Les options

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Les options sont un outil d'investissement extrêmement versatile. Autant pour spéculer que pour se couvrir, elles peuvent être utilisées par tous les types d'investisseurs qui favorisent un plus grand contrôle de leurs actifs financiers. P.S. Pour mieux comprendre le contenu de cette section, il est préférable que le lecteur ait une formation de base concernant les options. Je suggère par exemple de visiter le site de la Bourse de Montréal.

Un endroit ou tester vos stratégies... CLIQUEZ

Différentes stratégies	Bullish Strategies	Bearish Strategies	Neutral Stragegies
Long Call	Long Stock	Sell Stock Short	Short Straddle
Short Call	Long Call	Buy Put	Long Butterfly
Long Put	Synthetic Long Call	Synthetic Long Put	Short Combination
Short Put	Covered Write	Short Call	Call Time Spread
Basic Spread	Short Put	Synthetic Short Stock	Calculateurs
Time Spreads	Covered Straddle / Combination	Collar (bearish)	Peter Hoadley's Tools
Vertical Spreads	Synthetic Long Stock	Bear Call Spread	The Option Strategist
	Collar (bullish)	Bear Put Spread
	Bull Call Spread	Put Time Spread
	Bull Put Spread	Ratio Put Spread
	Call Time Spread
	Long Stock + Ratio Call Spread

Des termes...	Des définitions...
ATM	At the money
ITM	In the money
OTM	Out of the money

Synthetics	A strategy involving 2 or more instruments that has the same risk-reward profile as a strategy involving 1 instrument.
Delta	Amount by which the option changes compared to the underlying asset.
Gamma	Gamma, measures the rate of change of Delta.
Theta	Theta is defined as the change in the price of an option for a 1-day decrease in the time left for expiration.
Vega	Vega is the change in the value of an option for a 1-percentage point increase in implied volatility of the underlying asset price.
Volatility	Volatility shows the investor the range that an assets’ price has fluctuated in a certain period.

La volatilité et son importance...

Volatility can be a very important factor in deciding what kind of options to buy or sell. Volatility shows the investor the range that an asset’s price has fluctuated in a certain period. The official mathematical value of volatility is denoted as "the annualized standard deviation of a asset’s daily price changes."

Historical volatility

The historical volatility for an asset relates to a past period of time. Generally, when evaluating volatility, we look at several different periods. We may look at what the volatility has been for the past week, for the past month, for the past three months, for the past six months, and so forth. The longer time period will yield more of an average volatility. When evaluating the purchase of an option, it is the historical volatility of the underlying instrument that is generally evaluated. Since the options are based on futures contracts, by having price data for the underlying futures contract, one can calculate the historical volatility.

The most commonly used model is the Black-Scholes, which is a part of most option pricing models today. By entering the futures price data, the model then calculates what the historical volatility is and can also then give you the fair market premium. In actual practice, usage of historical volatility in option pricing models such as Black-Scholes or other variations does not have predictive capability.

Implied volatility

Implied volatility is the calculated value of volatility that yields the option price in the relevant option-pricing model. The way to solve for this implied volatility is to use our option-pricing model in reverse. We know the price of the option and all the other variables except the volatility the marketplace is using. Therefore, instead of using the equation to solve for the option's price, we use the model to solve for the option's volatility. We insert the price into the model, leave out the volatility (which we are looking for), and keep the other variables the same. It is then that we will find out what volatility will yield the current market price.

Professional option traders find it important to be able to not only know what the current volatility is, but what it is likely to be in the future. Just as market analysts will project what prices we'll see in the next few days, weeks or months, so a professional options trader will try to determine what the volatility is likely to do in a variety of time periods. The more accurate a trader is able to make this forecast, the greater the likelihood that one can earn a profit.

Forecast volatility

Forecast volatility is similar to projecting futures prices, in that one commonly looks back over the past to help determine what the future holds. And just like projecting the futures markets, projecting volatility is far from a pure science or purely mathematical. Ideally, what traders would like to know is what the future volatility is going to be. Professional option traders find it important to be able to not only know what the current volatility is, but what it is likely to be in the future. Just as market analysts will project what prices we'll see in the next few days, weeks or months, a professional options trader will try to determine what the volatility is likely to do in a variety of time periods.

Future volatility

The Future volatility is really more of an expression than a reality. The future volatility is simply what the volatility will be at a given point in the future as opposed to what it is forecast to be. Since we're dealing with a great deal of uncertainty and unknown anytime we project into the future, there can be no certainty to this classification. If a person actually knew without a doubt what the future volatility would be, it would be the equivalent of the person knowing exactly where the market would be on a given date in the future.

What is Delta?

