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II. Th trng ngoi hiTH TRNG TI CHNH (financial market)

Th trng tin t (money market)

Th trng vn (capital market)

TT tn dng ngn hn qua NHTM

Th trng ngoi hi (foreign

exchangemarket)

TT tn dng di hn (t>1 nm)

TT chng khon (security market)1

II. Th trng ngoi hi1. Khi nim: Th trng hi oi l ni m din ra cc hot ng giao dch mua bn, trao i ngoi hi, trong ch yu l trao i, mua bn ngoi t v cc phng tin thanh ton quc t. Th trng thnh vin: TT ngoi t Lin ngn hng: L ni ch gm cc ngn hng, cc t chc tn dng thnh vin tin hnh trao i, mua bn ngoi t trc tip vi nhau = TT bn bun ngoi t TT ngoi t gia ngn hng v khch hng: TT bn l ngoi t:2

II. Th trng ngoi hiMc ch tham gia TTNH ca cc ngn hng: Phc v khch hng Qun l ngoi hi trong NH theo yu cu ca NHNN Kim li t chnh lch t gi -

Ni din ra giao dch ca TTNH: S GD ngoi hi Th trng v hnh, giao dch qua phng tin thng tin lin lc: ch yu thng qua in thoi, my tnh, fax

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-

Ch th tham gia giao dch trn TTNH: Cc ngn hng thng mi Ngn hng trung ng Mi gii (broker) Doanh nghip, t chc, c nhnc nhu cu mua bn ngoi hi

1. Khi nim TTNH

Hng ha trn TTNH: l ngoi hi, ch yu l ngoi t v

cc phng tin thanh ton bng ngoi t. Mua bn c thc hin bng tin mt v s d trn ti khon ngoi t.

4

2. c im th trng ngoi hiL mt th trng mang tnh ton cu, hot ng 24/24h do chnh lch mi gi cc nc L mt th trng nhy cm i tng kinh doanh ch yu: 85% cc giao dch ngoi hi hng ngy lin quan n cc ng tin: USD, EURO, GBP, JPY, AUD, CHF, CAD, trong USD v EURO chim t trng ln nht.

5

Phn loi theo cch t

3. Phn loi th trng Phn loi theo nghipv GD ngoi hi:- Th trng giao ngay - Th trng k hn

chc th trng:- Th trng tp trung - Th trng phi tp

trung - Th trng ch en

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4. Cc nghip v kinh doanh trn th trng ngoi hiFOREXPRIMARY OPERATIONS (Nghip v s cp) DERIVATIVE OPERATIONS (Nghip v phi sinh)

SPOT

FORWARD

SWAP

OPTION

FUTURE

OTC - OTC

EXCHANGE CENTER

7

4.1 Giao dch giao ngay (spot transaction) nh ngha: l GD m theo 2 bn thc hin mua bn 1 lng ngoi t theo t gi giao ngay ti thi im giao dch v kt thc thanh ton trong vng 2 ngy lm vic tip theo.(iu 2, Q 1452/2004-Q-NHNN) Bn cht: l GD mua bn ngoi t, trong vic thanh ton v giao nhn ngoi t xy ra ng thi

Thi gian giao ngoi hi v thanh ton = ngy gi tr (spot value date - SVD): thng thng l 2 ngy k t sau ngy k hp ng (T+2)

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Spot value date V d: Ngy k H mua ngoi t giao ngay l ngy 1/6 - spot value date = J+2 = 3/6 - Nu ngy 2/6 hoc ngy 3/6 l ngy ngh th spot value

date s c li li ti ngy lm vic tip theo gn nht, c th l ngy 4/6

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4.1 Giao dch giao ngay (spot transaction) T gi giao ngay spot rate (Rs):

- c xc nh da trn cung-cu trn th trng,

bin ng theo tng thi im giao dch.- T gi ny khng nht thit l t gi nim yt hng ngy ca ngn hng - L t gi c s (t gi gc)

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ngha:

