Posts Tagged ‘put


Paper: Opciones, un poco de historia

The Early History of Option Contracts


This chapter discusses the history of option contracts from ancient times until the appearance of Theorie der Prämiengeschäfte by Vincenz Bronzin in 1908.  The history examines the use of contracts with option features prior to the introduction of trade in free standing option contracts on the Antwerp bourse during the 16 th century.  Descriptions of the Amsterdam share option market by de la Vega in the 17 th century and de Pinto in the 18 th century are reviewed.  The specific language of a late 17 th century English option contract is provided in detail.  The development and practice of option trading in the 18 th  and 19 th centuries, as reflected  in merchant manuals of that period, is examined.  The article concludes with an overview of late 19 th century option trading in securities and commodities.

Link al Paper


Fun & Finance: #13, Charla sobre Opciones

En este episodio, Gaston empieza a trabajar con opciones y Leo le da una mano explicándole -de forma introductoria- de que tratan. Y para el final, le cuenta de una estrategia utilizada mucho en Argentina.

Siempre mejor en HD.

No se olviden de LIKE THIS !!


Finanzas 101: FX risk reversal

Debido al aumento de volatilidad en el Forex, un concepto interesante para aprender es el Risk Reversal.

(…) This indicator represents a proxy for investor concerns that (currency) will collapse suddenly, and its high level suggests that this is indeed a growing concern. (…)

Según Investopedia

In foreign-exchange trading, risk reversal is the difference in volatility (delta) between similar call and put options, which conveys market information used to make trading decisions.

Para Sala de Inversiones

Muestra la diferencia en volatilidad, y por tanto en precio, entre las puts y las calls sobre las opciones out of the money más liquidas cotizadas en el mercado al contado. Los valores positivos indican que las calls son más caras que las puts (la protección al alza en el subyacente spot es relativamente más cara), mientras que los valores negativos indican que las puts son más caras que las calls (la protección a la baja en el subjacente spot es más cara). Los cambios significativos pueden indicar un cambio en las expectativas de mercado para la dirección futura del tipo de cambio de divisas subyacente spot.

Conforme a Global Market Financial Institute,

The market has established a 25 (0.25) delta benchmark for risk reversal quotes.

Listo con las definiciones básicas, ahora el DB tiene una muy buena guía-del 2006- para sacarle provecho al tema. 





Gráfico du Jour: VIX y su numerología…baja

(Fuente: Barrons*)


*: Esta fuente, tiene un buen debate sobre el VIX. Y Condor Options tambien tiene algo para decir al respecto.


critica al hedging convencional

Condor Options tiene un post donde explica los problemas del hedging clasico, tomando como ejemplos a la diversificación y al seguro de portfolio (put y collars).

Portfolio insurance strategies were developed in the late 1970s and early 1980s to provide institutional investors with a guaranteed return and reduced uncertainty, and coincided with the creation of options exchanges. See Bouyé 2009 for an overview of the history and types of portfolio insurance. I’ve tested three such strategies here:

  1. Long ATM 1-year puts: Given a starting $500,000 portfolio allocated to the SPDR S&P 500 ETF (SPY), buy at-the-money (ATM) put options expiring in one year and hold through expiration. Rebalance the SPY shares after expiration to account for any realized gains or losses, and re-hedge.
  2. Long 10% OTM puts: Given a starting $500,000 portfolio allocated to the SPDR S&P 500 ETF (SPY), buy 3-month put options with a strike price 10% below the current SPY price and hold through expiration. Rebalance the SPY shares after expiration to account for any realized gains or losses, and re-hedge.
  3. Zero-cost collars: Given a starting $500,000 portfolio allocated to the SPDR S&P 500 ETF (SPY), buy 3-month zero-cost collars with a long put strike price 10% below the current SPY price and a short call strike price set at the highest level that brings in sufficient credit to offset the price of the put. Hold through expiration. Rebalance the SPY shares after expiration to account for any realized gains or losses, and re-hedge.


Put/Call Ratio, utilidad y problemas

Nuevamente, Adam Warner publica un post muy pedagógico, en este caso es sobre: los Put/Call Ratios como proxy -imperfecto- del “sentimiento” de los inversores.


The put/call ratio is used to measure investor sentiment. The theory is that the more puts that trade, the more bearish the sentiment and, ergo, the more bullish from a contrarian standpoint.

The most popular put/call numbers are disseminated by the CBOE in an index-only version, an equity-only version, and a combination of the two.


My first issue with put/call ratios is that they do not determine whether the initiator of the trade bought or sold the option in question.

Let’s say the initiator of the order sold a large quantity of puts. In a vacuum, that’s a complacent and bullish play. But in a simple put/call number, that just prints as puts. And the more puts that trade, the lower the put/call number gets. So, on a contrarian basis, that would give you a bullish signal even though the order itself would give you a bearish signal.



Opciones: mirar los detalles

Eso es lo que recomienda Mark Wolfinger en un postde su blog Options for Rookies– cuando responde las inquietudes de un lector.

I am always surprised when someone comes to me with this (or similar) question.  No one in his/her right mind would EVER – under ANY REASONABLE CIRCUMSTANCES – exercise an option when it ‘reaches it’s strike price. I just cannot comprehend from whence that idea originates.  I would be extremely appreciative if you can provide a clue. Just look at any stock and the options on that stock.  Notice that there are in-the-money calls and puts. Notice that the open interest of these options is not anywhere near zero.  Zero would be the open interest if everyone exercised those options.

(…) Do you see that the slightly ITM calls and puts carry a time premium in addition to intrinsic value?  Anyone who owns that option and no longer wants to own it – would SELL and collect the full option premium.  Exercising allows the capture of only the intrinsic value and the time value is tossed into the trash.  No one would do that.

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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