February 25, 2018 التحليل الفني اليو...QNBFS Daily Technical Trader - Qatar for February 25, 2018 التحليل الفني اليو...
QNBFS Daily Technical Trader - Qatar for February 25, 2018 التحليل الفني اليو...
 
QNBFS Daily Technical Trader Qatar - July 14, 2021 التحليل الفني اليومي لبورص...
QNBFS Daily Technical Trader Qatar - July 14, 2021 التحليل الفني اليومي لبورص...QNBFS Daily Technical Trader Qatar - July 14, 2021 التحليل الفني اليومي لبورص...
QNBFS Daily Technical Trader Qatar - July 14, 2021 التحليل الفني اليومي لبورص...
 
QNBFS Daily Technical Trader Qatar - December 30, 2021 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - December 30, 2021 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - December 30, 2021 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - December 30, 2021 التحليل الفني اليومي ل...
 
cash future forward market
cash future forward marketcash future forward market
cash future forward market
 
RMIT Vietnam Finance Club - Online Stock Trading Workshop
RMIT Vietnam Finance Club - Online Stock Trading WorkshopRMIT Vietnam Finance Club - Online Stock Trading Workshop
RMIT Vietnam Finance Club - Online Stock Trading Workshop
 
RMIT Vietnam - Risk Management - Options
RMIT Vietnam - Risk Management - OptionsRMIT Vietnam - Risk Management - Options
RMIT Vietnam - Risk Management - Options
 
QNBFS Daily Technical Trader Qatar - November 23, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 23, 2020 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - November 23, 2020 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 23, 2020 التحليل الفني اليومي ل...
 
QNBFS Daily Technical Trader Qatar - April 02, 2020 التحليل الفني اليومي لبور...
QNBFS Daily Technical Trader Qatar - April 02, 2020 التحليل الفني اليومي لبور...QNBFS Daily Technical Trader Qatar - April 02, 2020 التحليل الفني اليومي لبور...
QNBFS Daily Technical Trader Qatar - April 02, 2020 التحليل الفني اليومي لبور...
 
QNBFS Daily Technical Trader - Qatar for August 02 2018 التحليل الفني اليومي ...
QNBFS Daily Technical Trader - Qatar for August 02 2018 التحليل الفني اليومي ...QNBFS Daily Technical Trader - Qatar for August 02 2018 التحليل الفني اليومي ...
QNBFS Daily Technical Trader - Qatar for August 02 2018 التحليل الفني اليومي ...
 
QNBFS Daily Technical Trader Qatar - November 28, 2021 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 28, 2021 التحليل الفني اليومي ل...QNBFS Daily Technical Trader Qatar - November 28, 2021 التحليل الفني اليومي ل...
QNBFS Daily Technical Trader Qatar - November 28, 2021 التحليل الفني اليومي ل...
 
Senior Project [Hien Truong, 4204745]
Senior Project [Hien Truong, 4204745]Senior Project [Hien Truong, 4204745]
Senior Project [Hien Truong, 4204745]
 

Ähnlich wie Derivatives

Derivatives in Capital Market
Derivatives in Capital MarketDerivatives in Capital Market
Derivatives in Capital MarketSyed Irshad Ali
 
Financial derivatives
Financial derivativesFinancial derivatives
Financial derivativesmittali1503
 
Derivatives lecture1& 2-introduction
Derivatives lecture1& 2-introductionDerivatives lecture1& 2-introduction
Derivatives lecture1& 2-introductioniipmff2
 
Future advance level and hedging
Future advance level and hedgingFuture advance level and hedging
Future advance level and hedgingNilay Mishra
 
Futures - Forex Management Chapter II - Part II
Futures - Forex Management Chapter II - Part IIFutures - Forex Management Chapter II - Part II
Futures - Forex Management Chapter II - Part IISwaminath Sam
 
Final derivatives
Final derivativesFinal derivatives
Final derivativesabhisdream
 
PPT Financial Derivatives, Scope and Importance
PPT Financial Derivatives, Scope and ImportancePPT Financial Derivatives, Scope and Importance
PPT Financial Derivatives, Scope and ImportanceMalkeetSingh85
 
