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Investors are dusting off an old strategy -- options overlay. When it works, it offers both yield enhancement and risk management.
Investors are dusting off an old strategy -- options overlay. When it works, it offers both yield enhancement and risk management.
由Rich Blake.
2002年9月
亚博赞助欧冠机构投资者杂志
How can an investor wring a positive return out of this grim equity market? These days some smart money is utilizing an equity derivatives strategy that first gained acceptance during the late 1970s: writing covered calls. Although no one tracks exactly how much money is going into covered calls, also known as options overlay, the approach is making a comeback. Industry observers reckon that about $5 billion in U.S. assets -- roughly five times the level of just a few years ago -- are tied up in the strategy. Several billion more are probably invested in covered calls in Europe.
“我们已经看到对我们的选择覆盖策略的兴趣日益越来越令人兴奋，”帕萨迪纳（Pasadena）的衍生物战略负责人，加利福尼亚州的第一个象限，140亿美元的量化资产经理，达到了3.5亿美元，以3.5亿美元的新资金为选项呼叫写作过去一年。“这是一个纯粹的alpha策略，在这个市场中，人们可以使用他们可以获得的所有额外alpha。”
股票衍生品主管查尔斯·安嫩代尔说for SG Securities in London, "Covered call writing makes a huge amount of sense for those with a neutral to bearish market outlook." Peter Allen, head of European equity derivatives strategy for J.P. Morgan, endorses that judgment. "Covered call writing allows fund managers to rearrange their risk-return landscape in a way that is more difficult to do with underlying equity alone," he says. "You swap upside return above the strike price in return for enhancing returns in down, flat or even modestly upward markets."
A growing roster of money managers, including Goldman Sachs International's equity derivatives group, working on behalf of a small number of clients, offer options overlay as a strategy for yield enhancement and volatility management.
Options overlay aims to collect cash in tiny increments by writing calls on stocks that investors believe will either remain flat or move only slightly up or down. Writing a call essentially amounts to selling someone the right to buy a security, in this case shares of a stock, at an agreed upon strike price for a nominal fee -- usually about 60 cents to 80 cents a share. The hope is that the stock won't reach the strike price during a specified period of time, usually 60 to 90 days.
For example, if you own a $50 stock with a strike price of $55, someone on the other side of the trade might agree to pay you a 2.6 percent premium, or roughly $1.30 a share, for the right to buy the stock in a bet that the shares will go higher than $55 over a 90-day strike period, making the conservative assumption of 30 percent volatility versus the current average of 40 percent.
写下呼叫的人预计未到期的到期时间就可以达到罢工价格。每次呼叫都是在没有呼叫的股票上写的，投资者口袋那个名义费，仍然拥有股票。
当它工作时,有抵补看涨期权是一个rela写作tively low-risk, income-generating exercise that sweeps money into an investor's account every two or three months. For example, for a call writing program involving $100 million worth of shares (say, 100,000 shares each of 20 stocks, at an average price of $50 per share) the premium -- assuming it works -- could be in the neighborhood of $2.5 million for each strike period.
科罗拉多州公共雇员的退休协会包括涵盖呼叫写作。“我们减少了我们的投资组合的波动;我们收到了销售电话的收入;我们能够增加我们的股权暴露，并与其他养老基金相比，仍然保持中位风险，”该计划副主任诺曼本尼迪克说。“然而，”他补充说，“我们现在使用该计划到更小的程度，我们认为市场状况正在改善。”
For the moment, at least, U.K. pension funds rarely use covered calls. Says the head of investments for one of the largest British corporate pension funds: "The U.K. is slower at using this type of instrument than our U.S. and continental European counterparts simply because we do not understand them. We're less well versed in esoteric instruments."
有涵盖的呼叫编写程序利用列出和柜台过度股票期权，就像在20世纪70年代末已重新回归一样。但是技术现在增强了比赛，使得该策略对从业者更有利可图，同时允许更多的风险控制和增加的透明度。
当战略首次宣告（潜在的数学理论日期为1973年创建Black-Scholes options定价模型）时，利润往往被高高价的差点食用，因为在期权市场上有很少的流动性。同时，20世纪80年代初的计算硬件繁琐且昂贵。今天上市市场'和OTC市场的出价市场的出价展示已经归结，计算机软件当然是更强大的。
That's a good thing, say proponents of options overlay, because these days a long-only position (or simply holding shares) is riskier than ever. These strategies can help minimize risk by generating income to offset losses in an extended market slide. Meanwhile, part of the cash premium can be used to buy puts, which provide downside protection if desired.
"Whether they like it or not, long-only equity investors own all this volatility -- all these possible up-and-down outcomes that come and go every day," explains Karlheinz Muhr, founder of New Yorkbased Volaris Advisors.
由于它在一年多之前设置了商店以来，Valaris在少数机构和富人的股票选择组合中积累了7亿美元。“我们帮助塑造，优化和利用这些未来的结果，”Muhr说。“这相当于创建合成股息。我们没有创建价值，而是我们捕获已存在的值。”
A native of Austria, Muhr is the former head of UBS Warburg's Global Executive Group, a high-net-worth division of the firm. He had spent much of his career at Warburg and before that at Credit Suisse First Boston working with institutions on mortgage-backed and other fixed-income derivatives strategies. It was in this capacity in 1999 that Muhr first came to realize that the extended bull market had slowed the advancement of equity derivatives strategies.
