بررسی راهبردهای معاملاتی در مبادله اختیار خرید سهام‌های ریلی و تحلیل فرصتهای سوداگری

Introduction

Investors seek solutions in order to manage risk and create security in the market for having more control over the value of investment during market fluctuations. For this purpose, various derivatives have been designed. One of this derivative is option. In option markets, people who want to have a lower risk can transfer their risk to those who seek more risk. These markets will provide risk distribution among investors and no investment has to bear an unfavorable level of risk. Gaining profit with higher returns is one of the attractions of option trading. Investors, most of the time, in order to have investment opportunities with the aim of playing the stock market or staying safe from risk, simultaneously buy and sell the contract of buying option and selling option. In general, different combinations of option trading strategies provide investors with a suitable basis for earning profit. recently, Heril rail stock has started to use options in the OTC. Therefore, due to the newness of these derivative instruments in the rail sector, no research has been done in this regard yet. As mentioned in the background section of the research, studies have been conducted on the use of trading strategies abroad, but domestic studies are very limited, and these limited studies have mostly been about asymmetric strategies, and studies on trading strategies symmetric has not been done and this will confirm the novelty of the subject.

Methodology

For this study, over-the-counter (OTC) Railway transportation companies are considered. The OTC shares of Railway Transportation are related to Toka, Hasa, Heparsa, Haseer, Hegardesh, Heril and Heafarin companies. The data of stock exchange companies of Railway transport during the years 1400 to 1402 were taken from TseClient 2.0 software, and the stock price information was collected as a daily time series. To calculate the price fluctuations from Excel and to draw and analyze the chart related to stock options, DerivaGem calculation software, which is related to option pricing, and Python software will be used in addition to reviewing the appropriate strategy for risk management and opportunity analysis. In this study, the binomial tree pricing model and the strategies adopted on the option to buy Rail shares will be analyzed. Among the trading strategies, symmetric straddle and asymmetric Bear Call Spread strategies have been chosen.

For analysis, one of the Railway companies is considered as an example. This analysis is the same for other Rail stocks, but the outputs are different.

Results and Discussion

for the purpose of Binomial option pricing, the exercise price for Heparsa shares, for the maturity of 4 months, according to Monte Carlo simulation, is considered to be 77951 Rials. The annual volatility of Heparsa shares at the chosen time is estimated at 39% based on volatility calculation formulas, and finally according to the straddle formulas and the prices resulting from the valuation of the option using the binomial model at the maturity of 4 months, Long Call Option return of Heparsa stock, Long Put Option return of Heparsa stock, and the total output of the Call option strategy have been calculated. The results of Straddle strategy calculations show that between 64000 and 91300 Rials in the price range of Heparsa shares, it will have a negative return on investment. The Call option of Heparsa shares has a positive return at purchase prices lower than 64,000 Rials and at prices higher than 91300 Rials. Recession in Iran stock market and the use of Bear Call Spread asymmetric strategy can reconcile investors with this market. According to the Bear Call Spread asymmetric strategy, the investor Call option of shares of Heparsa With a maturity of four months at the exercise price of 77951 Rials (X2) and also Call option of the same share With a maturity of four months at the exercise price of 64544 Rials (X1) is sold to another investment less than the price of the previous actions. According to the binomial put option pricing model, the selling price of this Call option is estimated at 4.15378 Rials. The closing price of this company's stock at the maturity of four-month is estimated by the binomial tree model as 115989, 92708, 74100, 59227 and 47339 Rials. finally, according to the calculations related to the Bear Call Spread asymmetric strategy, the distance between the exercise price of 77951 and 64544 rials is a downward trend of returns. The Call option of Heparsa shares will have a positive and constant return of 8126 Rials at the agreed purchase price of less than 64544 Rials, and at a price higher than 77951 Rials, it will have a negative and constant return of -5281 Rials.

Conclusion

In this study, profit models resulting from the adoption of symmetric and asymmetric strategies were analyzed. In the last few years, the Iran stock market has experienced severe fluctuations, and its trend cannot be predicted by any technical or fundamental analysis. For this reason, among options trading strategies, symmetric strategies, straddle model, and asymmetric strategies, Bear Call Spread strategy for risk management in current market conditions have been selected for investigation. the Bear Call Spread strategy is used when there is an expectation of a decrease in the stock price, which is more appropriate in the current situation when the stock market is in recession, and return of the Bear Call Spread strategy can be positive and will be profitable for the investor. The symmetric straddle strategy can be profitable for the investor both in increasing the stock price and in decreasing the stock price. An increase in stock prices can be predicted for the time when an agreement is reached for the country, which will have positive effects on the capital market. In general, it is not possible to find a strategy that works successfully for all conditions, and reasons such as risk aversion and risk tolerance of the investor and stock price fluctuations can be influential in choosing the type of strategy.