Strumenti Utente
en:dividends_moneyness
Differenze
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en:dividends_moneyness [2016/08/06 15:29] 127.0.0.1 modifica esterna |
en:dividends_moneyness [2018/03/29 10:52] (versione attuale) playoptions |
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| - | ====Dividends & moneyness ===== | + | ====Dividends & Moneyness ===== |
| - | Premise: it is essential to know the exact price of the underlying which options refer and therefore their moneyness . | + | Premise: it is essential to know the exact price of the underlying which options refer and therefore their moneyness. |
| \\ | \\ | ||
| The dividends detachment lowers the value of the financial instrument.\\ | The dividends detachment lowers the value of the financial instrument.\\ | ||
| - | In absence of arbitrage, the holder of a call or put option must not have advantages or disadvantages. To ensure that happen the dividend value is already embedded into option's price which expiry is next to dividend's detachment date \\ | + | In absence of arbitrage, the holder of a call or put option must not have advantages or disadvantages. To ensure that happen the dividend value is already embedded into option's price which expiry is next to dividend's detachment date. \\ |
| \\ | \\ | ||
| In the image below you can see the impact of dividends on volatility: chart 1 shows the volatility smile of the options which expire the week before dividend is paid. Chart 2 shows the options smile of options which expires the next week after dividend detachment. \\ | In the image below you can see the impact of dividends on volatility: chart 1 shows the volatility smile of the options which expire the week before dividend is paid. Chart 2 shows the options smile of options which expires the next week after dividend detachment. \\ | ||
| - | In the Chart 2 we can see a very low volatility on options ATM Call (17700), this happen because the real value would be 17200 , The Call curve should be shifted to the left by the points of dividend. For put options the reasoning is specular. \\ | + | In the Chart 2 we can see a very low volatility on options ATM Call (17700), this happen because the real value would be 17200 , The Call curve should be shifted to the left by the points of dividend, as well as that Put. \\ |
| \\ | \\ | ||
| - | {{: Impatto_dividendi.png? Nokink & 600 |}} | + | {{ :impatto_dividendi.png?nokink&600 |}} |
| \\ | \\ | ||
| - | ** In Iceberg is necessary to align the moneyness to dividends. To do this there are three ways that are explained below. ** | + | **In Iceberg is necessary to align the moneyness to dividends. To do this there are three ways that are explained below.** |
| ---- | ---- | ||
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| ==== Video Tutorial ==== | ==== Video Tutorial ==== | ||
| - | | {{: Film_camera_35mm_b_24.png |}} | 20.04.2016 | [[https: //youtu.be/h3Hf4JE-Xmk? List = PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT | Strategy - Management of Dividends]] | 5: 40 | | + | | {{ :film_camera_35mm_b_24.png |}} | 20/04/2016 | [[https://youtu.be/h3Hf4JE-Xmk?List=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT|Strategy - Gestione dei dividendi]] | 5:40 |{{ :italy_24.png |}}| |
| - | ** Click [[video_tutorial | here]] to see other [[video_tutorial | Iceberg Video]] ** | + | **Click [[video_tutorial|here]] to watch other [[video_tutorial|Iceberg Video]] ** |
| ---- | ---- | ||
| Linea 52: | Linea 52: | ||
| In the initial situation of the strategy we have the DJ EURO STOXX 50 index as the underlying reference. | In the initial situation of the strategy we have the DJ EURO STOXX 50 index as the underlying reference. | ||
| - | {{: Cambio_sottostante_01.png? Nolink & 800 |}} | + | {{ :cambio_sottostante_01.png?nolink&800 |}} |
| === Adding Future to the Strategy === | === Adding Future to the Strategy === | ||
| Linea 58: | Linea 58: | ||
| First, click on Add Futures to insert future with first expiry after dividend detach in the strategy. | First, click on Add Futures to insert future with first expiry after dividend detach in the strategy. | ||
| - | {{: Cambio_sottostante_02.png? Nolink & 800 |}} | + | {{ :cambio_sottostante_02.png?nolink&800 |}} |
| Which is added to the list of instruments included in the strategy. | Which is added to the list of instruments included in the strategy. | ||
| - | {{: Cambio_sottostante_03.png? Nolink & 800 |}} | + | {{ :cambio_sottostante_03.png?nolink&800 |}} |
| === Setting Future as Reference Underlying === | === Setting Future as Reference Underlying === | ||
| Linea 68: | Linea 68: | ||
| Clicking the right mouse button on the future and set "Use as Main Underlying". | Clicking the right mouse button on the future and set "Use as Main Underlying". | ||
| - | {{: Cambio_sottostante_04.png? Nolink & 800 |}} | + | {{ :cambio_sottostante_04.png?nolink&800 |}} |
| === Final Situation === | === Final Situation === | ||
| Linea 74: | Linea 74: | ||
| Now the underlying reference of the strategy is the future. | Now the underlying reference of the strategy is the future. | ||
| - | {{: Cambio_sottostante_05.png? Nolink & 800 |}} | + | {{ :cambio_sottostante_05.png?nolink&800 |}} |
| ---- | ---- | ||
| Linea 84: | Linea 84: | ||
| Given this axiom, if you analyze the options chain of subsequent expiry after the dividend detach you can see that the quotation parity between Call and Put is not on ATM but next to OTM put side. Indeed at expiry the underlying will quote a lower price. | Given this axiom, if you analyze the options chain of subsequent expiry after the dividend detach you can see that the quotation parity between Call and Put is not on ATM but next to OTM put side. Indeed at expiry the underlying will quote a lower price. | ||