4.1 Giao dch giao ngay (spot transaction)

- L giao dch thc (phc v nhu cu mua bn thc t v ngoi t) - Chim t trng GD ch yu trn th trng ngoi hi hng ngy - Gip cc NHTM cn bng trng thi ngoi hi (the foreign exchange position) - GD giao ngay cn phc v mc ch u c, gm gi ngoi t11

Trng thi ngoi hi - exchange position Khi nim: trng thi ca mt ngoi t l s chnh lch gia tng s mua vo v bn ra ngoi t ti mt thi im nht nh. 2.Close position: mua - bn = 0 3.Open position : mua - bn # 0 Long position : mua - bn > 0 Short position:

mua - bn < 0

FTU-2011

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Bi tp: Gi s ngn hng khng thu ph giao dch ca khch

hng khi mua bn ngoi t m s dng chnh lch gia gi bn v gi mua b p chi ph, hy xc nh mc ph giao dch (%) t chnh lch t gi lit k di y v in kt qu vo ct k bn:

13

Bi tpYt giUSD/VND: 20.860 20.870 GBP/USD: 1,6293 1,6299 EUR/USD: 1,3339 1,3342 AUD/USD: 1,0190 1,0195

Ph giao dch (%)

USD/JPY: 82,21 82,2614

Bi tp

Ph giao dch b p bi chnh lch gia gi bn v gi mua c xc nh theo cng thc sau: TGgibn TGmua X 100 Ph giao dch = TGmua

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4.2 Giao dch k hn (forward transaction) nh ngha: giao dch hi oi k hn l GD m theo 2 bn cam kt s mua, bn vi nhau 1 lng ngoi t theo mt mc t gi xc nh v vic thanh ton s c thc hin vo thi im xc nh trong tng lai (iu 2, Q 1452/2004-Q-NHNN) ngha: Phng nga ri ro bin ng t gi: Khi mua ngoi t k hn, nh NK c 1cng c chng li s tng t

gi Khi bn ngoi t k hn, nh XK c 1cng c chng li s st gim

t gi

u c hng chnh lch t gi16

4.2 Giao dch k hn (forward transaction)c im ca GD k hn: - L giao dch trn th trng OTC - Ngy gi tr k hn forward value date FVD = (J+2)+

x; x = thi hn ca H k hnGiao nhn v thanh ton H: 2 cch

+ Giao tht v thanh ton ton b + Hy H v thanh ton phn chnh lch t gi.

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4.2 Xc nh t gi k hn Forward rate (F)Exporter (VN)1/3/2011 Foods 1/6/2011 100.000$ 1/6/2011 VND = USD*F 1/3/2011 Forward contract 3month: sell 100.000$*F 1/3/2011 S(USD/VND) = 20.860 20.870 1/6/2011 ????

Importer

S1(USD/VND) = S2(USD/VND) = S3(USD/VND) =18

VCB

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4.2 Xc nh t gi k hn Forward rate (F)Importer (VN) 1/6/2011 100.000$ 1/3/2011 Foods 1/6/2011 VND = USD*F 1/3/2011 Forward contract 3month: buy 100.000$*F 1/3/2011 S(USD/VND) = 20.860 20.870 1/6/2011 ???? Exporter

S1(USD/VND) = S2(USD/VND) = S3(USD/VND) =19

VCB

Xc nh t gi k hn Gi s DN A khng k hp ng k hn, VND = 2, 087 t. Ngy 1/3/2011 S(USD/VND) = 20.870 DN c 2 cch s dng: Cch 1: Dng 2, 087 t VND mua 100.000 USD Gi 100.000 USD vo NH hng li 3 thng, Iusd = 5%/1

nm S tin DN A thu c sau 3 thng l

FV3mUSD = 100.000 + 100.000*3/12*5% = 101.250 USD20

Xc nh t gi k hnCch 2: Gi 2,078 t VND vo NH hng li 3 thng. Ivnd =

13%/1 nm S tin DN A thu c sau 3 thng l

FV3VND= 2,078 t + 2,078t*3/12*13% = 2.145.535.000VND

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Xc nh t gi k hn Theo quy lut ngang gi li sut IRP, hot ng u t trn

th trng tin t c bo him ri ro t gi s c mc li sut nh nhau d ng tin u t l ng tin no, v vy: S tin DN A thu c sau 3 thng bng VND l:

