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Beleggen met Derivaten Samenvatting HBO Minor Beleggen Hogeschool Utrecht

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Course
Beleggen met Derivaten (MEDERIVPR14_2023)

Institution
Hogeschool Utrecht (HU)

Beleggen met Derivaten Samenvatting HBO Minor Beleggen Hogeschool Utrecht. Gaat in op de lesstof over o.a opties/ optiestrategieën, turbo's, futures

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Uploaded on January 13, 2024
Number of pages 28
Written in 2023/2024
Type Summary

opties
putcall pariteit
optiegrieken
delta
gamma
vega
theta
rho
volatility
optiestrategieën
put als verzekering
synthetisch aandeel
spread
spread br
futures
turbos

Institution
Hogeschool Utrecht (HU)
Education
Minor Beleggen
Course
Beleggen met Derivaten (MEDERIVPR14_2023)

mikevandertol

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INHOUDSOPGAVE

WEEK 1 INTRODUCTIE OPTIES ................................................................................................................................................................................. 2

Beleggen VS Speculeren ........................................................................................................................................................................................... 2
DERIVATEN........................................................................................................................................................................................................................ 2
Opties ....................................................................................................................................................................................................................... 2

WEEK 2 OPTIES: PUT-CALL PARITEIT & DE GRIEKEN ................................................................................................................................................. 4

PUT-CALL PARITEIT ............................................................................................................................................................................................................. 4
Waarde Put/Call uitrekenen met de put-call pariteit:............................................................................................................................................ 5
BLACK EN SCHOLES OPTIEWAARDERINGSMODEL ........................................................................................................................................................................ 6
DE GRIEKEN ....................................................................................................................................................................................................................... 6
Delta ......................................................................................................................................................................................................................... 6
Gamma ..................................................................................................................................................................................................................... 6
Vega ......................................................................................................................................................................................................................... 7
Theta ........................................................................................................................................................................................................................ 7
Rho ........................................................................................................................................................................................................................... 7

WEEK 3 VOLATILITY & BASISSTRATEGIEËN .............................................................................................................................................................. 8

VOLATILITY ........................................................................................................................................................................................................................ 8
STRATEGIËN ...................................................................................................................................................................................................................... 8
Gedekt schrijven call ................................................................................................................................................................................................. 8
Put als verzekering ................................................................................................................................................................................................... 8
Synthetisch aandeel ................................................................................................................................................................................................. 9
Spread ...................................................................................................................................................................................................................... 9
Ratio call spread ..................................................................................................................................................................................................... 11
Straddle .................................................................................................................................................................................................................. 12
Strangle .................................................................................................................................................................................................................. 12

WEEEK 4: OPTIES – GEAVANCEEERDE STRATEGIEËN .............................................................................................................................................. 13

VOLATILITY SKEW.............................................................................................................................................................................................................. 13
HET BENUTTEN VAN TIJDSWAARDE ....................................................................................................................................................................................... 14
Tijdswaarde t.o.v. Beurskoers ................................................................................................................................................................................ 14
CALENDAR SPREAD (TIME SPREAD) ....................................................................................................................................................................................... 14
Strategieën ............................................................................................................................................................................................................. 15
COMBINATIES MET 3 OPTIES ............................................................................................................................................................................................... 17
Butterfly spread ...................................................................................................................................................................................................... 17
sandwich spread ..................................................................................................................................................................................................... 17
Driepoot.................................................................................................................................................................................................................. 17
BELEGGEN MET GARANTIE .................................................................................................................................................................................................. 18

WEEK 5: FUTURES (BIJLAGE) .................................................................................................................................................................................. 19

PRIJSBEPALENDE FACTOREN:............................................................................................................................................................................................... 19
VERSCHILLEN FUTURES EN OPTIES......................................................................................................................................................................................... 20
INTEREST RATE FUTURES..................................................................................................................................................................................................... 20
Drie basisstrategieën met rentefutures: ................................................................................................................................................................. 20