| - | {{: Dividendi_05.png? Nolink & 800 |}} | + | {{ :dividendi_05.png?nolink&800 |}} |
| As you can see from the 04.01.2016 expire (before the dividend payment date) put-call parity is situated approximately between highlighted strike (18600-18700) next to underlying price 18683. \ \ | As you can see from the 04.01.2016 expire (before the dividend payment date) put-call parity is situated approximately between highlighted strike (18600-18700) next to underlying price 18683. \ \ | ||
| Linea 107: | Linea 107: | ||
| Omitting interests on the capitalization which are marginal if the duration of the two futures in comparison are close, the easiest way to know the amount of the dividend is to see the difference in pricing that is between the future instrument before detachment of the dividend and the future that expires after the dividend: | Omitting interests on the capitalization which are marginal if the duration of the two futures in comparison are close, the easiest way to know the amount of the dividend is to see the difference in pricing that is between the future instrument before detachment of the dividend and the future that expires after the dividend: | ||
| - | {{: Dividendi_01.png? Nolink & 600 |}} | + | {{ :dividendi_01.png?nolink&600 |}} |
| As can clearly see from the picture of the future of March (18,720 points) and the June futures (18165 points) there is a difference of 555 points. This difference is the weighted sum of the dividends that will be paid by the companies that make up the FTSE MIB 40 between March and June. \\ | As can clearly see from the picture of the future of March (18,720 points) and the June futures (18165 points) there is a difference of 555 points. This difference is the weighted sum of the dividends that will be paid by the companies that make up the FTSE MIB 40 between March and June. \\ | ||
| Linea 116: | Linea 116: | ||
| The first way to enter the dividends of a financial instrument is to insert them directly into the instrument encoding of Symbol Manager in the page of the broker in use. | The first way to enter the dividends of a financial instrument is to insert them directly into the instrument encoding of Symbol Manager in the page of the broker in use. | ||
| - | {{: Dividendi_02.png? Nolink & 800 |}} | + | {{ :dividendi_02.png?nolink&800 |}} |
| Once the tool is opened it appears on the right sidebar in which are included all of the instrument's parameters, there is also the Dividends button in which you can insert the quantity and the date. \ \ | Once the tool is opened it appears on the right sidebar in which are included all of the instrument's parameters, there is also the Dividends button in which you can insert the quantity and the date. \ \ | ||
| Linea 122: | Linea 122: | ||
| Once the dividend is inserted in the underlying, it will be considered for any strategy that will be created on that instrument and with that broker. In order to recognize instruments with dividend they are written in cursive. | Once the dividend is inserted in the underlying, it will be considered for any strategy that will be created on that instrument and with that broker. In order to recognize instruments with dividend they are written in cursive. | ||
| - | {{: Dividendi_03.png? Nolink & 800 |}} | + | {{ :dividendi_03.png?nolink&800 |}} |
| Linea 129: | Linea 129: | ||
| Another possibility is to insert the dividend into the Strategy. In this case the dividend will be considered ONLY into the Strategy in which it is inserted and not in other although on the same underlying. \\ | Another possibility is to insert the dividend into the Strategy. In this case the dividend will be considered ONLY into the Strategy in which it is inserted and not in other although on the same underlying. \\ | ||
| - | {{: Dividendi_04.png? Nolink & 800 |}} | + | {{ :dividendi_04.png?nolink&800 |}} |
| Clicking the right mouse button on the underlying and clicking Edit it opens the window [[edit_underlying | Edit Underlying]], from the O"ther Settings" tab it is possible to click on Dividends and insert the dividend with the amount and the detachment date. | Clicking the right mouse button on the underlying and clicking Edit it opens the window [[edit_underlying | Edit Underlying]], from the O"ther Settings" tab it is possible to click on Dividends and insert the dividend with the amount and the detachment date. | ||
| - | {{: Dividendi_07.png? Nolink & 800 |}} | + | {{ :dividendi_07.png?nolink&800 |}} |
| Subsequently we need to set the use of the "Underlying with Dividend" and from this moment Iceberg is set correctly, the moneyness used is always shown at the top of the pillars. | Subsequently we need to set the use of the "Underlying with Dividend" and from this moment Iceberg is set correctly, the moneyness used is always shown at the top of the pillars. | ||
| Linea 142: | Linea 142: | ||
| After entering the 555 points of dividend , calculated before, with the date of May 23, 2016, Iceberg plot on the payoff one point and one green diamond, the former represents te actual price of underlying the latter represents the price of underlying at expiry in june 2016. | After entering the 555 points of dividend , calculated before, with the date of May 23, 2016, Iceberg plot on the payoff one point and one green diamond, the former represents te actual price of underlying the latter represents the price of underlying at expiry in june 2016. | ||
| - | {{: Dividendi_06.png? Nolink & 800 |}} | + | {{ :dividendi_06.png?nolink&800 |}} |
| ---- | ---- | ||
en/dividends_moneyness.1470490181.txt.gz · Ultima modifica: 2016/08/25 15:25 (modifica esterna)
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