FV3mVND = FV3mUSD *F3m= 2.145.535.000/101.250 = 21.190,50

F3m = FV3mVND/FV3mUSD

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T gi k hn Cng thc tng qutPV gi tr hin ti; FV gi tr k hn PVT gi tr hin ti ca ng tin nh gi PVC gi tr hin ti ca ng tin yt gi FVT gi tr k hn ca ng tin nh gi FVC gi tr k hn ca ng tin yt gi IT - li sut ng tin nh gi Term currency IC - li sut ng tin yt gi Commodity currency n - k hn ca giao dch (n=N/12, N/360 hoc N/365) S - t gi giao ngay F - t gi k hn

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T gi k hn Cng thc tng qut Gi s t l trao i giao ngay gia ng tin nh gi

v ng tin yt gi l: T gi giao ngay l:

PVC = PVT S PVT PVC

Gi s t l trao i k hn gia ng tin nh gi v

ng tin yt gi l: T gi k hn l:

FVC = FVT F FVT FVC

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T gi k hn Cng thc tng qut FVT PVT . (1 IT .n) Ta c:

FVC PVC.(1 IC.n)FVT PVT . (1 IT .n) F FVC PVC.(1 IC.n)

Vy t gi k hn gia ng tin nh gi v ng tin

yt gi l:

F

F25

S.(1 IT.n) (1 IC.n)

(1)

T gi k hn Cng thc tng qut Bin i cng thc (1) ta c cng thc tnh t gi k

hn dng phn tch nh sau:

F S

S .n.( IT IC ) (1 IC.n)

(2)

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4.3 Giao dch tng lai (future transaction) Khi nim: GD tng lai v bn cht l 1 giao dch k hn c thc hin ti s GD v i tng GD l cc H ngoi t c tiu chun ha v loi, s lng ngoi t v thi thi gian thanh ton. VD: H ngoi t tng lai c giao dch ti sn Chicago vi c im nh sau: - loi ngoi t: CAD, CHF,AUD,GBP,JPY mua bn trc tip vi USD; - s lng tin t ca mi H: 100000CAD/H; 62500GBP/H - Thi gian thanh ton: th 4 ca tun th 3 ca cc thng 3,6,9,12.

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4.3 Giao dch tng lai (future transaction) -

c im ca GD tng lai : Tnh tiu chun ho cao c thc hin ti cc s giao dch L giao dch mang tnh u c ln L giao dch thng qua nh mi gii (broker), trong ngi mua v ngi bn H future phi c khon k qu (margin) ti broker v phi tr ph cho broker - t gi trong H future thng cao hn trong H forward do ph GD future thng cao hn ngha ca GD future: thc cht l u c ngoi t28

So snh H tng lai v H k hnTiu ch so snha im giao dchGi tr H ng tin giao dch

FutureThc hin ti s GD: GD qua mi gii Tiu chun ho, vd 100000$ c chun ho, l cc ng tin USD,GBP, EURO

ForwardThc hin ti TT OTC: GD trc tip tu thuc 2 bn tham gia H L tt c cc ng tin Theo tho thun gia cc bn k kt hp ng H mua bn t do tha thun29

Mc bin ng t c gii hn bi s gi hng ngy giao dch Mu hp ng H c chun ha ti s GD

So snh H tng lai v H k hnTiu ch so snh Future ForwardH c ngy gi tr Ngy gi tr H nht nh trong (ngy o hn) tng lai ngha Ngy gi tr theo tha thun trong H H ch yu mang H u c n chnh tnh cht phng lch t gi nga ri ro Ch TT khi ht hn H TT theo ngy H kt thc bng H c th kt thc vic giao nhn tht vo thi im bt k vo ngy tha thun trc30