Derivatives
Derivatives Derivatives
Derivatives 09kj051
 
Nuts And Bolts Of Derivatives.Pdf
Nuts And Bolts Of Derivatives.PdfNuts And Bolts Of Derivatives.Pdf
Nuts And Bolts Of Derivatives.PdfPankaj Gulati
 
CFM-Introduction to futures markets
CFM-Introduction to futures marketsCFM-Introduction to futures markets
CFM-Introduction to futures marketsMD SALMAN ANJUM
 

Ähnlich wie Derivatives (20)

Derivatives
DerivativesDerivatives
Derivatives
 
Guide to Financial Derivatives
Guide to Financial DerivativesGuide to Financial Derivatives
Guide to Financial Derivatives
 
Derivatives in Capital Market
Derivatives in Capital MarketDerivatives in Capital Market
Derivatives in Capital Market
 
Derivatives
DerivativesDerivatives
Derivatives
 
Derivatives Handbook
Derivatives HandbookDerivatives Handbook
Derivatives Handbook
 
Derivatives
DerivativesDerivatives
Derivatives
 
Financial derivatives
Financial derivativesFinancial derivatives
Financial derivatives
 
Derivatives lecture1& 2-introduction
Derivatives lecture1& 2-introductionDerivatives lecture1& 2-introduction
Derivatives lecture1& 2-introduction
 
Future advance level and hedging
Future advance level and hedgingFuture advance level and hedging
Future advance level and hedging
 
Derivatives
DerivativesDerivatives
Derivatives
 
Futures - Forex Management Chapter II - Part II
Futures - Forex Management Chapter II - Part IIFutures - Forex Management Chapter II - Part II
Futures - Forex Management Chapter II - Part II
 
Final derivatives
Final derivativesFinal derivatives
Final derivatives
 
Finance
FinanceFinance
Finance
 
PPT Financial Derivatives, Scope and Importance
PPT Financial Derivatives, Scope and ImportancePPT Financial Derivatives, Scope and Importance
PPT Financial Derivatives, Scope and Importance
 
Derivatives
DerivativesDerivatives
Derivatives
 
Derivatives
DerivativesDerivatives
Derivatives
 
Derivatives
Derivatives Derivatives
Derivatives
 
Nuts And Bolts Of Derivatives.Pdf
Nuts And Bolts Of Derivatives.PdfNuts And Bolts Of Derivatives.Pdf
Nuts And Bolts Of Derivatives.Pdf
 
CFM-Introduction to futures markets
CFM-Introduction to futures marketsCFM-Introduction to futures markets
CFM-Introduction to futures markets
 
Derivatives
DerivativesDerivatives
Derivatives
 

Mehr von Dayasagar S

International Business
International BusinessInternational Business
International BusinessDayasagar S
 
Leverages Problems
Leverages ProblemsLeverages Problems
Leverages ProblemsDayasagar S
 
Working Capital Management
Working Capital ManagementWorking Capital Management
Working Capital ManagementDayasagar S
 
Dividend Decisions
Dividend DecisionsDividend Decisions
Dividend DecisionsDayasagar S
 
Capital Structure
Capital StructureCapital Structure
Capital StructureDayasagar S
 
Capital Budgeting
Capital BudgetingCapital Budgeting
Capital BudgetingDayasagar S
 
Capital Structure
Capital StructureCapital Structure
Capital StructureDayasagar S
 
Exempted Incomes1
Exempted Incomes1Exempted Incomes1
Exempted Incomes1Dayasagar S
 
Exempted Incomes
Exempted IncomesExempted Incomes
Exempted IncomesDayasagar S
 
Deutsche Bank Derivaties
Deutsche Bank DerivatiesDeutsche Bank Derivaties
Deutsche Bank DerivatiesDayasagar S
 
Merger,Acquisition And Corporate Restructuring
Merger,Acquisition And Corporate RestructuringMerger,Acquisition And Corporate Restructuring
Merger,Acquisition And Corporate RestructuringDayasagar S
 
Forex Market Ppt
Forex Market PptForex Market Ppt
Forex Market PptDayasagar S
 

Mehr von Dayasagar S (20)

IBE Q n A
IBE Q n AIBE Q n A
IBE Q n A
 
International Business
International BusinessInternational Business
International Business
 
Leverages Problems
Leverages ProblemsLeverages Problems
Leverages Problems
 
Working Capital Management
Working Capital ManagementWorking Capital Management
Working Capital Management
 
Fm Intro.
Fm Intro.Fm Intro.
Fm Intro.
 
