股票選擇權契約調整 制度規劃與實例介紹

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股票選擇權契約調整 制度規劃與實例介紹. 中華民國九十一年九月. 選擇權流程圖. 選擇權各收付項目的意義. 每單位選擇權應收付 權利金額 = 權利金 × 權利金乘數 每單位選擇權應收付 交割價款 = 履約價格 × 履約價格乘數 每單位選擇權應收付之 約定標的物 = 標的證券 × 標的證券股數 + 現金+其他權利. 契約調整的原因. 選擇權 約定標的物 ( Underlying )發生改變 例如:. 契約調整原因. 分派現金股息 以資本公積或盈餘轉作資本 現金增資 合併後為消滅公司 消除累積虧損之減資 - PowerPoint PPT Presentation

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  • = = = +

  • Underlying

    1,000

    1

    1,000

    1,000

    2

    200

    3

    3,000

    4

    50

  • .

  • .

  • 12

  • vs.

    = *

  • CFO00650L1

    CFA00650L1

    CFO00650X1

    CFA00650X1

    CFO00700L1

    CFA00700L1

    CFO00700X1

    CFA00700X1

    CFO00750L1

    CFA00750L1

    CFO00750X1

    CFA00750X1

    CFO00650A2

    CFA00650A2

    CFO00650M2

    CFA00650M2

    CFO00700A2

    CFA00700A2

    CFO00700M2

    CFA00700M2

    CFO00750A2

    CFA00750A2

    CFO00750M2

    CFA00750M2

  • 2%2%5%80%120%

  • MAX0-*1000*MAX0-*1000*

  • 2003000AAO$3000724.17%2%120%

    (AAOAAAAAO)AAA 1200+$3000AAO 1000

  • 2005010%ABO(ABOABAABO)ABA(63)1200+$1300(65)1200+$1500ABO 1000

  • 1:0.4 ACOADO(ACOADAACO)ADA400ACOADO

  • 22-I-61/2$500AEO (AEOAEAAEO)AEA 500+$500AEO 1000

  • = Max0 - = Max0 - = OPM / OPMSX

  • 72200300057.570Max072*1000-70*1000 = Max072-70*1000 = 2,000Max057.5*1200+3000-70*1000 = Max072000-70000 = 2,000

  • 72200300057.570 OPM72*100070*1000= OPM7270*1000 OPM57.5*1200+300070*1000=OPM7200070000

  • O50

  • 1$58.0

    Sheet1

    AAO

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    Sheet3

  • 2$1$212/3112/2612/23AAOAAA12/23AAO$47.5

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAA

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAAAAO

    1236912369

    70

    6555

    6050

    5548

    5046

    4844

    46

    44

    Sheet3

  • 3AAA$47.5$39.8AAO

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAA

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAAAAO

    1236912369

    70

    6555

    6050

    5548

    5046

    4844

    4642

    4440

    38

    36

    Sheet3

  • 4AAO1AAAAAO

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAA

    23469

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAAAAO

    1236923469

    70

    6555

    6050

    5548

    5046

    4844

    4642

    4440

    38

    36

    Sheet3

  • 5AAA3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAA

    456912

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAAAAO

    12369456912

    7060

    6555

    6050

    5548

    5046

    4844

    4642

    4440

    38

    36

    Sheet3

  • 1$58.0

    Sheet1

    AAO

    121236

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    Sheet3

  • 2$1$212/2412/2012/1812/1812

  • 312/18

    AAO121000

    AAOAAA1200+$100

    AAO1236100047.5

  • 412/18

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAA

    1236

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAAAAO

    123691236

    70

    6555

    6050

    5548

    5046

    4844

    46

    44

    Sheet3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAO

    12

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet3

  • 512/19129

    AAO12

    AAA

    AAO912/1912/1950.5

  • 612/1912/1950.5

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAA

    1236

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAAAAO

    1236912369

    7060

    6555

    6050

    5548

    5046

    4844

    46

    44

    Sheet3

    Sheet1

    12369

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet2

    AAO

    12

    70

    65

    60

    55

    50

    48

    46

    44

    Sheet3

  • 2003000AAOAAA 1200+$3000AAO 1000

  • AAO3000900022500 3,600,00010,800,00027,000,000AAA1200AAO1000AAAAAO

  • 2003000AAO 51.555.047.9

  • AAA 1200+$3000CallPut = [(55*1200+3000)-(51.5*1200+3000)] / 1000 = 4.2CallPut = [(51.5*1200+3000)-(47.9*1200+3000)] / 1000 = 4.32