Kt thc H

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4.4 Giao dch hon i ngoi t (swap transaction)Khi nim: 1452/Q-NHNN, iu 2:

Hon i ngoi t l giao dch ng thi mua v bn

cng mt lng ngoi t, trong k hn thanh ton ca hai giao dch l khc nhau v t gi ca 2 giao dch c xc nh ti thi im k kt hp ng

31

c im hp ng hon i ngoi t

mua vo v bn ra ng thi mt ng tin ti ngy hm nay cng mt s lng mua vo v bn ra t gi khc nhau: t gi ca hai giao dch c xc nh ti thi im k hp ng. ngy gi tr mua vo # ngy gi tr bn ra giao dch thc hin trn th trng OTC v khng c qui nh chun32

Cc hnh thc ca Swap Spot Forward Swap: Mua giao ngay ngoi t v cng mt lc s bn cng lng ngoi t cho cng mt ngn hng trn th trng k hn (swap-in). V d: u t tri phiu chnh ph nc ngoi. Bn giao ngay ngoi t v cng mt lc s mua k hn lng ngoi t (swap-out). V d: vay ngoi t. Forward - Forward Swap Mua k hn ngoi t v cng 1 lc bn k hn lng ngoi t vi k hn khc. Mua v bn ngoi t trong cng mt ngy (rollover).33

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V d 1:Hin ti, Doanh nghip XNK A cn thanh ton ngay 100.000 USD cho mt hp ng nhp khu n hn. Sau 3 thng na DN s thu c 100.000 USD t hp ng XK. => p ng v nhu cu ngoi t, ng thi phng nga ri ro bin ng t gi USD/VND DN k vi VCB H Swap 3 thng 100.000 USD.

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V d 1:H c thc hin vi cc bc sau:-

mua spot 100.000 USD vi t gi S(USD/VND) tho thun. bn Forward 100.000 USD sau 3 thng vi t gi k hn F(USD/VND)

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V d 2:Doanh nghip XNK B va thu c 50.000 EUR t hp ng xut khu v cn i ra VND chi tr trong nc. Ngoi ra, sau 2 thng na n hn thanh ton HNK tr gi 50.000 EUR. => p ng v nhu cu VND v ngoi t ng thi phng nga ri ro bin ng t gi EUR/VND doanh nghip k vi VCB H Swap 2 thng 50.000 EUR.

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V d 2:H c thc hin vi cc bc sau:-

bn spot 50.000 EUR vi t gi S(EUR/VND) tho thun trc. mua Forward 50.000 EUR sau 2 thng vi t gi k hn F(EUR/VND)

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V d 3VCB nhn -c 1 khon tin gi k hn 3 thng bng EUR ca khch hng A, ng thi phi cung cp 1 khon tn dng 3 thng = USD cho khch hng B. Hin ti, VCB khng c USD. VCB c th: Mang gi EUR NH khc sau vay USD cp cho KH B hoc Bn ngay EUR mua USD cung cp cho khch hng B v K hp ng mua EUR k hn 3 thng bng USD Vi giao dch SwapVCB lun bo ton vn v c th thu li nh chnh lch li sut gia 2 ng tin.

38

V d 3 Trong v d trn, gi s trn th trng: Li sut ca EUR l 3.5%/nm, li sut ca USD l 3%/nm T gi S(EUR/USD) = 1,4500/1,4505 S tin c l 1.000.000 EUR Nu thc hin giao dch Swap ta c:

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V d 4T gi th trng EUR/VND: 28.600- 29.200 ieuro = 0,9% - 2%; iVND = 13% - 15,5% Trong cng 1 ngy ti ngn hng: DN A c khon thu EURO t hp ng xut khu v cn

VND chi tr trong nc. Sau 3 thng A c 1 hp ng nhp khu cn phi thanh ton bng EURO. khu v trong 3 thng na s nhn c khon thanh ton hp ng xut khu v nh bn khon thu ny ly VND.

DN B ang cn thanh ton EURO cho hp ng nhp

Xc nh cc giao dch m ngn hng s thc hin vi 2 cng ty ny?

