options, and related derivative contracts provide payoffs that depend on the values of
other variables, such as commodity prices, bond and stock prices, interest rates, or market index
values. For this reason, these instruments sometimes are called derivative assets: Their values
derive from the values of other assets. We discuss derivative assets in detail in Part Five.
Options
A call option gives its holder the right to purchase an asset for a specified price, called the
exercise or strike price, on or before some specified expiration date. A September call option
on Microsoft stock with exercise price $140, for example, entitles its owner to purchase
Microsoft stock for a price of $140 at any time up to and including the option’s expiration date
in September. Each option contract is for the purchase of 100 shares, with quotations made
on a per-share basis. The holder of the call is not required to exercise the option; it will make
sense to exercise only if the market value of the asset exceeds the exercise price.
When the market price exceeds the exercise price, the option holder may “call away” the
asset for the exercise price and reap a benefit equal to the difference between the stock price
and the exercise price. Otherwise, the option will be left unexercised. If not exercised before
the expiration date, the option expires and no longer has value. Calls, therefore, provide
greater profits when stock prices increase and so represent bullish investment vehicles.
In contrast, a put option gives its holder the right to sell an asset for a specified exercise
price on or before a specified expiration date. A September put on Microsoft with exercise
price $140 entitles its owner to sell Microsoft stock to the put writer at a price of $140 at any
time before expiration in September even if the market price of Microsoft is lower than $140.
derivative asset
A security with a payoff that
depends on the prices of other
securities.
call option
The right to buy an asset at a
specified exercise price on or
before a specified expiration
date.
put option
The right to sell an asset at a
specified exercise price on or
before a specified expiration
date.
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Whereas profits on call options increase when the asset increases in value, profits on put
options increase when the asset value falls. The put is exercised only if its holder can deliver
an asset worth less than the exercise price in return for the exercise price.
Figure 2.10 presents prices of Microsoft options on September 4, 2019. The price of Microsoft
shares on this date was $137.49. The first two columns give the expiration date and exercise
(or strike) price for each option. We have included listings for call and put options with exercise
prices of $130, $135, and $140 per share and with expiration dates in September and November.
For example, the September 27 expiration call option to purchase one share of Microsoft at
an exercise price of $135 last traded at $4.82. Each option contract (on 100 shares) therefore
costs $482.
Notice that the prices of call options decrease as the exercise price increases. For example,
the September expiration call with exercise price $140 costs only $1.99. This makes sense
because the right to purchase a share at a higher price is less valuable. Conversely, put prices
increase with the exercise price. The right to sell Microsoft at a price of $135 in September
costs $2.17, while the right to sell at $140 costs $4.35.
Option prices also increase with time until expiration. Clearly, one would rather have the
right to buy Microsoft for $135 at any time until November rather than at any time until
September. Not surprisingly, this shows up in a higher price for the longer expiration options.
For example, the call with exercise price $135 expiring on November 15 sells for $8.12,
compared to only $4.82 for the September 27 expiration call.
What is the profit or loss per share of stock to an investor who buys the September expiration
Microsoft call option with exercise price $130, if the stock price at the expiration of the option
is $140? What about a purchaser of the put option with the same exercise price and expiration?
CONCEPT
check 2.6
FIGURE 2.10
Stock options on
Microsoft, September 4, 2019
Note: Microsoft stock price
on this day was $137.49.
Source: Compiled from data
downloaded from Yahoo!
Finance.
Expiration Strike Call Put
27-Sep-2019 130 8.65 1.03
27-Sep-2019 135 4.82 2.17
27-Sep-2019 140 1.99 4.35
15-Nov-2019 130 11.50 3.55
15-Nov-2019 135 8.12 5.15
15-Nov-2019 140 5.32 7.40
概括
期权及相关衍生合约的收益取决于其他变量的价值，如商品价格、债券和股票价格、利率或市场指数值。因此，这些工具有时被称为衍生资产，其价值源自其他资产的价值。
看涨期权赋予持有人在指定到期日或之前以特定价格（称为执行价或行权价）购买资产的权利。例如，微软股票的9月看涨期权，执行价为140美元，允许持有人在9月到期日或之前以140美元的价格购买微软股票。每份期权合约对应100股，报价以每股为基础。持有人无需行使期权，仅当资产市价高于执行价时行使才有意义。此时，持有人可以按执行价“买入”资产，获得股价与执行价之差的收益。否则，期权将不被行使，到期后失效。看涨期权在股价上涨时带来更高利润，属于看涨投资工具。
相反，看跌期权赋予持有人在到期日或之前以特定执行价出售资产的权利。例如，微软股票的9月看跌期权，执行价为140美元，允许持有人在9月到期前以140美元的价格向期权卖方出售微软股票，即使市价低于140美元。看跌期权在资产价值下跌时收益增加，仅当资产价值低于执行价时才会被行使。
2019年9月4日，微软股价为137.49美元。期权价格显示，执行价越高，看涨期权价格越低（如9月到期、执行价140美元的看涨期权价格为1.99美元），而看跌期权价格越高（如9月到期、执行价135美元的看跌期权价格为2.17美元，140美元的为4.35美元）。此外，到期时间越长，期权价格越高（如11月到期的执行价135美元看涨期权价格为8.12美元，高于9月到期的4.82美元）。
