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KIKO 손해배상 소송 法, "은행, 키코 피해 기 업에 60~70% 배상" http: //www. youtube. com/watch? v=Nn 0 qvy 3 I 55 Q http: //www. youtube. com/watch? v=98 z. UZSs Tjeg 3
수출입 동향 http: //www. youtube. com/watch? v=Mw 9 YMR 1 F 8 p 0 7
무역과 외환시장 규모 BIS 2010년 4월 자료(Central Bank Survey) • 8
옵션 알기옵션의 정의(Definition) 사거나 팔 수 있는 권리 l특정금액의 기초자산(underlying assets) l정해진 가격에(Exercise price)=실행가격 l정해진 기간( 날자)내에 • a fixed amount of underlying commodity • against a fixed price • until a fixed future date • 13
옵션의 매수자 (Buyer) 매수자(Buyer) 특정자산을 팔거나 살수 있는 권리만 있고 의무는 없다. l정해진 금액 l정해진 가격(=Exercise Price) l정해진 기간(특정 날자)에 ◦ The buyer has the right but no obligation to buy or sell on asset for a specified amount at a fixed price, at a fixed date or during a fixed period of time • 14
롱 옵션의 수익구조 (Vanilla) fig. 1) long call fig. 2) long put P/L Strike Price 0 0 Price • 15
옵션의 매도자(Seller) 매도자(seller) l 매수자가 옵션을 행사해 올 때 l 특정사산의 정해진 금액을 l 정해진 가격에 l 사거나 팔아 주어야 할 의무만 있다. ◦ The seller, in case the buyer exercises his right has the obligation to sell or buy the asset for a specified amount at a fixed rate • 16
숏 옵션의 수익구조(Vanilla) fig. 3) short call fig. 4) short put P/L Price 0 Strike Price • 17
통화옵션 종류 l콜 옵션= 특정 통화를 살 수 있는 권리 l 풋 옵션= 특정 통화를 팔 수 있는 권리 l 실행가격(Strike or Exercise Price) l 유럽식 : 만기 날자 에만 행사가능 l 미국식: 만기이전에 언제든지 행사가능 call = right to buy a currency put = right to sell a currency Strike or Exercise price Rule of exercise European : only an maturity date American : at any time until maturity date • 18
<참고> 옵션가격을 결정하는 요소들 · · · 실행 가격 스팟 가격 이자율차이 옵션기간 옵션스타일-풋 /콜 · 변동성 · · exercise price Premium spot rate interest rate differential · option period · · · option style put/call volatility Model 프리미엄 Black-Scholes formula ( E-style) amended by Garman -Kohl Hagen Cox-Ross Rubinstein • 19
<참고>스트래들(Straddle) fig. 5) long straddle fig. 6) short straddle P/L Price 0 Strike 0 Price • 20
<참고>스트랭글 (Strangle) fig. 7) long strangle fig/8) short strangle P/L 0 P/L Put Strike Call Strike Price 0 Price Put Strike Call Strike • 21
<참고>옵션의 시간가치 소멸 Acceleration of time decay as expiration approaches n Time decay is based on the ratio of the square roots of time Assuming identical strikes & volatilities: time value n 3 1 0 time remaining until expiration(mths) to estimate the value of 1 -month option from a 4 -month option with a known value of 120, divide the square root 1 by the square root of 4 multiplied by the value of the 4 month option premium. [ 1 -month = 60 ] • 24
낙 아웃 콜 옵션(K-O-Call) u u Pay-off expire when the barrier rate has not been breached P/L Pay-off expire when the barrier rate has been breached P/L Barrier Strike 0 Spot • 26
낙 아웃 콜 옵션(R-K-O-Call) u u Pay-off expire when the barrier rate has not been breached P/L Pay-off expire when the barrier rate has been breached P/L Barrier Strike 0 Spot • 27
낙 아웃 풋 옵션 (K-O-Put) u u Pay-off expiry when the barrier rate has not been breached Pay-off expiry when the barrier rate has been breached P/L Barrier Strike Spot 0 0 Spot • 28
낙 아웃 풋 옵션(R-KO-PUT) Pay-off expiry when the barrier rate has been breached 배리어를 아래로 치는 순간 옵션은 사라 진다. 즉 돈이 될만하면 권리 없어진 다 u Pay-off expiry when the barrier rate has not been breached 환율이 아래 배리어를 치기 전까지 옵 션이 살아있다 u P/L Barrier(890) Strike 0 Strike Spot 0 • 29
배리어(Barrier)옵션 II 낙인 (Knock In)옵션 l옵션을 살 때는 옵션이 존재하기 않는다 l만약 스팟 이 배리어(Barrier)를 치게 되 면 옵션은 살아난다 l배리어(Barrier)를 치는 순간 즉시 옵션이 살아난다 Knock-in Options - Up & In Option ( R-K-I ) - Down & In Option ( K-I ) 1. The option does not “exist” when purchased 2. The option knocks-in if the spot rate breaches the barrier rate 3. When the option knocks-in it is immediately a vanilla option • 30
낙인 콜 옵션 ( K-I-Call ) u u Pay-off expiry when the barrier rate has not been breached P/L Barrier Strike 0 Pay-off expiry when the barrier rate has been breached Spot Strike 0 Spot • 31
낙인 콜 옵션 ( R-K-I-Call ) u u u ( fig. 30 ) Pay-off expiry when the barrier rate has not been breached 환율이 배리어를 치기전까지는 옵션 이 죽어 있는 상태다 P/L u u Pay-off expiry when the barrier rate has been breached 환율이 배리어를 치는 순간 죽었던 옵 션이 살아난다. P/L Barrier(1010) Strike 0 0 Spot • 32
낙 인 풋 옵션 (K-I-Put) u u Pay-off expiry when the barrier rate has not been breached Pay-off expiry when the barrier rate has been breached P/L Barrier Strike Spot 0 0 Spot • 33
낙 인 풋 옵션 (R-K-I-Put) u u (fig. 30 -4) Pay-off expiry when the barrier rate has not been breached P/L u P/L Barrier Strike 0 Pay-off expiry when the barrier rate has been breached Spot Strike Spot 0 • 34
낙 인 풋 옵션 (R-K-I-Put) u u Pay-off expiry when the barrier rate has not been breached Pay-off expiry when the barrier rate has been breached P/L Barrier Strike Spot 0 0 Spot • 35
<참고> 더블 배리어 Knock-In Call Option u u ( fig. 32) Pay-off expiry when the barrier rate has not been breached u Pay-off expiry when the barrier rate has been breached P/L Barrier Strike 0 0 Spot • 36
낙 아웃 풋 옵션(R-KO-PUT) u u Pay-off expiry when the barrier rate has not been breached P/L Barrier(890) Strike 0 Pay-off expiry when the barrier rate has been breached Strike Spot 0 • 41
낙인 콜 옵션 ( R-K-I-Call ) u u ( fig. 30 ) Pay-off expiry when the barrier rate has not been breached P/L u Pay-off expiry when the barrier rate has been breached P/L Barrier(1010) Strike 0 0 Spot • 42
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