41

ngha ca Giao dch hon i cung cp mt cng c hu hiu x l cc lung tin

d tha hay thiu ht m khng khng lm thay i trng thi ngoi hi. khng nh hng n kh nng vay v tr n ca cc bn tham gia do bn cht ca giao dch ch l trao i cc ng tin ch khng phi l s trao i cc khon vay, cho vay.

44

Phm vi ng dng ca giao dch hon i ngoi t i vi cc nh u t v i vay bng ngoi t:

c s dng rng ri nht Nh u t vo tri phiu kho bc nc ngoi s

dng giao dch Spot-Forward Swap Sc hp dn ca giao dch hon i i cc nh u

t quc t l n c th mang li mc li sut cao hn bn cnh phng nga c ri ro t gi.

i vi XNK: t ph bin hn, thng s dng

nhm ko di hay rt ngn thi hn ca cc hp ng ngoi hi k hn x l cc trng thi ngoi t ca doanh nghip45

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Phm vi ng dng ca giao dch hon i ngoi hi i vi cc ngn hng: s dng tch cc vo

phng nga bo him ri ro t gi vi l do: NH s hu nhiu hp ng lin quan n cc ng tin khc nhau vi cc ngy gi tr khc nhau. Ti mt thi im nht nh, i vi mt s ng tin NH trng thi ngoi hi trng Ti thi im khc, vi nhng ng tin khc li trng thi ngoi hi on

46

Hn ch ca giao dch hon i ngoi t Tnh bt buc thc hin hp ng T gi thc hin ti 2 thi im: k kt v ngy o

hnkhng tn dng c hi bin ng t gi kinh doanh

thu thm li nhun

47

BI TP THAM KHO ng1:dng giao dch Swap BITh trng c cc thng s sau: S(SGD/USD)= 1,8245 F3(SGD/USD)= 1,8038 iUSD=9%/nm, iSGD=4,25%/nm Xc nh cc giao dch kinh doanh 1 triu USD c li Gi : iUSD > iSGD: Vay SGD, u t USD bng swap thng qua mua spot USD ng thi bn USD k hn 3 thng

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Bi 2 hng TMCP Ngoi thng Vit Nam cng b vi khch hng Ngnthng tin nh sau: S(EUR/VND) = 29.770 - 30.570; IEUR = 0,5% - 2%;IVND = 13% - 18,2%(c s tnh li 360 ngy/12 thng). Trong cng 1 ngy ti ngn hng: DN A c khon thu 150.000 EURO t hp ng xut khu v cn VND chi tr trong

nc. Sau 2 thng A c 1 hp ng nhp khu tr gi 150.000 cn phi thanh ton bng EURO. Hin ti, DN B ang cn thanh ton s tin 150.000 EURO cho hp ng nhp khu v

trong 2 thng na s nhn c khon thanh ton hp ng xut khu c gi tr tng ng v nh bn khon thu ny ly VND.

p ng cho nhu cu v ngoi t ca mnh v phng nga ri ro bin ng t gi, hai doanh nghip k hp ng giao dch hon i vi Ngn hng. Xc nh cc giao dch v li nhun ca ngn hng TMCP Ngoi thng Vit Nam khi thc hin hp ng vi 2 cng ty ny?49

4.5 Giao dch quyn chn (Option transaction) nh ngha: 1452/Q-NHNN, iu 2:

Giao dch quyn la chn tin t (sau y gi l giao dch quyn la chn) l giao dch gia bn mua quyn v bn bn quyn, trong bn mua quyn c quyn nhng khng c ngha v mua hoc bn mt lng ngoi t xc nh mt mc t gi xc nh trong mt khong thi gian tho thun trc. Nu bn mua quyn la chn thc hin quyn ca mnh, bn bn quyn c ngha v bn hoc mua lng ngoi t trong hp ng theo t gi tho thun trc.50

V d Khch hng k mt H quyn chn mua 100.000 GBP vi t gi GBP/VND (strike option) = 35.200; giao sau 5 thng; t cc 1.000VND cho 1 GBP. Vo thi im thc hin H, khch hng sau khi tr ph c quyn la chn:

