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L.S RAHEJA COLLEGE OF ARTS AND COMMERCE
JUHU ROAD, SANTACRUZ (W), MUMBAI 400 054
PROJECT REPORT ON
OPTION TRADING STRATEGIES
SUBMITTED BY HARSHIT SHAH
IN PARTIAL FULFILLMENT OF THE REQUIREMENT OF
T.Y.B.COM (FINANCIAL MARKETS)
SEMESTER V
PROJECT GUIDE
PROF. GOVIND SOWANI
UNIVERSITY OF MUMBAI
2011 2012
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DECLARATION
I hereby declare that I have successfully completed the project on Option
trading strategies for the academic year 2011-2012. The project is done under
the guidance of Prof. Govind Sowani and is submitted in the partial fulfillment of
the requirements for the award of the degree of Bachelor of Commerce
(Financial Markets)
The information provided in the project is true and to the best of my knowledge.
Signature of the Student
Harshit Shah
Roll No: 42
T.Y.B. Com (Financial Markets)
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CERTIFICATE
This is to certify that Mr.Harshit Shah student of TY-B.Com (Financial Markets)
Semester V of L. S. Raheja College of Arts & Commerce has successfullycompleted the project on Option Trading Strategies under the guidance of
Prof. Govind Sowani for the academic year 2011-2012.
Course Co-ordinator Principal
(Prof. Abdul Kadir Khan)
College Seal
Project Guide External Guide
(Prof. Govind Sowani)
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ACKNOWLEDGEMENT
When a student ventures any avenue of learning he/she embarks upon a
mission of exploration. The inception of this project report draws upon the
contribution of many individuals. First and Foremost, I would like to express my
heartfelt thanks to Prof. Govind Sowani for taking Keen interest and timely help
in spite of his tight working schedule, who provided me with all his supports in
order to make this effort possible and effective.
I would be failing in my duty if I do not acknowledge with a deep sense of
gratitude and sacrifices made by my parents and thus have helped me in
completing the project work successfully. I would also like to thank to all who
provided me all the necessary support and who took interest in providing me all
the necessary information that I required for the making of my study successful.
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Executive Summary
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The last two decades have witnessed a phenomenal growth in trade and industry theworld over. Gone are the days when capital used to remain within the boundaries of
nations. In this era of globalisation and liberalization, technology, capital and other
sources are not only crossing the borders of nations, but are also increasing the
volume of international trade. The rapidity with which the concepts of corporate
finance, bank finance and investment finance have changed in recent years has given
birth to new financial products known as Derivative Instruments. As the name
suggests, derivative instruments are financial instruments whose value is derived
from an underlying asset or securities such as foreign exchange (forex), treasury bills
(T-Bills), bonds, shares, share indices and commodities.
In recent times, there are different types of derivatives which are evolved, vis--vis,
Equity derivatives, Commodity derivatives, Currency derivatives, Energy derivatives,
Weather Derivatives, etc.
Derivatives can be traded on:-
i. Over-the-counter (OTC) market
ii. Exchanges.
Derivatives - Overview
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i. Those that are traded on the floor of an exchange, such as Futures and
Options.
ii. Those that are traded over-the-counter (OTC), such as Forwards, Options and
Swaps.
The main differences between these two types of derivatives instruments are in
counterparty risk and liquidity. While exchange traded instruments do not carry any
counterparty risk, OTC instruments do. Further, in exchange traded instruments, one
can exit at any time at the prevailing rate because these instruments are quoted
regularly on the exchange. OTC instruments do not carry such liquidity; they can be
terminated only at the disadvantage of the holder.
i. Forwards Contracts:-
A forward contract is a contract between two parties to buy or sell an asset at a
certain future date for a certain price that is pre-decided on the date of the contract.
The future date is referred to as expiry date and the pre-decided price is referred to
Derivatives
Forwards Futures Options Swaps Warrants Baskets
Types of Derivatives
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as Forward Price. It may be noted that forwards are private contracts and their terms
are determined by the parties involved, i.e., they are customized.
ii. Futures Contracts:-
A futures contract is an agreement between a seller and a buyer which requires the
seller to deliver to the buyer a specified quantity of security, commodity or forex at a
fixed time in the future, at a price agreed to at the time of entering into the contract.
A futures contract is a exchange traded contract, i.e., they are standardized contract.
iii. Options Contracts:-
An Options is a contract between two parties in which one party has the right, but
not the obligation to buy / sell some underlying assets. Options are deferred delivery
contracts that give the buyer the right, but not the obligation, to buy / sell a specified
commodity or security at a set price on or before a specified future date.
iv. Swaps:-
Swaps are derivatives where counterparties to exchange cash flows or other variables
associated with different investments. Many times a swap will occur because one
party has a comparative advantage in one area such as borrowing funds under
variable interest rates, while another party can borrower more freely as the fixed
rate. . A "plain vanilla" swap is a term used for the simplest variation of a swap. There
are many different types of swaps, but three common ones are: Commodity swaps,
Interest Rate Swaps & Currency Swaps.
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v. Warrants:-
Options generally have lives up to one year, the majority of options traded on option
exchanges having a maximum maturity of nine months. Longer dated options are
called warrants and are generally traded over-the-counter.
vi. Baskets:-
Basket options are options on portfolios of underlying assets. The underlying asset is
usually a moving average or a basket of assets. E.g.:- Nifty Index.
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1. Price Volatility
A price is what one pays to acquire or use something of value. The concept of price is
clear to almost everybody when we discuss commodities. There is a price to be paid
for the purchase of food grain, oil, petrol, metal, etc. the price one pays for use of a
unit of another personsmoney is called interest rate. And the price one pays in ones
own currency for a unit of another currency is called as an exchange rate.
Prices are generally determined by market forces. In a market, consumers have
demand and producers or suppliers have supply, and the collective interaction of
demand and supply in the market determines the price. These factors are constantly
interacting in the market causing changes in the price over a short period of time.
