What are derivatives? ● 林扬圣博士 Dr Joseph Lim A derivative is a financial instrument whose value is derived (hence the name) from an underlying asset. For example, the value of a warrant depends on the value of the underlying share (or "mother share"). Or the value of a gold futures contract is derived from the current price of gold. Derivatives come in two forms: options and futures. There are two types of options: a call and a put. A call gives the holder a right, but not the obligation, to purchase a share at a fixed price, known as the exercise price (Warrants and TSRs are essentially calls). A put gives the holder the right, but not the obligation, to tender a share and receive, in return, a fixed price. If you think that the share price of a company is going to rise, one way to profit from this is to buy its shares. However, if you are wrong, and the share price falls instead, you would have suffered a loss. The size of the loss would depend on how much the price falls, something difficult to know ahead of time. Such an uncertainty may prevent you from acting on your hunch. However, if from the start you know exactly how much you stand to lose if your hunch is wrong, you may be emboldened to act. This is possible if you buy a call with the exercise price equal to the current share price. The maximum amount you can lose is the price of the call. Why? Remember that a call gives you the right, but not the obligation, to purchase a share. If the share price rises above the exercise price, you would exercise the option. You pay the exercise price and receive a share which is worth more. However, if the share price falls below the exercise price, you do nothing. The maximum amount you can lose is the call price, regardless of how much the share price has fallen. What about the situation where you want to profit from a possible fall in the share price of a company? One way is to sell short its shares. The other is to buy a put with an exercise price equal to the current share price. If the price indeed falls, you would buy a share, tender it with the put and receive the exercise price, placing you in a similar situation had you sold short the shares. Should the price rise instead, your loss would be limited to the price of the put. However, someone who sells short the shares may end up with very substantial losses if the price rises by a large amount. The price of an option depends on five factors: the share price, the exercise price, the time to expiration, the interest rate and the volatility of the underlying share price. The higher the share price or the lower the exercise price the more valuable a call. This is because the call gives us the right to buy the share at a fixed price. Options have lives of up to one year (5 years for warrants). The longer the time to expiration, the more valuable the option. The higher the interest rate, the more a call is worth. A rise in the interest rate makes the present value of the price you pay for the share, the exercise price, lower. Finally, the higher the volatility of the share price, the more valuable the option. Another difference between investing in options and the underlying share arises from the limited life of the option. Unlike options, a forward contract makes you obligated you to either buy or sell an asset at a future date, but at a price determined today. For example, you may enter into a gold forward contract to buy for delivery in February 1999, 100 ounces of gold at a price of US$300 an ounce. Futures contracts are like forward contracts except that the terms of the contract, namely the quantity and the delivery date, are standardised. This makes each contract freely interchangeable with another contract. This permits their trading on an exchange thus enhancing liquidity. Suppose you believe the price of gold will rise next year from increased economic uncertainty, you could act on your belief by buying gold bars. However, a more efficient way is to buy a gold futures contract. Next year, if the price of gold has risen, you would make a profit. However, if the gold price falls, instead, you would sustain a loss having to buy gold at a price much higher than the current market price. Unlike options, a futures contract does not offer limited losses. (The writer is Director, MSc in Applied Finance Program at the National University of Singapore) 什么是衍生东西？ 衍生东西是一种其价值是衍生自待敲资产的金融东西。例如：凭 单的价值取决于待敲股票（或母股）的价值，大概黄金期货条约的价 值是来自黄金的现价。衍生东西有两种：期权和期货。 期权有两种：买进期权（或看涨期权）和沽出期权（或看跌期权 ）。买进期权给以权利，而非强制约束，持有人以固订价格，称为转 换价（凭单实质上是买进期权）来购置股票。 沽出期权则给以权利，而非强制约束，持有人以固订价格卖出股 票。 如果你认为某家公司的股价会上涨，一个谋利的要领就是吸购有 关股票；如果预计错误，股价反而下跌了，你将会承受损失。吃亏程 度将取决于价格的跌幅。不外，在这之前长短常难预测的。这个不明 确因素可能阻挠你凭直觉动作。 然而，如果你一早就知道要是直觉错了，你会承受几多吃亏，那 你可能会兴起勇气动作。你可以通过购置进期权这么做，个中，期权 的转换价即是股票的现价。你所可能承受的最大吃亏是期权的价格。 怎么说呢？ 买进期权给以权利，而非强制约束持有人吸购股票。因此，如果 股价比转换价高，你就会行使有关期权。你只要付出转换费，就换得 价值更高的股票。 然而，如果股价比转换价低，你不需要采纳动作。无论股价下跌 了几多，你最多会承受的吃亏额是买进期权的价格。 如果你要在公司股价下跌中赚取利润，一个方法是卖空股票。另 一个方法是购置沽出期权，其转换价相即是目前的股价。 如果股价真的下跌，你就购置股票，行使沽出期权，然后取得转 换价。这个环境和你卖空股票一样。如果价格上升，你的吃亏将局限 于沽出期权的价值。 然而，现代职业教育杂志社，要是价格大幅度上升，卖空股票的人士可能会承受巨大亏 损。 期权的价格取决于5个因素：股价、转换价、转换期限、利率和 股价的颠簸。 股价越高，大概转换价越低，买进期权越有价值。这是因为买进 期权给以我们权利以固订价格买进股票。 期权的有效期限长达一年（凭单则为5年）。有效期限越长，期 权的价值就越高。 利率越高，买进期权就越有价值。利率上升，将使你所付出的转 换价的现值较低。 最后，股价的颠簸越大，期权就越有价值。 投资于期权和股票的另一差异点是，期权的寿命有限。期权价格 在快要到期时的颠簸越大。 和期权差异的是，远期条约约束你在未来的日子里吸购或卖出某 个资产，不外，价钱则在今天制定。举个例子，你可以立订黄金远期 条约，以每安士300美元的价格购置100安士的黄金，并在1999年2月 交收。 期货和远期条约一样，不外，前者的条约条件，包罗：数额和交 收日期是标准化的。这使得某宗条约可以等闲和另一条约互换。它们 能在交易所交易，增加流量。 假设由于经济日益不不变，你相信黄金价格明年将会上扬。你可 以采纳动作购置金条。不外，一个更有效率的方法是吸购黄金期货合 同。隔年，如果金价上升，你将会有利可图。然而，如果金价下跌， 你将会承受吃亏，因为你得以比市价还要高的价钱购置黄金。 和期权差异的是，期货条约的吃亏不是有限的。 （本文作者是新加坡国立大学企业打点系实用金融课程主任。本栏是 新加坡股票交易所和新加坡投资打点协会联办的公家教育打算。）