“机构使用的最先进的衍生产品都在固定收入区域，”Muhr回忆起。“在股权方面，机构已经习惯了习惯于没有真正需要做任何事情的想法，而不仅仅是久违，”他解释道。“任何简单地持有资产的大型投资者 - 并没有做任何其他事情，而是持有它并等待它来欣赏 - 就像一个拥有一个拥有葡萄园的人，严格作为房地产投资，但从不使用葡萄制作葡萄酒。“
Through this strategy Volaris aims to create extra yield of 200 to 400 basis points per year. Using proprietary volatility-management analytical software and considerable computer horsepower, the firm's portfolio managers write covered calls on stocks identified quantitatively as having a 20 percent chance or less of being called away. "If the computer gets it right four out of five times," says Muhr, "we are in the money."
Recently, a prospective Volaris client back-tested the firm's system against the top 20 stocks in its 2001 portfolio, which had fallen 16 percent during the year. The Volaris system, says Muhr, would have provided an extra 600 basis points, leaving the portfolio with a 10 percent loss. "That's a huge difference," Muhr says.
随着市场卷扬，波动率一直稳步攀升 - 使投资者对有效风险管理进行更多更敏感。瑞克，芝加哥董事会选项交易所广泛跟随市场波动指数，上涨了近30％ - 达到今年最高水平 - 在8月的前两天。在欧洲，涵盖的呼叫写作最受欢迎的高净值人物，达克斯的波动率在7月中旬和8月初再次飙升。
“在五年来，波动性管理将是其自己的单独资产类别，凭借货币管理，”Muhr预测。
But not everyone is convinced.
“编写有涵盖的呼叫选项的投资组合将在平坦到下行市场，但在强大的市场中表现明显，”Todd Petzel“，直到上个月的Commonfund Cio，这是一个经理大多数与大学禀赋一起工作。当市场出乎意料地飙升时，Petzel解释说，更多的股票将被呼叫，可以想到擦除以前的所有收益。“选项叠加策略可能看起来像一个免费的午餐，但我们都知道这项业务中没有这样的事情。”面对市场最近的热点，SG证券'Annandale表示，“股票预定销售价格锁定的想法需要很多肠道。”
罗斯Turnbull是一家与温哥华的经纪Odlum Brown的分析师，专门从事股权衍生产品，“如果某些东西看起来太好了，那可能是。”
由Rich Blake.
2002年9月
亚博赞助欧冠机构投资者杂志
How can an investor wring a positive return out of this grim equity market? These days some smart money is utilizing an equity derivatives strategy that first gained acceptance during the late 1970s: writing covered calls. Although no one tracks exactly how much money is going into covered calls, also known as options overlay, the approach is making a comeback. Industry observers reckon that about $5 billion in U.S. assets -- roughly five times the level of just a few years ago -- are tied up in the strategy. Several billion more are probably invested in covered calls in Europe.
“我们已经看到对我们的选择覆盖策略的兴趣日益越来越令人兴奋，”帕萨迪纳（Pasadena）的衍生物战略负责人，加利福尼亚州的第一个象限，140亿美元的量化资产经理，达到了3.5亿美元，以3.5亿美元的新资金为选项呼叫写作过去一年。“这是一个纯粹的alpha策略，在这个市场中，人们可以使用他们可以获得的所有额外alpha。”
股票衍生品主管查尔斯·安嫩代尔说for SG Securities in London, "Covered call writing makes a huge amount of sense for those with a neutral to bearish market outlook." Peter Allen, head of European equity derivatives strategy for J.P. Morgan, endorses that judgment. "Covered call writing allows fund managers to rearrange their risk-return landscape in a way that is more difficult to do with underlying equity alone," he says. "You swap upside return above the strike price in return for enhancing returns in down, flat or even modestly upward markets."
A growing roster of money managers, including Goldman Sachs International's equity derivatives group, working on behalf of a small number of clients, offer options overlay as a strategy for yield enhancement and volatility management.
Options overlay aims to collect cash in tiny increments by writing calls on stocks that investors believe will either remain flat or move only slightly up or down. Writing a call essentially amounts to selling someone the right to buy a security, in this case shares of a stock, at an agreed upon strike price for a nominal fee -- usually about 60 cents to 80 cents a share. The hope is that the stock won't reach the strike price during a specified period of time, usually 60 to 90 days.
For example, if you own a $50 stock with a strike price of $55, someone on the other side of the trade might agree to pay you a 2.6 percent premium, or roughly $1.30 a share, for the right to buy the stock in a bet that the shares will go higher than $55 over a 90-day strike period, making the conservative assumption of 30 percent volatility versus the current average of 40 percent.