Such changes in the price are known as price volatility.
Greater Price volatility after the break-downof Bretton Woods System.Price Volatility
Helps to hedge the risk faced in othercountries.
Globalization ofMarkets
Resulted in fast transmission of informationwhich affected the market price.
TechnologicalAdvances
Lead to the development of Black-Scholesoption pricing model.
Advances in Financialtheories
Factors Contributing to growth of Derivatives
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The changes in demand and supply influencing factors culminate in market
adjustments through price changes. These price changes expose individuals,
producing firms and governments to significant risks. The break-down of the
BRETTON WOODS agreement brought an end to the stabilizing role of fixed exchange
rates and the gold convertibility of the dollars. The globalization of the markets and
rapid industrialization of many underdeveloped countries brought a new scale and
dimension to the markets.
This price volatility risk pushed the use of derivatives like futures and options
increasingly as these instruments can be used as hedge to protect against adverse
price changes in commodity, foreign exchange, equity shares and bonds.
2. Globalization of the Markets
Earlier, managers had to deal with domestic economic concerns; what happened in
other part of the world was mostly irrelevant. Now globalization has increased the
size of markets and as greatly enhanced competition .it has benefited consumers who
cannot obtain better quality goods at a lower cost. It has also exposed the modern
business to significant risks and, in many cases, led to cut profit margins
In Indian context, South East Asian currencies crisis of 1997 had affected the
competitiveness of our products vis--vis depreciated currencies. Export of certain
goods from India declined because of this crisis. Steel industry in 1998 suffered its
worst set back due to cheap import of steel from south East Asian countries.
Suddenly blue chip companies had turned in to red. Thus, it is evident that
globalization of industrial and financial activities necessitates use of derivatives to
guard against future losses. This factor alone has contributed to the growth of
derivatives to a significant extent.
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3. Technological Advances
A significant growth of derivative instruments has been driven by technological
break-through. Advances in this area include the development of high speed
processors, network systems and enhanced method of data entry. Closely related to
advances in computer technology are advances in telecommunications. Improvement
in communications allow for instantaneous worldwide conferencing, Data
transmission by satellite. At the same time there were significant advances in
software programmed without which computer and telecommunication advances
would be meaningless. These facilitated the more rapid movement of information
and consequently its instantaneous impact on market price.
Although price sensitivity to market forces is beneficial to the economy as a whole
resources are rapidly relocated to more productive use and better rationed overtime
the greater price volatility exposes producers and consumers to greater price risk.
Derivatives can help a firm manage the price risk inherent in a market economy.
4. Advances in Financial Theories
Advances in financial theories gave birth to derivatives. Initially forward contracts in
its traditional form, was the only hedging tool available. Option pricing models
developed by Black and Scholes in 1973 were used to determine prices of call and put
options. The work of economic theorists gave rise to new products for risk
management which led to the growth of derivatives in financial markets.
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An option is a contract written by a seller that conveys to the buyer the right, but
not the obligation to buy (in the case of a call option) or to sell (in the case of a
put option) a particular asset, at a particular price (Strike price / Exercise price) in
future. In return for granting the option, the seller collects a payment (the
premium) from the buyer. Exchange traded options form an important class of
options which have standardized contract features and trade on public
exchanges, facilitating trading among large number of investors. They provide
settlement guarantee by the Clearing Corporation thereby reducing counterparty
risk. Options can be used for hedging, taking a view on the future direction of the
market, for arbitrage or for implementing strategies which can help in generating
income for investors under various market conditions.
The power ofoptions lies in their versatility. They enable you to adapt or adjust your
position according to any situation that arises. Options can be as speculative or as
conservative as you want. This means you can do everything from protecting a
position from a decline to outright betting on the movement of a market or index.
In India, Options can be played on stocks or indices.
NOTE: - There are no index options in BSE. Whereas, both stock and index options
can be played on NSE.
Introduction to O tions
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Options are basically of two types:-
A)Call Option
i. Long Call
ii. Short Call
B)Put Option
i. Long Put
ii. Short Put
Bullish Options:-
i. Long Call
ii. Short Put
Bearish Options:-
i. Short Call
ii. Long Put
T es o O tions
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Call option: A call option gives the holder the right but not the obligation to buy an
asset at a certain date for a certain price.
Put option: A put option gives the holder the right but not the obligation to sell an
asset by a certain date for a certain price.
Index options: These options have the index as the underlying. In India, they have a
European style settlement. E.g. Nifty options, Mini Nifty options, etc.
Stock options: Stock options are options on individual stocks. A stock option contract
gives the holder the right to buy or sell the underlying shares at the specified price.
They have an American style settlement.
Buyer of an option: The buyer of an option is the one who by paying the option
premium buys the right but not the obligation to exercise his option on the
seller/writer.
Writer / seller of an option: The writer / seller of a call / put option is the one who
receives the option premium and is thereby obliged to sell/buy the asset if the buyer
exercises on him.
Option price/premium: Option price is the price which the option buyer pays to the
option seller. It is also referred to as the option premium.
Options Lingo
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Expiration date: The date specified in the options contract is known as the expiration
date, the exercise date, the strike date or the maturity.
Strike price: The price specified in the options contract is known as the strike price or
exercise price.
American options: American options are options that can be exercised at any time up
to the expiration date.
European options: European options are options that can be exercised only on the
expiration date itself.
In-the-money option: An in-the-money (ITM) option is an option that would lead to a
positive cash-flow to the holder if it were exercised immediately. A call option on the
index is said to be in-the-money when the current index stands at a level higher than
the strike price (i.e. spot price > strike price). If the index is much higher than the
strike price, the call is said to be deep ITM. In the case of a put, the put is ITM if the
index is below the strike price.
At-the-money option: An at-the-money (ATM) option is an option that would lead to
zero cash-flow if it were exercised immediately. An option on the index is at-the-
money when the current index equals the strike price (i.e. spot price = strike price).