Delta is the amount by which the option changes compared to the underlying asset. It is a measure of the probability that an option will expire in the money. Call deltas can be interpreted as the probability that the option will finish in the money. Put deltas can be interpreted as -1 times the probability that the option will finish in the money. An at-the-money option, which has a delta of approximately 0.5, has roughly a 50/50 chance of ending up "in-the-money". For example, if an at-the-money wheat call option has a Delta of .5, and if wheat makes a 10-cent move higher, the premium on the option will increase approximately by 5 cents (.5 x 10 = 5), or $250 (each cent in premium is worth $50). The interpretation of Delta values is as under:

Call options: 0 to 1
Put options: -1 to 0
In-the-money options: Delta approaches 1 (call: +1, put: -1)
At-the-money options: Delta is about 0.5 (call: +0.5, put: -0.5)
Out-of-the-money options: Delta approaches 0
Long Calls have a positive delta -You want the market to go up
Short Calls have a negative delta -You want the market to go down
Long Puts have a negative delta -You want the market to go down
Short Puts have a positive delta -You want the market to go up

Delta is useful as a hedge ratio. A futures option with a delta of 0.5 means that the option price increases 0.5 for every 1 point increase in the futures price. For small changes in the futures price therefore, the option behaves like one-half of a futures contract. Constructing a delta hedge for a long position in 10 calls, each with a delta of 0.5 would require you to sell 5 futures contracts.

As time passes, the delta of in-the-money options increases and the delta of out-of-the-money options decreases.

What is Gamma?

Gamma, measures the rate of change of Delta. When call options are deep out of the money, they generally have a small Delta. This is because changes in the underlying bring about only tiny changes in the price of the option. But as the call option gets closer to the money, resulting from a continued rise in the price of the underlying, the Delta gets larger. Gamma is the change in an option’s delta for unit change in the value of the underlying asset. The gamma of a long option position (both calls and puts) is always positive. At-the-money options have the largest gamma. The further an option goes "in-the-money" or, "out-of-the-money" the smaller is gamma.

If you are long gamma you expect the underlying to make large moves. Traders with long positions expect positive gamma
If you are short gamma you expect the underlying to remain relatively inactive. Traders with short positions expect negative gamma

Gamma is a useful indication of the risk associated with a futures position. A large gamma number, whether positive or negative indicates a high degree of risk and a low gamma number indicates a low degree of risk.

As time passes, the gamma of at-the-money options increases; the gamma of deep ‘in-the-money’ and deep out-of-the-money options decreases.

What us Theta?

Theta is defined as the change in the price of an option for a 1-day decrease in the time left for expiration. At-the-money options have the greatest time value and the greatest rate of time decay (theta). The further an option goes "in-the-money" or "out-of-the-money", the smaller is theta. As volatility falls, the time value declines and hence theta also declines.

Theta is the rate at which an option loses its value as each day passes.
The inherent assumption is that the options are a "wasting asset."
Long options have negative theta
Short options have positive theta

As time passes, the theta of at-the-money options increases, the theta of deep in-the-money and out-of-the-money options decreases.

Theta has the exact opposite characteristics of gamma. Thus the size of a gamma position correlates to the size of the theta position. A large positive gamma position goes in hand with a large negative theta position, while a large negative gamma position goes hand in hand with a large positive theta position. What this means is that every option position is a tradeoff between market movement and time decay.

Theta is not used much by traders, but it is an important conceptual dimension. Theta measures the rate of decline of time-premium resulting from the passage of time. In other words, an option premium that is not intrinsic value will decline at an increasing rate as expiration nears.

What is Vega?

Vega is the change in the value of an option for a 1-percentage point increase in implied volatility of the underlying asset price. Implied volatility is measured as the annualized standard deviation of an asset’s daily price changes. The Vega of a long option position (both calls and puts) is always positive.

At-the-money options have the greatest Vega. The further an option goes "in-the-money" or "out-of-the-money", the smaller is the Vega. As time passes, Vega decreases. Time amplifies the effect of volatility changes. As a result, Vega is greater for long-dated options than for short dated options.

As volatility falls, Vega decreases for in-the-money and out-of-the-money options; Vega is unchanged for at-the-money options.

Vega is the option’s change in theoretical value with a change in volatility
Most options have a positive Vega because they gain value with rising volatility and lose with falling volatility
Vega of most options decline as time to expiration grows shorter

Vega tells us approximately how much an option price will increase or decrease given an increase or decrease in the level of implied volatility. Option sellers’ benefit from a fall in implied volatility, and it’s just the reverse for option buyers.

Vega can increase or decrease even without price changes of the underlying because implied volatility is the level of expected volatility.