写下呼叫的人预计未到期的到期时间就可以达到罢工价格。每次呼叫都是在没有呼叫的股票上写的，投资者口袋那个名义费，仍然拥有股票。
当它工作时,有抵补看涨期权是一个rela写作tively low-risk, income-generating exercise that sweeps money into an investor's account every two or three months. For example, for a call writing program involving $100 million worth of shares (say, 100,000 shares each of 20 stocks, at an average price of $50 per share) the premium -- assuming it works -- could be in the neighborhood of $2.5 million for each strike period.
科罗拉多州公共雇员的退休协会包括涵盖呼叫写作。“我们减少了我们的投资组合的波动;我们收到了销售电话的收入;我们能够增加我们的股权暴露，并与其他养老基金相比，仍然保持中位风险，”该计划副主任诺曼本尼迪克说。“然而，”他补充说，“我们现在使用该计划到更小的程度，我们认为市场状况正在改善。”
For the moment, at least, U.K. pension funds rarely use covered calls. Says the head of investments for one of the largest British corporate pension funds: "The U.K. is slower at using this type of instrument than our U.S. and continental European counterparts simply because we do not understand them. We're less well versed in esoteric instruments."
有涵盖的呼叫编写程序利用列出和柜台过度股票期权，就像在20世纪70年代末已重新回归一样。但是技术现在增强了比赛，使得该策略对从业者更有利可图，同时允许更多的风险控制和增加的透明度。
当战略首次宣告（潜在的数学理论日期为1973年创建Black-Scholes options定价模型）时，利润往往被高高价的差点食用，因为在期权市场上有很少的流动性。同时，20世纪80年代初的计算硬件繁琐且昂贵。今天上市市场'和OTC市场的出价市场的出价展示已经归结，计算机软件当然是更强大的。
That's a good thing, say proponents of options overlay, because these days a long-only position (or simply holding shares) is riskier than ever. These strategies can help minimize risk by generating income to offset losses in an extended market slide. Meanwhile, part of the cash premium can be used to buy puts, which provide downside protection if desired.
"Whether they like it or not, long-only equity investors own all this volatility -- all these possible up-and-down outcomes that come and go every day," explains Karlheinz Muhr, founder of New Yorkbased Volaris Advisors.
由于它在一年多之前设置了商店以来，Valaris在少数机构和富人的股票选择组合中积累了7亿美元。“我们帮助塑造，优化和利用这些未来的结果，”Muhr说。“这相当于创建合成股息。我们没有创建价值，而是我们捕获已存在的值。”
A native of Austria, Muhr is the former head of UBS Warburg's Global Executive Group, a high-net-worth division of the firm. He had spent much of his career at Warburg and before that at Credit Suisse First Boston working with institutions on mortgage-backed and other fixed-income derivatives strategies. It was in this capacity in 1999 that Muhr first came to realize that the extended bull market had slowed the advancement of equity derivatives strategies.
“机构使用的最先进的衍生产品都在固定收入区域，”Muhr回忆起。“在股权方面，机构已经习惯了习惯于没有真正需要做任何事情的想法，而不仅仅是久违，”他解释道。“任何简单地持有资产的大型投资者 - 并没有做任何其他事情，而是持有它并等待它来欣赏 - 就像一个拥有一个拥有葡萄园的人，严格作为房地产投资，但从不使用葡萄制作葡萄酒。“
Through this strategy Volaris aims to create extra yield of 200 to 400 basis points per year. Using proprietary volatility-management analytical software and considerable computer horsepower, the firm's portfolio managers write covered calls on stocks identified quantitatively as having a 20 percent chance or less of being called away. "If the computer gets it right four out of five times," says Muhr, "we are in the money."
Recently, a prospective Volaris client back-tested the firm's system against the top 20 stocks in its 2001 portfolio, which had fallen 16 percent during the year. The Volaris system, says Muhr, would have provided an extra 600 basis points, leaving the portfolio with a 10 percent loss. "That's a huge difference," Muhr says.
随着市场卷扬，波动率一直稳步攀升 - 使投资者对有效风险管理进行更多更敏感。瑞克，芝加哥董事会选项交易所广泛跟随市场波动指数，上涨了近30％ - 达到今年最高水平 - 在8月的前两天。在欧洲，涵盖的呼叫写作最受欢迎的高净值人物，达克斯的波动率在7月中旬和8月初再次飙升。
“在五年来，波动性管理将是其自己的单独资产类别，凭借货币管理，”Muhr预测。
But not everyone is convinced.
“编写有涵盖的呼叫选项的投资组合将在平坦到下行市场，但在强大的市场中表现明显，”Todd Petzel“，直到上个月的Commonfund Cio，这是一个经理大多数与大学禀赋一起工作。当市场出乎意料地飙升时，Petzel解释说，更多的股票将被呼叫，可以想到擦除以前的所有收益。“选项叠加策略可能看起来像一个免费的午餐，但我们都知道这项业务中没有这样的事情。”面对市场最近的热点，SG证券'Annandale表示，“股票预定销售价格锁定的想法需要很多肠道。”
罗斯Turnbull是一家与温哥华的经纪Odlum Brown的分析师，专门从事股权衍生产品，“如果某些东西看起来太好了，那可能是。”