Out-of-the-money option: An out-of-the-money (OTM) option is an option that
would lead to a negative cash-flow if it were exercised immediately. A call option on
the index is out-of-the-money when the current index stands at a level which is less
than the strike price (i.e. spot price < strike price). If the index is much lower than the
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strike price, the call is said to be deep OTM. In the case of a put, the put is OTM if the
index is above the strike price.
Intrinsic value of an option: The option premium can be broken down into two
components - intrinsic value and time value. The intrinsic value of a call is the amount
the option is ITM, if it is ITM. If the call is OTM, its intrinsic value is zero. Putting it
another way, the intrinsic value of a call is Max [0, (St K)] which means the intrinsic
value of a call is the greater of 0 or (St K). Similarly, the intrinsic value of a put is
Max [0, K St], i.e. the greater of 0 or (K St). K is the strike price and St is the spot
price.
Time value of an option: The time value of an option is the difference between its
premium and its intrinsic value. Both calls and puts have time value. An option that is
OTM or ATM has only time value. Usually, the maximum time value exists when the
option is ATM. The longer the time to expiration, the greater is an option's time
value, all else equal.
Practically,
Option Premium = Intrinsic Value + Time Value
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The optionality characteristic of options results in a non-linear payoff for options. In
simple words, it means that the losses for the buyer of an option are limited;
however the profits are potentially unlimited. For a writer (seller), the payoff is
exactly the opposite. His profits are limited to the option premium; however his
losses are potentially unlimited. These nonlinear payoffs are fascinating as they lendthemselves to be used to generate various payoffs by using combinations of options
and the underlying. We look here at the six basic payoffs (pay close attention to
these pay-offs, since all the strategies are derived out of these basic payoffs).
Payoff profile of buyer of asset: Long asset
In this basic position, an investor buys the underlying asset, ABC Ltd. shares for
instance, for `2220, and sells it at a future date at an unknown price, St. Once it is
purchased, the investor is said to be "long" the asset. The following figure shows the
payoff for a long position on ABC Ltd.
Payoff for investor who went Long ABC Ltd. at `2220
The figure shows the profits/losses from a long position on ABC Ltd. The investor
bought ABC Ltd. at `2220. If the share price goes up, he profits. If the share price falls
he loses.
Options Pay-off
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Payoff profile for seller of asset: Short asset
In this basic position, an investor shorts the underlying asset, ABC Ltd. shares for
instance, for `2220, and buys it back at a future date at an unknown price, St. Once it
is sold, the investor is said to be "short" the asset. The following figure shows the
payoff for a short position on ABC Ltd.
Payoff for investor who went Short ABC Ltd. at `2220
The figure shows the profits/losses from a short position on ABC Ltd... The investor
sold ABC Ltd. at `2220. If the share price falls, he profits. If the share price rises, he
loses.
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Payoff profile for buyer of call options: Long call
A call option gives the buyer the right to buy the underlying asset at the strike price
specified in the option. The profit/loss that the buyer makes on the option depends
on the spot price of the underlying. If upon expiration, the spot price exceeds the
strike price, he makes a profit. Higher the spot price more is the profit he makes. If
the spot price of the underlying is less than the strike price, he lets his option expire
un-exercised. His loss in this case is the premium he paid for buying the option. The
below diagram gives the payoff for the buyer of a three month call option (often
referred to as long call) with a strike of`2250 bought at a premium of`86.60.
Payoff for buyer of call option
The figure shows the profits/losses for the buyer of a three-month Nifty 2250 call
option. As can be seen, as the spot Nifty rises, the call option is in-the-money. If upon
expiration, Nifty closes above the strike of`2250, the buyer would exercise his option
and profit to the extent of the difference between the Nifty-close and the strike price.
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The profits possible on this option are potentially unlimited. However if Nifty falls
below the strike of `2250, he lets the option expire. His losses are limited to the
extent of the premium he paid for buying the option.
Payoff profile for writer (seller) of call options: Short call
A call option gives the buyer the right to buy the underlying asset at the strike price
specified in the option. For selling the option, the writer of the option charges a
premium.
The profit/loss that the buyer makes on the option depends on the spot price of the
underlying. Whatever is the buyer's profit is the seller's loss. If upon expiration, the
spot price exceeds the strike price, the buyer will exercise the option on the writer.
Hence as the spot price increases the writer of the option starts making losses. Higher
the spot price more is the loss he makes. If upon expiration the spot price of the
underlying is less than the strike price, the buyer lets his option expire un-exercised
and the writer gets to keep the premium. The below diagram gives the payoff for the
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writer of a three month call option (often referred to as short call) with a strike of
`2250 sold at a premium of `86.60
Payoff for writer of call option
The figure shows the profits/losses for the seller of a three-month Nifty 2250 call
option. As the spot Nifty rises, the call option is in-the-money and the writer starts
making losses. If upon expiration, Nifty closes above the strike of `2250, the buyer
would exercise his option on the writer who would suffer a loss to the extent of thedifference between the Nifty-close and the strike price. The loss that can be incurred
by the writer of the option is potentially unlimited, whereas the maximum profit is
limited to the extent of the up-front option premium of`86.60 charged by him.
Payoff profile for buyer of put options: Long put
A put option gives the buyer the right to sell the underlying asset at the strike price
specified in the option. The profit/loss that the buyer makes on the option depends
on the spot price of the underlying. If upon expiration, the spot price is below the
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strike price, he makes a profit. Lower the spot price more is the profit he makes. His
loss in this case is the premium he paid for buying the option. The below diagram
gives the payoff for the buyer of a three month put option (often referred to as long
put) with a strike of`2250 bought at a premium of`61.70.
Payoff for buyer of put option
The figure shows the profits/losses for the buyer of a three-month Nifty 2250 put
option. As can be seen, as the spot Nifty falls, the put option is in-the-money. If upon
expiration, Nifty closes below the strike of`
2250; the buyer would exercise his option
and profit to the extent of the difference between the strike price and Nifty-close.