Fm Decisions
Fm DecisionsFm Decisions
Fm Decisions
 
Dividend Policy
Dividend PolicyDividend Policy
Dividend Policy
 
Dividend Decisions
Dividend DecisionsDividend Decisions
Dividend Decisions
 
Capital Structure
Capital StructureCapital Structure
Capital Structure
 
Capital Budgeting
Capital BudgetingCapital Budgeting
Capital Budgeting
 
Capital Structure
Capital StructureCapital Structure
Capital Structure
 
Bonus Shares
Bonus SharesBonus Shares
Bonus Shares
 
Exempted Incomes1
Exempted Incomes1Exempted Incomes1
Exempted Incomes1
 
Exempted Incomes
Exempted IncomesExempted Incomes
Exempted Incomes
 
Income Tax
Income TaxIncome Tax
Income Tax
 
Deutsche Bank Derivaties
Deutsche Bank DerivatiesDeutsche Bank Derivaties
Deutsche Bank Derivaties
 
Carbon Credits
Carbon CreditsCarbon Credits
Carbon Credits
 
Merger,Acquisition And Corporate Restructuring
Merger,Acquisition And Corporate RestructuringMerger,Acquisition And Corporate Restructuring
Merger,Acquisition And Corporate Restructuring
 
It Aa(Sections)
It Aa(Sections)It Aa(Sections)
It Aa(Sections)
 
Forex Market Ppt
Forex Market PptForex Market Ppt
Forex Market Ppt
 

Kürzlich hochgeladen

Contracts with Interdependent Preferences
Contracts with Interdependent PreferencesContracts with Interdependent Preferences
Contracts with Interdependent PreferencesGRAPE
 
Buy and Sell Urban Tots unlisted shares.pptx
Buy and Sell Urban Tots unlisted shares.pptxBuy and Sell Urban Tots unlisted shares.pptx
Buy and Sell Urban Tots unlisted shares.pptxPrecize Formely Leadoff
 
Remembering my Totem _Unity is Strength_ growing in Bophuthatswana_Matthews B...
Remembering my Totem _Unity is Strength_ growing in Bophuthatswana_Matthews B...Remembering my Totem _Unity is Strength_ growing in Bophuthatswana_Matthews B...
Remembering my Totem _Unity is Strength_ growing in Bophuthatswana_Matthews B...Matthews Bantsijang
 
Solution manual for Intermediate Accounting, 11th Edition by David Spiceland...
Solution manual for  Intermediate Accounting, 11th Edition by David Spiceland...Solution manual for  Intermediate Accounting, 11th Edition by David Spiceland...
Solution manual for Intermediate Accounting, 11th Edition by David Spiceland...mwangimwangi222
 
2024.03 Strategic Resources Presentation
2024.03 Strategic Resources Presentation2024.03 Strategic Resources Presentation
2024.03 Strategic Resources PresentationAdnet Communications
 
Mphasis - Schwab Newsletter PDF - Sample 8707
Mphasis - Schwab Newsletter PDF - Sample 8707Mphasis - Schwab Newsletter PDF - Sample 8707
Mphasis - Schwab Newsletter PDF - Sample 8707harshan90
 
20240314 Calibre March 2024 Investor Presentation (FINAL).pdf
20240314 Calibre March 2024 Investor Presentation (FINAL).pdf20240314 Calibre March 2024 Investor Presentation (FINAL).pdf
20240314 Calibre March 2024 Investor Presentation (FINAL).pdfAdnet Communications
 
Taipei, A Hidden Jewel in East Asia - PR Strategy for Tourism
Taipei, A Hidden Jewel in East Asia - PR Strategy for TourismTaipei, A Hidden Jewel in East Asia - PR Strategy for Tourism
Taipei, A Hidden Jewel in East Asia - PR Strategy for TourismBrian Lin
 
