Opcija kot naložbena možnost privatnega investitorja

delo diplomskega projekta

Nejc Klajnšek (Author), Žan Oplotnik (Mentor)

Abstract

V diplomski nalogi sem predstavil naložbeno okolje privatnega investitorja, ki investira v opcije. Predstavil sem teoretični okvir naložbenega okolja in se natančneje posvetil opcijam. Tako sem spoznal vrste opcij in pojme, ki jih je treba poznati za uspešno izbiro opcije. Teoretično sem preučil tudi tehnično in temeljno analizo, ki mi je dala iztočnice, kako to izpeljati na praktičnem primeru. Teoretičnemu okvirju sledi vrednotenje bazičnega instrumenta, v mojem primeru je to nemški borzni indeks DAX. Pri vrednotenju borznega indeksa DAX sta mi bili v pomoč tehnična in temeljna analiza. Pri tehnični analizi sem si pomagal s trendi, ki se pojavijo, z vzorci grafa, drsnimi povprečji, obsegom trgovanja ter z modelom Andrews pitchfork in s Fibonaccijevimi zaporedji. Pri temeljni analizi pa sem preučil BDP Nemčije, obrestne mere ECB, stopnjo brezposelnosti v Nemčiji, inflacijo in pa kazalnik P/E, ki pomeni razmerje med ceno delnice in dobičkom na delnico. Ti analizi sta mi dali namige za pravilno izbiro opcije. Izbrati sem moral nakupno ali prodajno opcijo in se na podlagi rezultatov, dobljenih iz tehnične in temeljne analize, odločil za nakupno opcijo. S tehnično analizo sem dokazal, da je opcija na borzni indeks od njega močno odvisna, kar priča graf borznega indeksa in opcije na ta borzni indeks. V analizi opcije pa sem poleg tehnične analize, ki sem jo prevzel iz tehnične analize borznega indeksa DAX, uporabil tudi dva računska modela. Prvo sem uporabil Black-Scholes-Merton model, s katerim sem določil prihodnjo vrednost opcije in s tem ugotovil, ali je opcija precenjena ali podcenjena. Drugi računski model pa je temeljil na grški črki delti, ki nam pove, za koliko se spremeni vrednost opcije, če se vrednost indeksa spremeni za eno točko. S pomočjo teorije in praktičnega primera sem predstavil znanja in veščine, ki jih potrebuje privatni investitor za uspešno trgovanje z opcijami, in ugotovil, za kakšnega investitorja je takšna vrsta naložbe oziroma špekulacije sploh primerna.

Keywords

izvedeni finančni instrumenti;opcije;investicije;naložbe;

Data

Language:	Slovenian
Year of publishing:	2018
Typology:	2.11 - Undergraduate Thesis
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	[N. Klajnšek]
UDC:	336.76
COBISS:	13190684
Views:	691
Downloads:	76
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Option as an opportunity for a private investor
Secondary abstract:	This thesis explores the investment environment of a private investor, who invests in options. Using the theoretical frame, I learned a lot about the option types and terms, that are important in the effective selection of an option. With the help of the theory on technical and basic analysis I got a sense on how to do this on a practical case. The theoretical framework was followed by the evaluation of the basic instrument – the German Stock Index DAX. For the evaluation of the DAX index I used the technical and the basis analysis. The technical analysis included the use of existing trends, graphs, trading volume, Andrew's pitchfork model and Fibonacci sequence. In the basic analysis I examined the Germany's GDP, ECB interest rates, the unemployment rate in Germany, inflation, and the P/E ratio, that is the indicator for the ratio between the share price and earnings per share. The results of these two analyses gave me some hints on which option to choose. I had to choose between a call and a put option. Based on the results I chose the call option. Using the technical analysis, I proved, that the option is highly dependent on the stock index. For the option analysis I also used two calculation models. The first was the Black-Scholes-Merton model, that helped me to determine the future value of the option. In this way I found out if the option is overrated or underrated. The second calculation model was based on the Greek letter delta. This model told me how much the value of the option changes if the index value changes for one point. With the help of the theory and practical examples I introduced the knowledge and skills that a private investor has to possess in order to successfully trade options.
Secondary keywords:	investment;option;technical analysis;basic analysis;Black-Scholes-Merton model;
URN:	URN:SI:UM:
Type (COBISS):	Diploma project paper
Thesis comment:	Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages:	III, 35 str.
ID:	10956651