The profits possible on this option can be as high as the strike price. However if Nifty
rises above the strike of`2250, he lets the option expire. His losses are limited to the
extent of the premium he paid for buying the option.
Payoff profile for writer (seller) of put options: Short put
A put option gives the buyer the right to sell the underlying asset at the strike price
specified in the option. For selling the option, the writer of the option charges a
premium.
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The below diagram gives the payoff for the writer of a three month put option (often
referred to as short put) with a strike of`2250 sold at a premium of`61.70.
Payoff for writer of put option
The figure shows the profits/losses for the seller of a three-month Nifty 2250 put
option. As the spot Nifty falls, the put option is in-the-money and the writer starts
making losses. If Nifty closes below the strike of `2250, the buyer would exercise his
option on the writer who would suffer a loss to the extent of the difference between
the strike price and Nifty close.
The loss that can be incurred by the writer of the option is a maximum extent of the
strike price whereas the maximum profit is limited to the extent of the up-front
option premium of`61.70 charged by him.
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OPTIONS
STRATEGIES
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Strategy 1: LONG CALL
For aggressive investors who are very bullish about the prospects for a stock /
index, buying calls can be an excellent way to capture the upside potential with
limiteddownsiderisk.
Example:
Mr. XYZ is bullish on Nifty on 24th June, when the Nifty is
at 4191. He buys a call options with a strike price of
`4600 at a premium of `36, expiring on 31st
July. If the
Nifty goes above 4636, Mr. XYZ will make a net profit
(after deducting the premium) on exercising the option.
In case the Nifty stays at or falls below 4600, he can
forego the option (it will expire worthless) with a
maximum loss of the premium.
Strategy : Buy Call Option
Current Nifty index 4191
Call Option Strike Price (`) 4600
Mr. XYZ Pays Premium (`) 36
Break Even Point(`) (Strike Price
+ Premium)
4636
Buying a Call Option is
the basic of all Option
strategies. It is an easy
strategy to understand.
When you buy a Call
Option it means you
expect the stock / index
to rise in the future.
When to Use: Investor
is very aggressive and
he is very bullish aboutthe stock/ index.
Risk: Limited to the
premium paid.
Reward: Unlimited
Break-even Point:
Strike Price + Premium.
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The payoff schedule:-
The payoff profile:-
-50
0
50
100
150
4000 4300 4636 4700 4900
Long Call
Nifty Profit
This strategy limits the downside risk to theextent of premium paid. But the potentialreturn is unlimited in case of rise in Nifty. Along call option is the simplest way tobenefit if you believe that the market willmake an upward move. As the stock price /index rises, the long Call moves into profitmore and more quickly.
Analysis
On expiry Nifty closes at Net payoff from Call option(`)
4100 -36
4300 -36
4500 -36
4636 0
4700 64
4900 264
5100 464
5300 664
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Strategy 2: SHORT CALL
When you buy a Call you are hoping that the underlying stock / index would
rise. When you expect the underlying stock / index to fall you do the opposite.
When an investor is very bearish about a stock / index and expects the prices to
fall, he can sell Call options. This position offers limited profit potential and
the possibility of large losses on big advances in underlying prices. Although
easy to execute it is a risky strategy since the seller of the call is exposed to
unlimited risk.
Selling a Call option is
the just the opposite of
buying a Call option.
Here the seller of the
option feels the
underlying price of the
stock / index to fall in the
future.
When to Use: Investor is
very aggressive and he is
very bearish about the
stock/ index.
Risk: Unlimited.
Reward: Limited to the
amount of the premium.
Break-even Point: Strike
Price + Premium.
Example:
Mr. XYZ is bearish about Nifty and expects it to fall.
He sells a Call option with a strike price of`2600 at a
premium of`154, when the current Nifty is at 2694. If
the Nifty stays at 2600 or below, the Call option will
not be exercised by the buyer of the option and Mr.
XYZ can retain the entire premium of`154.
Strategy : Sell Call Option Current Nifty index 2694
Call Option
Strike Price (`) 2600
Mr. XYZ receives Premium (` ) 154Break Even Point (` )
(Strike Price +
Premium *2754
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The payoffschedule:-
The payoff profile:-
-400
-200
0
200
2400 2600 2754 2900 3000
Short Call
Nifty Profit
This strategy is used when an investor is
very aggressive and has a strongexpectation of a price fall (and certainly nota price rise). This is a risky strategy since asthe stock price / index rises, the short callloses money more and more quickly andlosses can be significant if the stock price /index fall below the strike price.
Analysis
On expiry Nifty closes at Net payoff from Call
option (`)
2400 154
2500 154
2600 154
2700 54
2754 0
2800 -46
2900 -146
3000 -246
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Strategy 3: SYNTHETIC LONG CALL
In this strategy, we purchase a stock since we feel bullish about it. But what if the
price of the stock went down? You wish you had some insurance against the price
fall. So buy a Put on the stock. This gives you the right to sell the stock at a certain
price which is the strike price. The strike price can be the price at which you
bought thestock (ATM strike price) or slightly below (OTM strike price).
In case the price of the stock rises you get the full benefit of the price rise. In case
the price of the stock falls, exercise the Put Option (remember Put is a right to sell).
You have capped your loss in this manner because the Put option stops your
further losses. It is a strategy with a limited loss and (after subtracting the Put
premium) unlimited profit (from the stock price rise). The result of this strategy
looks like a Call Option Buy strategy and therefore is called a Synthetic Call.
But the strategy is not Buy Call Option (Strategy 1). Here you have taken an
exposure to an underlying stock with the aim of holding it and reaping the benefits
of price rise, dividends, bonus rights etc. and at the same time insuring against an
adverse pricemovement.
In simple buying of a Call Option, there is no underlying position in the stock but is
entered into only to take advantage of price movement in the underlying stock.
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When to use: when
ownership is desired of
stock yet investor is
concerned about near
month downside risk.
The outlook is
considerably bullish.