ACCOUNTING FOR BUSINESS.II DEPARTMENTAL ACCOUNTS.
ACCOUNTING FOR BUSINESS.II DEPARTMENTAL ACCOUNTS.ACCOUNTING FOR BUSINESS.II DEPARTMENTAL ACCOUNTS.
ACCOUNTING FOR BUSINESS.II DEPARTMENTAL ACCOUNTS.KumarJayaraman3
 
LIC PRIVATISATION its a bane or boon.pptx
LIC PRIVATISATION its a bane or boon.pptxLIC PRIVATISATION its a bane or boon.pptx
LIC PRIVATISATION its a bane or boon.pptxsonamyadav7097
 
Monthly Market Risk Update: March 2024 [SlideShare]
Monthly Market Risk Update: March 2024 [SlideShare]Monthly Market Risk Update: March 2024 [SlideShare]
Monthly Market Risk Update: March 2024 [SlideShare]Commonwealth
 
ACCOUNTING FOR BUSINESS.II BRANCH ACCOUNTS NOTES
ACCOUNTING FOR BUSINESS.II BRANCH ACCOUNTS NOTESACCOUNTING FOR BUSINESS.II BRANCH ACCOUNTS NOTES
ACCOUNTING FOR BUSINESS.II BRANCH ACCOUNTS NOTESKumarJayaraman3
 
The Power Laws of Bitcoin: How can an S-curve be a power law?
The Power Laws of Bitcoin: How can an S-curve be a power law?The Power Laws of Bitcoin: How can an S-curve be a power law?
The Power Laws of Bitcoin: How can an S-curve be a power law?Stephen Perrenod
 
Slideshare - ONS Economic Forum Slidepack - 18 March 2024.pptx
Slideshare - ONS Economic Forum Slidepack - 18 March 2024.pptxSlideshare - ONS Economic Forum Slidepack - 18 March 2024.pptx
Slideshare - ONS Economic Forum Slidepack - 18 March 2024.pptxOffice for National Statistics
 
India Economic Survey Complete for the year of 2022 to 2023
India Economic Survey Complete for the year of 2022 to 2023India Economic Survey Complete for the year of 2022 to 2023
India Economic Survey Complete for the year of 2022 to 2023SkillCircle
 
MARKET FAILURE SITUATION IN THE ECONOMY.
MARKET FAILURE SITUATION IN THE ECONOMY.MARKET FAILURE SITUATION IN THE ECONOMY.
MARKET FAILURE SITUATION IN THE ECONOMY.Arifa Saeed
 
Sarlat Advisory - Corporate Brochure - 2024
Sarlat Advisory - Corporate Brochure - 2024Sarlat Advisory - Corporate Brochure - 2024
Sarlat Advisory - Corporate Brochure - 2024Guillaume Ⓥ Sarlat
 

Kürzlich hochgeladen (20)

Contracts with Interdependent Preferences
Contracts with Interdependent PreferencesContracts with Interdependent Preferences
Contracts with Interdependent Preferences
 
Buy and Sell Urban Tots unlisted shares.pptx
Buy and Sell Urban Tots unlisted shares.pptxBuy and Sell Urban Tots unlisted shares.pptx
Buy and Sell Urban Tots unlisted shares.pptx
 
Remembering my Totem _Unity is Strength_ growing in Bophuthatswana_Matthews B...
Remembering my Totem _Unity is Strength_ growing in Bophuthatswana_Matthews B...Remembering my Totem _Unity is Strength_ growing in Bophuthatswana_Matthews B...
Remembering my Totem _Unity is Strength_ growing in Bophuthatswana_Matthews B...
 
Solution manual for Intermediate Accounting, 11th Edition by David Spiceland...
Solution manual for  Intermediate Accounting, 11th Edition by David Spiceland...Solution manual for  Intermediate Accounting, 11th Edition by David Spiceland...
Solution manual for Intermediate Accounting, 11th Edition by David Spiceland...
 
