Profitno-rizična obilježja opcijskih strategija na primjeru SPY ETF-a

master's thesis

• Title (english): Risk-return features of option strategies on the example of SPY ETF
• Author: Kristijan Božić
• Mentor: Davor Zoričić (mentor)
• Committee member: Davor Zoričić (predsjednik povjerenstva)
• Committee member: Ena Pecina (član povjerenstva)
• Committee member: Denis Dolinar (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2024-07-02, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Diplomski rad temelji se na istraživanju ETF-a na tržišni indeks S&P 500 (SPY) u periodu od 1. prosinca 2022. do 31. prosinca 2022. koji predstavlja uzorak na temelju kojeg špekulant formira očekivanja o budućem razdoblju. Cilj rada je analiziranje profitno-rizičnih obilježja opcijskih strategija ulaganjem u ETF SPY. Analizom sekundarnih podataka metodama deskriptivne statistike analiziraju se makroekonomska kretanja i podaci s tržišta te uz analizu trenda i pozicioniranja drugih investitora formiraju se medvjeđa očekivanja špekulanta. Temeljem obrazloženih medvjeđih očekivanja i očekivanja o porastu implicirane volatilnosti formira donju raznošku te medvjeđi raspon s put opcijama čiji se rezultati analiziraju izvan uzorka u razdoblju od 1. siječnja 2023. i 15. siječnja 2023. Pregledom dobivenih rezultata analizira se kvaliteta odluke prema kojoj je otvorio investicijsku poziciju u dvjema navedenim opcijskim strategijama te zaključuje da je cijena ETF-a SPY u razdoblju od 1. siječnja 2023. i 15. siječnja 2023. porasla što je u suprotnosti s očekivanjima špekulanta te ostvaruje gubitak pri trgovanju objema opcijskim strategijama. Implicirana volatilnost pala je u promatranom razdoblju što je rezultiralo gubitkom na strategiji donje raznoške.

Abstract (english)

The thesis is based on the research of the index ETF SPY in the period from December 1, 2022 to December 31, 2022, which represents a sample based on the speculator's expectations about the future period. The aim of the paper is to analyze the profit-risk characteristics of option strategies by investing in ETF SPY. Through the analysis of secondary data using descriptive statistics methods, macroeconomic trends and data from the market are analyzed, and with the analysis of trends and positioning of other investors, bearish expectations of speculators are formed.. On the basis of reasoned bearish expectations and expectations of an increase in implied volatility, straddle and the put spread are formed, the results of which are analyzed out of the sample in the period from January 1, 2023 to January 15, 2023. By reviewing the obtained results, what is analyzed is the quality of the decision according to which he opened an investment position in the two mentioned option strategies and concludes that the price of the ETF SPY increased in the period from January 1, 2023 to January 15, 2023, which is contrary to the expectations of investors and makes a loss during trading both option strategies. Implied volatility dropped in the observed period resulting in a loss on the straddle option strategy.

• Keywords: opcije; raznoška; medvjeđi raspon; ETF na tržišni indeks; implicirana volatilnost
• Keywords (english): options; Straddle; Put spread; Index ETF; implied volatility
• Language: croatian
• URN:NBN: urn:nbn:hr:148:435134
• Study programme: Title: Business economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: sveučilišni magistar ekonomije/sveučilišna magistra ekonomije (sveučilišni magistar ekonomije/sveučilišna magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to authenticated users
• Created on: 2024-07-02 17:08:34