Risk: Losses limited to
Stock price + Put
premium Put Strike
price.
Reward: Profit
potential is unlimited.
Break-even Point: PutStrike price + Put
premium + Stock price
Put Strike Price.
Example:
Mr. XYZ is bullish about ABC Ltd. He buys ABC Ltd at
current market price of `4000 on 4th
July. To protect
against fall in the price of ABC Ltd, he buys a Put option
with a strike price`
3900 (OTM) a premium of`
143.80
expiring on 31st
July.
Strategy : Buy Stock + Buy Put Option
Buy Stock
(Mr. XYZ pays)
Current Market Price of
ABC Ltd. (`)
4000
Strike Price (`) 3900
Buy Put
(Mr. XYZ pays)
Premium (`)
143.80
Break Even Point (`)
(Put Strike Price + Put
Premium + Stock Price
Put Strike Price)*
4143.80
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Example:
ABC Ltd is trading at `4000 at 4th
July.
Buy 100 shares of the stock at `4000.
Buy 100 July Put options with a Strike price of`3900 at a premium of`143.80
per Put.
Net Debit (Payout) = Stock Bought + Premium Paid
= `4000 + `143.80
= `414380/-
Maximum Loss = Stock Price + Put Premium Put Strike
= `4000 + `143.80 - `3900
= ` 24,380/-
Maximum Gain = Unlimited (as the stock rises)
Break-even = Put Strike + Put Premium + Stock Price Put
Strike= `3900 + `143.80 + `4000`3900= `4143.80/-
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The payoff schedule:-
ABC Ltd. closes at
on expiry
Payoff from the
Stock (`)
Net Payoff from the
Put Option (`)
Net Payoff
(`)
3400.00 -600.00 356.20 -243.803600.00 -400.00 156.20 -243.80
3800.00 -200.00 -43.80 -243.80
4000.00 0 -143.80 -143.80
4143.80 143.80 -143.80 0
4200.00 200.00 -143.80 56.20
4400.00 400.00 -143.80 256.20
4600.00 600.00 -143.80 456.20
4800.00 800.00 -143.80 656.20
The payoff chart (Synthetic Long Call):-
+ =
Buy Stock Buy Put Synthetic Long Call
This is a low risk strategy. It limits the lossin case of fall in market but the potential
profit remains unlimited when the stockprice rises. A good strategy when you buya stock for medium or long term, with theaim of protecting any downside risk. Thepay-off resembles a Call Option buy and istherefore called as Synthetic Long Call.
Analysis
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Strategy 4: LONG PUT
Buying a Put is opposite of buying a Call. When an investor buys a Call option, he is
bullish on the stock / index. If an investor is bearish, he can buy a Put option. A Put
option gives a right to the seller to sell the stock (to the Put seller) at a pre-
determined price and thereby limiting his risk.
A Long Put is a Bearishstrategy. To take
advantage of a falling
market an investor can
buy Put options.
When to Use: Investor
is bearish about the
stock / index.
Risk: Limited to theamount of Premium
paid. (Maximum loss if
stock / index expire at
or above the option
strike price.)
Reward: Unlimited.
Break-even Point:
Stock Price Premium.
Example:
Mr. XYZ is bearish on Nifty on 24th
June, when Nifty is at
2694. He buys a Put option with a strike price of`2600 at
a premium of `52 expiring on 31st
July. If the Nifty goes
below 2548, Mr. XYZ will make a profit on exercising the
option. In case the Nifty rises above 2600, he can forego
the option (it will expire worthless) with a maximum loss
of the premium.
Strategy : Buy Put Option
Current Nifty index 2694
Put Option Strike Price (`) 2600
Mr. XYZ Pays Premium (`) 52
Break Even Point (`)
(Strike Price -
Premium)
2548
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The payoff schedule:-
The payoff profile:-
-100
0
100
200
300
2300 2400 2548 2700 2800
Long Put
Nifty Profit
A bearish investor can profit from decliningstock price by buying Puts. He limits his riskto the amount of premium paid but his profitpotential remains unlimited. This is one of thewidely used strategy when an investor isbearish.
Analysis
On expiryNifty closes
at
Net Payoff from
Put Option (`
)2300 248
2400 148
2500 48
2548 0
2600 -52
2700 -52
2800 -52
2900 -52
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Strategy 5: SHORT PUT
An investor sells Put when he is Bullish about the stock. When you sell a Put, you
earn a Premium (from the buyer of the Put). You have sold someone the right to
sell you the stock at the strike price. If the stock price increases beyond the strike
price, the short put position will make a profit for the seller by the amount of the
premium, since the buyer will not exercise the Put option and the Put seller can
retain the Premium (which is his maximum profit). But, if the stock price
decreases below the strike price, by more than the amount of the premium, the
Putseller will lose money.
When to Use: Investor
is very Bullish about
the stock / index. The
main idea is to makeshort term income.
Risk: Unlimited.
Reward: Limited to the
amount of Premium
received.
Break-even Point: Put
Strike - Premium.
Example:
Mr. XYZ is bullish on Nifty when it is 4190.10. He sells a Put
option with a strike price of `4100 at a premium of `170expiring on 31
stJuly. If the Nifty index stays above 4100, he
will gain the amount of premium as a Put buyer wont
exercise his option. In case the Nifty falls below 4100, Put
buyer will exercise the option and Mr. XYZ will start losing
money. If the Nifty falls below 3930, which is the break-
even point, Mr. XYZ will lose the premium and more
depending on the extent of the fall in Nifty.
Strategy : Sell Put Option
Current Nifty index 4191.10
Put Option Strike Price (`) 4100
Mr. XYZ
receivesPremium (`) 170
Break Even Point (`)
(Strike Price - Premium)
3930
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The payoff schedule:-
The payoff profile:-
-600
-400
-200
0
200
400
3400 3700 3930 4300 4600
Short Put
Nifty Profit
Selling Puts can lead to regular income in arising or range bound markets. But it shouldbe done carefully since the potential lossescan be significant in case the price of thestock / index falls. This strategy can beconsidered as an income generatingstrategy.