Effects & Policies Of Bank Consolidation
Effects & Policies Of Bank ConsolidationEffects & Policies Of Bank Consolidation
Effects & Policies Of Bank Consolidation
 
2024.03 Strategic Resources Presentation
2024.03 Strategic Resources Presentation2024.03 Strategic Resources Presentation
2024.03 Strategic Resources Presentation
 
Mphasis - Schwab Newsletter PDF - Sample 8707
Mphasis - Schwab Newsletter PDF - Sample 8707Mphasis - Schwab Newsletter PDF - Sample 8707
Mphasis - Schwab Newsletter PDF - Sample 8707
 
20240314 Calibre March 2024 Investor Presentation (FINAL).pdf
20240314 Calibre March 2024 Investor Presentation (FINAL).pdf20240314 Calibre March 2024 Investor Presentation (FINAL).pdf
20240314 Calibre March 2024 Investor Presentation (FINAL).pdf
 
Taipei, A Hidden Jewel in East Asia - PR Strategy for Tourism
Taipei, A Hidden Jewel in East Asia - PR Strategy for TourismTaipei, A Hidden Jewel in East Asia - PR Strategy for Tourism
Taipei, A Hidden Jewel in East Asia - PR Strategy for Tourism
 
Commercial Bank Economic Capsule - March 2024
Commercial Bank Economic Capsule - March 2024Commercial Bank Economic Capsule - March 2024
Commercial Bank Economic Capsule - March 2024
 
ACCOUNTING FOR BUSINESS.II DEPARTMENTAL ACCOUNTS.
ACCOUNTING FOR BUSINESS.II DEPARTMENTAL ACCOUNTS.ACCOUNTING FOR BUSINESS.II DEPARTMENTAL ACCOUNTS.
ACCOUNTING FOR BUSINESS.II DEPARTMENTAL ACCOUNTS.
 
LIC PRIVATISATION its a bane or boon.pptx
LIC PRIVATISATION its a bane or boon.pptxLIC PRIVATISATION its a bane or boon.pptx
LIC PRIVATISATION its a bane or boon.pptx
 
Monthly Market Risk Update: March 2024 [SlideShare]
Monthly Market Risk Update: March 2024 [SlideShare]Monthly Market Risk Update: March 2024 [SlideShare]
Monthly Market Risk Update: March 2024 [SlideShare]
 
ACCOUNTING FOR BUSINESS.II BRANCH ACCOUNTS NOTES
ACCOUNTING FOR BUSINESS.II BRANCH ACCOUNTS NOTESACCOUNTING FOR BUSINESS.II BRANCH ACCOUNTS NOTES
ACCOUNTING FOR BUSINESS.II BRANCH ACCOUNTS NOTES
 
The Power Laws of Bitcoin: How can an S-curve be a power law?
The Power Laws of Bitcoin: How can an S-curve be a power law?The Power Laws of Bitcoin: How can an S-curve be a power law?
The Power Laws of Bitcoin: How can an S-curve be a power law?
 
Slideshare - ONS Economic Forum Slidepack - 18 March 2024.pptx
Slideshare - ONS Economic Forum Slidepack - 18 March 2024.pptxSlideshare - ONS Economic Forum Slidepack - 18 March 2024.pptx
Slideshare - ONS Economic Forum Slidepack - 18 March 2024.pptx
 
Monthly Economic Monitoring of Ukraine No.230, March 2024
Monthly Economic Monitoring of Ukraine No.230, March 2024Monthly Economic Monitoring of Ukraine No.230, March 2024
Monthly Economic Monitoring of Ukraine No.230, March 2024
 
India Economic Survey Complete for the year of 2022 to 2023
India Economic Survey Complete for the year of 2022 to 2023India Economic Survey Complete for the year of 2022 to 2023
India Economic Survey Complete for the year of 2022 to 2023
 
MARKET FAILURE SITUATION IN THE ECONOMY.
MARKET FAILURE SITUATION IN THE ECONOMY.MARKET FAILURE SITUATION IN THE ECONOMY.
MARKET FAILURE SITUATION IN THE ECONOMY.
 
