Опционы на краткосрочные векселя и на долгосрочные облигации

• Пример 6.8. Спецификация на CBOE опционов на казначейские векселя и облигации: Interest rate options 

• Символы: 

  • 13-week Treasury bill:             IRX 

  • 5-year Treasury note:            FVX 

  • 10-year Treasury note:             TNX 

  • 30-year Treasury bond:            TYX 

• Основа: IRX is based on 10 times the discount rate of the most recently auctioned 13-week U.S. Treasury Bill. The new T-bill is substituted weekly on the trading day following its auction, usually a Monday. FVX, TNX and TYX are based on 10 times the yield-to-maturity on the most recently auctioned 5-year Treasury note, 10-year Treasury note and 30-year Treasury bond, respectively. 

• Множитель: $100 

• Интервалы цены исполнения: 2S points. A 1-point interval represents 10 basis points.  (The standard strike price table applies to 5-point intervals; codes U-Z are used for fractional strike prices.) 

• Котировка премии: Stated in points and fractions. One point equals $100. The minimum tick for series trading below 3 is 1/16 ($6.25) and for all other series, is ($12.50). 

• Стиль исполнения: European - Interest rate options may generally be exercised only on the last business day before the expiration date. 

• Дата истечения контрактов: Saturday immediately following the third Friday of the expiration month. 

• Месяцы истечения контрактов: IRX - Three near-term months plus two additional months from the March quarterly cycle (March, June, September and December). FVX.  TNX. TYX - Three near-term months plus three additional months from the March quarterly cycle. 

• Исполнение опционов: The exercise-settlement values of interest rate options (symbols above) are based on the "spot yield" on the last trading day as reported by the Federal Reserve Bank of New York at 2:30 p.m. Central Time. (Spot yield refers to the annualized discount rate on the most recently issued T-bill or yield-to-maturity on the most recently issued T-notes or T-bond.) Exercise will result in delivery of cash on the business day following the expiration date. The exercise-settlement amount is equal to the difference between the exercise-settlement value and the exercise price of the option, multiplied by $100. 

• Маржа: Uncovered writers must deposit 100% of the option proceeds plus 10% of the aggregate contract value (current index level multiplied by $100) minus the amount by which the option is out-of-the-money, if any. Minimum margin is 100% of the option proceeds plus 10% of the aggregate contract value. Long puts or calls must be paid in full.

Пример 6.9. Инвестор прогнозирует рост доходности к погашению тридцатилетних казначейских облигаций США. Для получения прибыли от такого события им запланирована покупка 5 опционов купли на TYX. При процентной ставке 6.25% трехмесячный опцион "при деньгах", т.е. с ценой исполнения 62.5, покупается за премию 5*100*1.5 = $750. Если доходность увеличится до 6.4%, то покупка опционов будет безубыточной: 500(64-62.5)-750=0. Если же доходность возрастет до 6.75%, то прибыль инвестора составит 500(67.5-62.5)-750=$1750.