Analysis
On expiry NiftyCloses
at
Net Payofffrom the Put
Option (`)
3400 -5303500 -430
3700 -230
3900 -30
3930 0
4100 170
4300 170
4500 170
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Strategy 6: COVERED CALL
You own shares in a company which you feel may rise but not much in the near
term (or at best stay sideways). You would still like to earn an income from the
shares. The covered call is a strategy in which an investor Sells a Call option on
a stock he owns (netting him a premium). The Call Option which is sold in
usually an OTM Call. The Call would not get exercised unless the stock price
increases above the strike price. Till then the investor in the stock (Call seller) can
retain the Premium with him. This becomes his income from the stock. This
strategy is usually adopted by a stock owner who is Neutral to moderately
Bullish about the stock.
An investor buys a stock or owns a stock which he feels is good for medium to
long term but is neutral or bearish for the near term. At the same time, the
investor does not mind exiting the stock at a certain price (target price). The
investor can sell a Call Option at the strike price at which he would be fine
exiting the stock (OTM strike). By selling the Call Option the investor earns a
Premium. Now the position of the investor is that of a Call Seller who owns the
underlying stock. If the stock price stays at or below the strike price, the Call
Buyer will not exercise the Call. The Premiumis retained by the investor.
In case the stock price goes above the strike price, the Call buyer who has the
right to buy the stock at the strike price will exercise the Call option. The Call
seller (the investor) who has to sell the stock to the Call buyer will sell the stock
at the strike price. This was the price which the Call seller (the investor) was
anyway interested in exiting the stock and now exits at that price. So besides
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the strike price which was the target price for selling the stock, the Call seller
(investor) also earns the Premium which becomes an additional gain for him.
This strategy is called as a Covered Call strategy because the Call sold is backed by
a stock owned by the Call Seller (investor).
When to Use: This is
often employed when
an investor has a
short term neutral to
moderately bearishview on the stock he
holds. He takes a short
position on the call
option to generate
income from the
option premium.
Risk: If the Stock Price
falls to zero, the
investor loses theentire value of the
Stock but retains the
premium, since the
Call will not be
exercised against
Reward: Limited to
(Call Strike Price
Stock Price paid) +
Premium received
Break-even Point:
Stock Price paid
Premium received.
Example:
Mr. A bought XYZ Ltd. for `3850 and simultaneously sells a
Call option at a strike price of `4000. Which means Mr. A
does not think that the price of XYZ Ltd. will rise above
`4000. However, in case it rises above `4000, Mr. A does
not mind getting exercised at that price and exiting the
stock at `4000 (TARGET SELL PRICE = 3.90% return on
the stock purchase price). Mr. A received a premium of`80
for selling the Call. Thus net outflow to Mr. A is ( 3850
`80) = `3770. He reduces the cost of buying the stock by
this strategy.
Strategy : Buy Stock + Sell Call Option
Mr. A buys the
stock XYZ Ltd.
Market Price (`) 3850
Call Options Strike Price (`) 4000
Mr. A receives Premium (`) 80
Break Even Point
(`) (Stock Price
paid - Premium
Received)
3770
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Example:-
1) The price of XYZ Ltd. stays at or below `4000. The Call buyer will not exercise
the Call Option. Mr. A will keep the premium of `80. This is an income for him. So if
the stock has moved from 3850 (purchase price) to 3950, Mr. A makes `180/-
[`3950 `3850 + `80 (Premium)] = an additional `80, because of the Callsold.
2) Suppose the price of XYZ Ltd. moves to `4100, then the Call Buyer will
exercise the Call Option and Mr. A will have to pay him `100 (loss on exercise
of the CallOption). What would Mr. A do and what will be his pay off?
a) Sell the Stock in the market at :
b) Pay Rs. 100 to the Call Options buyer :
c Pa Off a b received :
`4100
- `100
`4000
(This was Mr. As
target price)
d) Premium received on Selling Call Option: `80
e) Net payment (c + d) received by Mr. A : `4080
f) Purchase price of XYZ Ltd. : `3850
g) Net profit : `4080`3850
`230
h) Return (%) : (`4080 `3850) X
`3850
: 5.97% (which is morethan the
target return of3.90%).
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The payoff schedule:-
XYZ Ltd. price closesat
(`)
Net Payoff
(`)
3600 -170
3700 -703740 -30
3770 0
3800 30
3900 130
4000 230
4100 230
4200 230
4300 230
The payoff chart (Covered Call):-
+ =
Buy stock Sell Put Covered Call
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Strategy 7: COVERED PUT
This strategy is opposite to a Covered Call. A Covered Call is a neutral to bullish
strategy, whereas a Covered Put is a neutral to Bearish strategy. You do this
strategy when you feel the price of a stock / index is going to remain range
bound or move down. Covered Put writing involves a short in a stock / index
along with a short put on the options on the stock/index.
The Put that is sold is generally an OTM Put. The investor shorts a stock
because he is bearish about it, but does not mind buying it back once the price
reaches (falls to) a target price. This target price is the price at which the
investor shorts the Put (Put strike price). Selling a Put means, buying the stock at
the strike price ifexercised. If the stock falls below the Put strike, the option will
be exercisedand will have to buy the stock at the strike price (which is anyway
his target price to repurchase the stock). The investor makes a profit because he
has shorted the stockand purchasing it at the strike price simply closes the short
stock position at a profit. And the investor keeps the Premium on the Put sold.
The investor is covered here because he shorted the stock in the first place.
If the stock price does not change, the investor gets to keep the Premium. He can
use this strategy as an income in a neutral market. Let us understand this with an
example.
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When to Use: If the
investor is of the view
that the markets are
moderately bearish.
Risk: Unlimited if the
price of the stock rises
substantially.
Reward: Maximum is
(Sale Price of the stock
Strike Price) +
Premium.