Sarlat Advisory - Corporate Brochure - 2024
Sarlat Advisory - Corporate Brochure - 2024Sarlat Advisory - Corporate Brochure - 2024
Sarlat Advisory - Corporate Brochure - 2024
 

Derivatives

  • 2.
  • 3.
  • 4.
  • 5.
  • 6.
  • 7. Very high Liquidity as contracts are standardized contracts. Poor Liquidity as contracts are tailor made contracts Liquidation Better; as fragmented markets are brought to the common platform. Poor; as markets are fragmented. Profile Price Discovery Exists, but assumed by Clearing Corporation/ house Exists. Counterparty Risk Contracts are standardized contracts. Differs from trade to trade. Contract Specifications Traded on exchange. Not traded on exchange Operational Mechanism Futures Forward Features
  • 8.
  • 9.
  • 10. Option Jargons S = Spot price K = Strike price S > K 2800 > 2700 S = K 2800 = 2800 S < K 2800 < 2900 PUT S < K 2800 < 2900 S = K 2800 = 2800 S > K 2800 > 2700 CALL Out -the-Money (OTM) At-the-Money (ATM) In-the-Money (ITM) Infosys (2800)
  • 11.
  • 12.
  • 13. Eg. Stock ONGC (-30) or 0 11 (1200-1230) = 11 OTM 1200 1230 CA 25/01/2006 OPTSTK 0 24 (1200-1200)  = 24 ATM 1200 1200 CA 25/01/2006 OPTSTK 7 (1200-1170) = 30 37 ITM 1200 1170 CA 25/01/2006 OPTSTK     TIME VALUE INTRINSIC VALUE PREMIUM TYPE OF OPTION SPOT STRIKE CALL / PUT EXPIRY TYPE
  • 14.
  • 15.
  • 16.
  • 17.
  • 18.
  • 19.
  • 20.
  • 21. Derivatives’ Strategies Calculation of Historical Volatility 1.   Measure the day-to-day price changes in the market: Calculate the natural log of the ratio (R t ) of a stock’s price (S) from the current day (t) to the previous day (t-1): 2. Calculate the Average daily price change (R m ) for a period of time (n) 3. “Average Variance” from the mean is calculated which is the historical volatility
  • 22.
  • 23.
  • 24.
  • 25.
  • 26. 1) Cash and Carry Arbitrage Expiry Date Act. Yield (%)* Fut. Price Cash Price Scrip Reversal Date 31-08-2006 14.87 1128.75 1128.61 Reliance 28-08-2006 31-08-2006 13.01 1002.45 992.61 Reliance 07-08-2006 Expiry Date Exp. Yield (%) * Fut. Price Cash Price Scrip Execution Date
  • 27. 2) Reverse Cash and Carry Arbitrage Expiry Date Exp. Yield (%) * Fut. Price Cash Price Scrip Reversal Date 31-08-2006 529.84 528.23 Wipro 30-08-2006 31-08-2006 477.17 483.43 Wipro 25-07-2006 Expiry Date Exp. Yield (%) * Fut. Price Cash Price Scrip Execution Date
  • 28.
  • 29.
  • 30.
  • 31. 121 NIFTY CONTRACTS : DEPLOYMENT Rs. 16,940,000 Rs. 96,800,000 Total 48,400,000*20% = Rs. 9,680,000 Rs. 48,400,000 Due to Perfect Hedge strategy. Stock Futures 48,400,000*15% = Rs. 7,260,000 4,000*12,100 = Rs. 48,400,000 Nifty Futures (currently @ 4,000) Margin Deployment Contract Value Instrument
  • 32.
  • 33.
  • 34.
  • 35.
  • 36.
  • 37.
  • 38.
  • 39. Payoff Diagram: 1150 1200 Short Call Long Stock Hedge position 1142 1218
  • 40.
  • 41. Payoff Diagram: Long Put Long Stock Hedged Position 505 500 555
  • 42.
  • 43. Payoff Diagram: 520 540 551 537 Long call Short call Hedged position Stock price Profit Loss 0 14 -6
  • 44.
  • 45. Payoff Diagram: Long put Short put Hedged position Stock price 1128 1168 1140 1110 Profit Loss 0 20 -10
  • 46.
  • 47. Payoff Diagram: 1672 Hedged position Long Call Long put Profit Loss 1800 1928
  • 48.
  • 49. Payoff Diagram: 780 820 868 732 Long Put Long Call Hedged position Profit Loss
  • 50.
  • 51.
  • 52.
  • 53.
  • 54.
  • 55.