Nu S(GBP/VND) = 33.000 => KH hy H v mt tin t cc Nu S(GBP/VND) = 36.000 => KH tip tc thc hin H (c quyn mua 100.000 bng Anh vi t gi 35.200).51

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Cc bn tham gia hp ng quyn chn

Ngi mua hp ng (buyer):

Phi tr ph quyn chn (chnh l gi H quyn chn option premium/option fee/option price)

Khng phi k quc quyn la chn:

Thc hin hp ng (Tin hnh mua hoc bn ng tin ti t gi tho thun trc) nu thy c li hu hp ng nu thy bt li Chuyn nhng hp ng52

Cc bn tham gia hp ng quyn chn Ngi bn hp ng (seller/writer/grantor):

C ngha v phi tin hnh giao dch theo yu cu ca ngi mua hp ng khi quyn chn c thc hin c nhn khon ph - premium k c khi quyn chn khng c thc hin

53

Phn loi quyn chnHp ng quyn chn mua (call option) L mt cng c ti chnh, cho php ngi mua c quyn (ch khng phi ngha v) mua mt ng tin nht nh theo mt t gi tho thun trc trong mt khong thi gian xc nh

Hp ng quyn chn bn (put option) L cng c ti chnh cho php ngi mua c quyn (ch khng phi ngha v) bn mt ng tin nht nh theo mt t gi tho thun trc, trong mt khong thi gian xc nh54

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Hp ng quyn chn Ngi mua quyn chn Ngi bn quyn chn ng tin tham gia giao dch

T gi quyn chn Ph quyn chn Hnh thc la chn: quyn chn mua hay quyn chn bn (loi quyn chn) Thi hn gi tr ca hp ng: thng giao ng trong khong thi gian t 3 n 365 ngy Kiu quyn chn55

4.5 Giao dch quyn chn Thc hin ti cc s GD v OTC

Ph quyn chn (option premium): L s tin m nh u t, ngi mua hp ng quyn chn ng tr tin cho hp ng quyn chn mua hoc hp ng quyn chn bn Ph mua H quyn chn mua = call premium Ph mua H quyn chn bn = put premium

Tnh linh hot ca ph Option l c im ni bt ca giao dch Option.

56

Kiu quyn chn Quyn chn kiu M Quyn chn kiu chu u - Cho php thc hin quyn ch cho php thc hin chn vo nhng ngy lm vic giao dch ti thi im trong tun trong thi gian c hp ng o hn hiu lc ca hp ng v trc khi hp ng o hn - Vic thanh ton thc t c thc hin sau khi tin hnh quyn chn t 1 n 2 ngyTT option option

57

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Gi trong hp ng quyn chn ngoi hi T gi thc hin quyn chn/ T gi giao

dch (Option strike/Exercise price): t gi ti ngoi t c mua hay bn, l t gi c nh tha thun t trc s p dng khi thc hin giao dch quyn chn.

58

Ph quyn chn Ph quyn chn (option premium/price/cost/ value of option) - L s tin m ngi mua quyn chn sn sng tr cho ngi bn quyn chn.

l ph tr trc (nu tr sau th ngi mua phi chu li sut, gi l Boston-Style option).Trn th trng OTC, ph quyn chn c yt theo % ca gi tr giao dch. Trn s giao dch, ph quyn chn c yt theo s ni t phi tr cho 1 n v ngoi t.59

Biu din li l ca hp ng quyn chn muaGi tr Long call

$0,0005 0 -$0,0005Short call E= $1,5000 $1,5005T gi thc hin

Lu : th biu din gi tr ca mt hp ng quyn chn ti thi im o hn60

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Li l ca hp ng quyn chn mua option call i vi buyer:

Li l l mt ng gp khc (ng in lin m) i ln pha bn phi mt gc 45 t mc gi thc hin E. i vi writer: Li l l mt ng gp khc (ng chm ri) i xung pha bn phi mt gc 45 t mc gi thc hin E.61