Break-even Point:
Sale Price of stock +
Put Premium.
Example:
Suppose ABC Ltd is trading at `4500 in June. An
investor, Mr. A, shorts `4300 Put by selling a July Put
for `24 while shorting an ABC Ltd stock. The net credit
received by Mr. A is `4500 + `24 = `4524.
Strategy : Short Stock + Short Put Option
Sells Stock
(Mr. A
receives)
Current Market
Price (`)
4500
Sells Put Strike Price (`) 4300
Mr. A receives
Premium (`) 24
Break Even Point
(`) (Sale price of
Stock + Put
Premium
4524
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The payoff schedule:-
The payoff chart (Covered Put):-
+ =
Sell stock Sell Put Covered Put
ABC Ltd.
closes at
`
Payoff from
the stock
`
Net Payoff
from the Put
O tion `
Net Payoff
`
4000 500 -276 224
4100 400 -176 224
4200 300 -76 224
4300 200 24 224
4400 100 24 124
4450 50 24 74
4500 0 24 24
4524 -24 24 0
4550 -50 24 -26
4600 -100 24 -764635 -135 24 -111
4650 -160 24 -136
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Strategy 8: LONG COMBO
A Long Combo is a Bullish strategy. If an investor is expecting the price of a stock
to move up he can do a Long Combo strategy. It involves selling an OTM
(lower strike) Put and buying an OTM (higher strike) Call. This strategy simulates
the actionofbuying a stock (or a futures) but at a fraction of the stock price. It is
an inexpensive trade, similar in pay-off to Long Stock, except there is a gap
between the strikes (please see the payoff diagram). As the stock price rises the
strategy starts making profits. Let us try and understand Long Combo with an
example.
When to Use: Investor
is Bullish on the stock.
Risk: Unlimited (Lower
Strike price + Net
Debit)
Reward: Unlimited.
Break-even Point:
Higher Strike Price +
Net Debit
Example:
A stock ABC Ltd is trading at `450. Mr. XYZ is bullish on the
stock. But he does not want to invest `450. He does a Long
Combo. He sells a Put option with a strike price of `400 at
a premium of`1 and buys a Call option with a strike price
of`500 at premium of`2. The net cost of the strategy (net
debit) is `1.
Strategy : Sell a Put + Buy a Call
ABC Ltd. Current Market Price (`) 450
Sells Put Strike Price (`) 400
Mr. XYZ recd Premium (`) 1.00
Buys Call Strike Price (`) 500
Mr. XYZ pays Premium (`) 2.00
Net Debit (`) 1.00
Break Even Point (`)
(Higher Strike + Net Debit)501
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The payoff schedule:-
ABC Ltd. closes at
(`)
Net Payofffrom
the Put Sold (`)
Net Payoff from the
Call purchased
(`)
Net Payoff
(`)
700 1 198 199
650 1 148 149
600 1 98 99
550 1 48 49
501 1 -1 0
500 1 -2 -1
450 1 -2 -1
400 1 -2 -1350 -49 -2 -51
300 -99 -2 -101
250 -149 -2 -151
For a small investment of`1 (net debit), the returns can be very high in a Long
Combo, but only if the stock moves up. Otherwise the potential losses can also
be high.
The payoff chart (Long Combo):-
+ =
Sell put Buy call Long Combo
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Strategy 9: LONG STRADDLE
A Straddle is a volatility strategy and is used when the stock / index isexpected
to show large movements. This strategy involves buying a call as well asput on
the same stock / index for the same maturity and strike price, to take advantage
of a movement in either direction. If the price of the stock/ index increases, the
call is exercised while the put expires worthless and if the price of the stock /
index decreases, the put is exercised, the call expires worthless. Either way if
the stock / index show volatility to cover the cost of the trade, profits are to be
made.
When to Use: The
investor thinks that the
underlying stock /
index will experience
significant volatility inthe near term.
Risk: Limited to the
initial premium paid
(net debit).
Reward: Unlimited.
Break-even Point:
Upper = Strike price ofLong Call + Net
Premium paid.
Lower = Strike price of
Long Put Net
premium paid.
Example:
Suppose Nifty is at 4450 on 27th
April. An investor, Mr. A
enters a long straddle by buying a May`
4500 Nifty Put
for `85 and a May `4500 Nifty Call for `122. The net debit
taken to enter the trade is `207, which is also his
maximum possible loss.
Strategy : Buy Put + Buy Call
Nifty index Current Value 4450
Call and Put Strike Price (`) 4500
Mr. A pays Total Premium
Call + Put `
207
Break Even Point
(`)
4707(U)
(`) 4293(L)
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The payoff schedule:-
The payoff profile (Long Straddle):-
+ =
Buy Put Buy Call Long Straddle
On expiry
Nifty closes at
Net Payoff fromPut
purchased (`)
Net PayofffromCall
purchased (`)
Net Payoff
(`)
3800 615 -122 4933900 515 -122 3934000 415 -122 2934100 315 -122 1934200 215 -122 934234 181 -122 594293 122 -122 04300 115 -122 -74400 15 -122 -1074500 -85 -122 -2074600 -85 -22 -1074700 -85 78 -74707 -85 85 04766 -85 144 594800 -85 178 934900 -85 278 1935000 -85 378 2935100 -85 478 3935200 -85 578 4935300 -85
678593
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Strategy 10: SHORT STRADDLE
It is a strategy to be adopted when the investor feels the market will not show
much movement. He sells a Call and a Put on the same stock / index for the same
maturity and strike price. It creates a net income for the investor. If the stock /
index do not move much in either direction, the investor retains the Premium as
neither the Call nor the Put will be exercised. However, in case the stock / index
moves in either direction, up or down significantly, the investors losses can
be significant. So this is a risky strategy and should be carefully adopted and onlywhen the expected volatility in the market is limited. If the stock / index value
stays close to the strike price on expiry of the contracts, maximum gain, which is
the Premium received is made.