WEEK 7 FUTURES + SWAPS + TURBO’S .................................................................................................................................................................. 21

KEnmerken futures ................................................................................................................................................................................................. 21
PRIJSBEPALING FUTURES .................................................................................................................................................................................................... 22
Voorbeeld AEX futute ............................................................................................................................................................................................. 22
Voorbeeld goud futute ........................................................................................................................................................................................... 22
FUTURES CURVE ............................................................................................................................................................................................................... 23
Futures curve – shape ............................................................................................................................................................................................. 23
SWAPS ........................................................................................................................................................................................................................... 24
Renteswap .............................................................................................................................................................................................................. 24
TURBO’S ......................................................................................................................................................................................................................... 25
Kenmerken Turbo’s ................................................................................................................................................................................................. 25
Financieringsniveau ................................................................................................................................................................................................ 27

,WEEK 1 INTRODUCTIE OPTIES

BELEGGEN VS SPECULEREN
- Beleggen: het kopen of verkopen van effecten met als doel om rendement te maken
en door uitgebreide analyse het risico op verlies van het geïnvesteerde kapitaal zo
klein mogelijk te houden. Meestal lange termijn.

- Speculeren: het kopen of verkopen van effecten met als doel om rendement te
maken en daarbij bewust een relatief groot risico mee accepteren. Meestal korte
termijn.

DERIVATEN
- Derivaten zijn afgeleide financiële titels
- Doel van derivaten is overdracht van risico’s

3 Categorieën derivaten:
1. Opties (standaardisatie) & warrants (maatwerk)
2. Termijncontracten: forwards (onderhands), futures (openbaar)
3. Swaps & gestructureerde producten (turbo. Sprinter, speeder, booster, CfD,
garantiecertificaat)

OPTIES
1. Het recht (long) / plicht (short) om
2. Een bepaalde hoeveelheid van
3. Een onderliggende waarde
4. Gedurende een bepaalde periode (looptijd)
5. Tegen een vooraf gestelde prijs (uitoefenprijs)
6. Te verkopen of verkopen (call – put)

Open interest = het aantal openstaande posities in de markt

PREMIE:
De premie van een optie bestaat uit:
1. Intrinsieke waarde =
- Call: beurskoers (B) – uitoefenprijs (U)
- Put: uitoefenprijs (U) – beurskoers (B)
Intrinsieke waarde kan niet negatief zijn!
2. Verwachtingswaarde = tijdswaarde

, MONEYNESS
Verwijst naar de intrinsieke waarde van een optie

In geval van call optie geldt: In geval van put optie geldt:
• B > U in the money • U > B in the money
• B = U at the money • U = B at the money
• B < U out of the money • U < B out of the money

RISICO-RENDEMENTSPROFIELEN
De winst of verlies van de positie op het expiratiemoment, afgezet tegen de beurskoers van
de onderliggende waarde.
(lijkt op intrinsieke waarde)

De 5 basisposities:
(zie Excel risicoprofielen 1.0)

Wat kunnen we ermee?
• Risicobeperking – bijvoorbeeld putopties kopen als verzekering tegen koersdalingen.
• Extra rendement – bijvoorbeeld call opties schrijven op eigen beleggingsportefeuille.
• Strategische inzet – bijvoorbeeld na fundamentele analyse alleen bereid AD te kopen
op maximaal €28,-.
• Speculatie – investeren met een grote hefboomwerking.

Voorbeeld Hefboomwerking:
• Je hebt de keuze uit:
- aankoop 100 aandelen AD à € 30,75 per stuk
- aankoop AD Call May 19 ‘23 € 30 à € 1,44.
• Vervolgens stijgt AD op de expiratiedatum naar € 33,75.

• 100 Aandelen:
- Investering: 100 x 30,75 = €3075,-
- Rendement: (€3375 / €3075) - 1 = 9,75%
• 1 Call:
- Investering: 100 x €1,44 = €144
- Rendement: (€375 / €144) - 1 = 160%

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