Biu din li l ca hp ng quyn chn bnGi tr Long put

$0,0005

0

-$0,0005

Short put

T gi thc hin$1,49950 E= $1,5000

Lu : th biu din gi tr ca mt hp ng quyn chn ti thi im o hn62

Li l ca hp ng quyn chn bn option put nu t gi th trng < t gi thc hin, ngi mua hp ng quyn chn bn s thc hin quyn v nhn c mt khon li nhun bng (E S). nu t gi th trng>= t gi thc hin, ngi mua hp ng quyn chn bn s khng thc hin quyn v khng nhn c g (0). Ti mc t gi 1,4995 USD, li ca ngi mua hp ng quyn chn bn l 0,0005 USD; ngi bn s b l do phi mua EURO vi gi 1,5000USD trong khi gi tr ca n l 1,4995USD.63

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LI L CA H QUYN CHNC = [a.(E S) p].n C - Li nhun hp ng quyn chn S - t gi spot ti thi im o hn H option E - t gi quyn chn (exercise price) n - s lng ngoi t cn mua theo hp ng quyn chn p ph quyn chn/option premium Nu l H option put => a=1 Nu l H option call => a = -164

c gi quyn chn In the money - c gi quyn chn: l trng thi

nu b qua ph quyn chn khi thc hin hp ng ngi mua quyn chn thu c li nhun. i vi call option: c gi quyn chn khi ti

thi im o hn hp ng t gi thc t > t gi quyn chn. i vi put option: c gi quyn chn khi ti thi im o hn hp ng t gi thc t < t gi quyn chn.

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Mt gi quyn chn Out of the money - gim gi quyn chn: nu b

qua ph quyn chn ngi mua hp ng quyn chn s chu thua l khi thc hin quyn chn. i vi call option: mt gi quyn chn khi ti

thi im o hn hp ng t gi thc t < t gi quyn chn. i vi put option: mt gi quyn chn khi ti thi im o hn hp ng t gi thc t > t gi quyn chn.

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Ngang gi quyn chn At the money ngang gi quyn chn: L trng thi

khi mt quyn chn mua hoc bn nu b qua ph quyn chon ti thi im o hn hp ng t gi thc t th trng v t gi quyn chn c gi tr ngang nhau (quyn chn im vn ho kh).

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V dStrike price 1175 1170 1165 > = < Spot price 1170 1170 1170 OTM ATM ITM ITM ATM OTM68

Calls

Puts

VD: s dng buy a call cho mc ch u t Nh u t d bo trong tng lai USD ln gi so vi VND => buy a call Gi tr H = 100.000USD T gi thc hin E (Exercise price) = 20.500 VND Ph mua quyn chn mua p = 50 VND Kt qu li/l kinh doanh quyn chn ty thuc vo mc bin ng t gi giao ngay trn TT (S) i vi Quyn chn mua: S > E =>H sinh li (ITM) S = E => H ha vn (ATM) S < E => H b l (OTM)69

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5/7/2012

VD: s dng buy a call cho mc ch u t T gi ha vn = E + p = 20.500 +50 = 20.550 Tng chi ph mua quyn chn:

= 100.000 x 50 = 5.000.000 VND Biu din kt qu kinh doanh ca nh u t vi din bin t gi giao ngay l:T gi 20.450 20.500 20.530 20.550 20.600 20.670 20.700 giao 20.400 ngay70

VD: s dng buy a call cho mc ch u tT gi 20,400 Ph mua quyn chn mua VND thu c khi thc hin quyn chn VND thu c khi bn USD giao ngay Li (+)/L(-) -5,000 -5,000 5,000 20,450 5,000 20,500 5,000 20,530 5,000 20,550 5,000 20,600 5,000 20,670 5,000 20,700 5,000

2,050,000 2,050,000 2,050,000 2,050,000 2,050,000 2,050,000

2,050,000 2,053,000 2,055,000 2,060,000 2,067,000 2,070,000

-5,000

-2,000

0

5,000

12,000

15,00071

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