When to Use: The
investor thinks that
the underlying stock /index will experience
very little volatility in
the near term.
Risk: Unlimited
Reward: Limited to
the initial premium
received (net credit).
Break-even Point:
Upper = Strike price of
Short Call + Net
Premium received.
Lower = Strike price of
Short Put Net
remium received.
Example:
Suppose Nifty is at 4450 on 27th April. An investor, Mr. A
enters a short straddle by selling a May `4500 Nifty Put
for `85 and a May `4500 Nifty Call for `122. The net credit
taken to enter the trade is `207, which is also his
maximum possible loss.
Strategy : Buy Put + Buy Call
Nifty index Current Value 4450
Call and Put Strike Price (`) 4500
Mr. A receives Total Premium
(Call + Put) (`)
207
Break Even Point
(`)
4707(U)
(`) 4293(L)
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The payoff schedule:-
On expiryNifty
closes at
Net Payoff from Put
Sold (`)
Net PayofffromCall
Sold (`)
Net Payoff
(`)
3800 -615 122 -493
3900 -515 122 -393
4000 -415 122 -293
4100 -315 122 -193
4200 -215 122 -93
4234 -181 122 -59
4293 -122 122 0
4300 -115 122 7
4400 -15 122 107
4500 85 122 207
4600 85 22 1074700 85 -78 7
4707 85 -85 0
4766 85 -144 -59
4800 85 -178 -93
4900 85 -278 -193
5000 85 -378 -293
The payoff chart (Short Straddle):-
+ =
Sell Put Sell Call Short Straddle
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Mr. X bought 100 shares of ABC Ltd. at `40; it currently trades at `30. The stock no
longer appeals to him, and he is inclined to trade out of it but is not happy about
having to take the loss. He thinks the stock might recover about half its decline, but
does not believe it will be back to `40 anytime soon. At this point, he would just like to
get his money back. The strategy of Stock Repair makes sense to him and he decides
to use it.
He finds the following one-month options: `30 call @ `3, `35 call @ `1.50. He buys the
30 call and writes (sells) two of the 35 calls. The table below shows the profit and loss
possibilities from the combined position.
Stock Price at Expiration
Position 30 31 32 33 34 35
Long Stock -10 -9 -8 -7 -6 -5
Long 30 Call -3 -2 -1 0 1 2
Short Two 35 Calls 3 3 3 3 3 3
Combined -10 -8 -6 -4 -2 0
The worksheet shows that, ignoring commissions, Mr. X breaks-even if ABC Ltd.
returns to `35at option expiration.
Stock Repair Strategy
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Objective:-
To understand the investment patterns & strategies adopted by the retail
investors.
Sample Studied:-
Technique: Random Sampling
Size: 100
Nature: Retail Investors
Tools used for Analysis:-
Questionnaire
Research Analysis
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Around 100 retail investors of different age groups were asked few questions to find
out their investment patterns and strategies. The findings of the survey are given
below:
Finding 1:
Options is traded by people mostly in age group of 26-45 years since their risk-taking
capacity is more compared to others and they also desire more to leverage their
investment and gain maximum returns.
People above 60 years trade maximum in Cash Market since they still follow the
philosophy of buy-and-hold for their successors.
0
10
20
30
40
50
60
70
80
18-25 years 26-45 years 45-60 years 60 years above
68
25
42
71
21
59
45
19
1116
1310
Cash Market Futures Market Options Market
Major Findings
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Finding 2:
As the age of the people increases, they trade in Options for Hedging purposes.
Whereas, in their early ages they speculate in Options in order to earn more profits.
Finding 3:
0
10
20
30
40
50
60
70
80
18-25 years 26-45 years 46-60 years 60 years above
2126
35
42
7974
6558
Hedging Speculation
14%
65%
21%
Cash Market
Futures
Options
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Majority of the investors think that dealing in Futures is most risky, whereas trading
in Options is comparatively less risky since the buyer of the option has limited risk.
Cash Market is considered to be least risky.
Finding 4:
Majority of the investors deals in Stock Options as compared to Index Options.
Since prices of a stock is generally more volatile than the Index. This helps to earn
more profits but also contains greater risk.
69%
31%
Stock Options
Index Options
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Options are traded mostly by investors having more risk-taking capacity. Hence,
Options are mostly traded by people in the age group of 25-45 years.
Options are, nowadays, used more for speculation as compared to hedging. It is
used as a hedging tool mostly by the people in the age group of 60 years above.
Majority of the investors think that dealing in Futures is most risky, whereas
trading in Options is comparatively less risky since the buyer of the option has
limited risk. Cash Market is considered to be least risky.
Stock Options are more traded than Index Options. This is maybe because
Stocks have higher volatility than Index. Hence, more profits can be derived out of
Stock options.
Conclusion
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Books:-
Robert StrongIntroduction to Derivatives
D.C. PatwariOptions and Futures
References:-
NCFM Equity Markets module
NCFM Derivatives (dealers) module
NCFM Options Strategies module
Websites:-
www.investopedia.com
www.nseindia.com
www.bseindia.com
www.sebi.gov.in
www.moneycontrol.com
www.optionstradingtips.com
Bibliography
http://www.investopedia.com/http://www.nseindia.com/http://www.bseindia.com/http://www.sebi.gov.in/http://www.moneycontrol.com/http://www.moneycontrol.com/http://www.sebi.gov.in/http://www.bseindia.com/http://www.nseindia.com/http://www.investopedia.com/8/4/2019 Option Strategy Final Editn
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1) Whats your age?
18-25 years
26-45 years
45-60 years
60 years & above
2) Where you mostly invest your money in?
Cash Market
Futures Market
Options market
3) Do you trade in Options? If yes then,
i. Whats your underlying purpose for trading in Options?
Hedging
Speculation
ii. What you prefer trading in?
Stock Options
Index Options
4) According to you, which market is more risky?
Cash market
Futures
Options
Questionnaire
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