Urok 33 riski prodazhi opcionov chast 2 b887557 урок 33. Риски продажи опционов. Часть 2


Possible increase in the margin for the position

In one of the first lessons, we introduced the concept of collateral. We already know, that the GO for a futures position is equal to the difference between the upper and lower price limits.

Ie. if the current GO for a futures on Sberbank shares is 2 592 ruble, then to buy 10 futures we need at least 25 920rubles. Everything is simple here.

GO for an option position

GO for an option position is defined differently. In a simplified form (the exchange does not fully disclose the methodology) these are the maximum losses for your position in a negative scenario for BA and volatility.

Let's clarify this idea..

10 things Long Put SBRF(October) with a strike 15 500 at the price of BA = 15 854 ruble.

Put Award - 388 rubles, current GO - approximately 3 852 ruble.

Negative scenario for this position:


2. Reduced volatility

For any strongest increase in BA or decrease in volatility, our maximum loss is the total premium (3 880 rubles), therefore, GO does not grow. The current GO almost completely covers our maximum position losses.

10 things Short Put SBRF (October) with a strike 15 500 at the price of BA = 15 854 ruble.

Put Award - 388 rubles, current GO – about 19 986 rubles (ie. substantially more, because. more possible loss when selling the option).

Negative scenario for this position:

1. Decreased BA

2. Increased market volatility

In case of a strong market decline, our sold Put options will go into the money (ITM options), and the stronger this decrease will be, the more they will look like BA (futures). We talked about it, when we analyzed the concept of the intrinsic and time value of an option. Ie. at the maximum, our collateral requirements in this case will increase to the collateral 10 futures (ie. to 25 920 rubles).

But, if at the same time there is a strong increase in market volatility, then the exchange can expand the upper and lower price limits, which will cause the growth of GO on futures and, respectively, will further increase our costs of maintaining the option position.

Ie. when selling uncovered options, a serious risk lies in the growth of GO not only due to the movement of the BA price, but also under the influence of market volatility.

Significant growth of GO on positions, which contain sold options, can lead to, that maintaining these positions may require significant funds. All this may not allow you to keep your positions during the period of a sharp increase in guarantee coverage.. This happens especially often during periods of a sharp increase in market volatility. (autumn 2008, Spring 2014).

Obviously, that when selling options you must definitely have a sufficient supply of free funds, to feel more or less calm when in these positions.

To summarize, then when selling options it is not profitable for us to move BA against our position and increase market volatility in the market (which may result in incl.. and a significant increase in the warranty requirements for our options).

Time always works in favor of our position..

In short, the risks of selling options can be depicted in the form of diagrams:

Урок 33. Риски продажи опционов. Часть 2

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