Bab 6

Futures dan Opsi Valuta Asing

 Futures
Futures pada dasarnya sama dengan
forward, perbedaannya terletak pada
mekanisme perdagangan
Futures diperdagangkan di Bursa
dengan spesifikasi yang diatur oleh
Bursa
Futures diluncurkan untuk
menghilangkan kelemahan forward
 Keuntungan Futures
Futures merupakan kontrak yang
distandardisir  meningkatkan
likuiditas  menurunkan biaya
transaksi
Futures diperdagangkan di Bursa
dengan menggunakan mekanisme
penyesuaian setiap hari (daily marking
to market)  menurunkan risiko default
 Spesifikasi Futures

Besar kontrak
Metode kutipan kurs
Jangka waktu
Hari perdagangan terakhir
Jaminan
Komisi
Semua kontrak berhadapan dengan Bursa
sebagai lawan mainnya
Penyelesaian
Foreign Currency
Futures

(Page 202)
Mekanisme Marking To Market

Penggunaan mekanisme perdagangan

marking to market setiap hari oleh
bursa keuangan
Ringkasan Perbedaan Futures
dengan Forward dan Membaca
Informasi Futures

Perbandingan futures dengan forward:

 Perdagangan
 Peraturan
 Delivery (penyerahan)
 Besar kontrak
 Tanggal jatuh tempo
 Penyelesaian (settlement)
 Biaya transaksi
 Margin (deposit)
 Resiko kredit
Foreign Currency Futures

(Page 204)
Ringkasan Perbedaan Futures
dengan Forward dan Membaca
Informasi Futures

Bagan 1 menunjukkan informasi

futures
Opsi Valuta Asing

Opsi adalah hak, bukan kewajiban

Jenis opsi
 Opsi call: hak untuk membeli aset pada
harga eksekusi tertentu, selama jangka
waktu tertentu
 Opsi put: hak untuk menjual aset pada
harga eksekusi tertentu, selama jangka
waktu tertentu
Opsi Call dan Put

Struktur untung-rugi opsi call

Rp/$
1500 2000 2500
Opsi Call dan Put

Struktur pay-off opsi put

Rp/$
1500 2000 2500
Penggunaan Opsi

Posisi short digabung dengan opsi call

Posisi gabungan (put dan
Posisi spot spot short)
(short dolar) Posisi opsi put

1500 1700 2000 2200

Posisi gabungan
(put dan spot
short)
Membaca Informasi Opsi

Bagan 5 sebagai informasi opsi

 Foreign Currency
Options
A foreign currency option is a contract
 giving the option purchaser (the buyer) the
right,
 but not the obligation to buy or sell
 a given amount of foreign exchange
 at a fixed price per unit for a specified time
period (until the maturity date).
Two basic types of options
 Call option: an option to buy foreign currency
 Put option: an option to sell foreign currency
Foreign Currency Options

(Page 207)
Foreign Currency Options
The buyer of an option is termed the holder,
while the seller of the option is referred to as
the writer or grantor.
Option price elements:
 The exercise or strike price – the exchange rate at
which the foreign currency can be purchased (call) or
sold (put)
 The premium – the cost, price, or value of the option
itself
 The underlying or actual spot exchange rate in the
market
 Foreign Currency
Options
An American option gives the buyer the
right to exercise the option at any time
between the date of writing and the
expiration or maturity date.
A European option can be exercised
only on its expiration date, not before.
Foreign Currency Options
The premium (option price) is the cost of the option
paid in advance by the buyer to the seller
An option whose exercise price is the same as the
spot price of the underlying currency is said to be at-
the-money (ATM)
An option the would be profitable if exercised
immediately is said to be in-the-money (ITM).
An option that would not be profitable if exercised
immediately is referred to as out-of-the money (OTM)
 Foreign Currency
Options
The use of foreign currency options
 Hedging tool and
 Speculation

Options on the over-the-counter (OTC) market can

be tailored to the specific needs of the firm but can
expose the firm to counterparty risk.
Options on organised exchanges are standardised,
but counterparty risk is substantially reduced.
 Foreign Currency
Speculation
Speculators can attempt to profit in the:
 Spot market – when the speculator believes the foreign
currency will appreciate in value
 Forward market – when the speculator believes the
spot price at some future date will differ from today’s
forward price for the same date
 Options markets – extensive differences in risk
patterns produced depending on purchase or sale of
put and/or call
 Foreign Currency Speculation
Example
Ian Smith is a currency speculator in Sydney,
Australia. He is willing to risk money on his
own opinion about future currency prices. Ian
may speculate in the spot, forward or options
markets.
To illustrate, assume that the USD and A$
are currently quoted as follows:
 Spot rate: USD0.7697/A$
 Six-month forward rate: USD0.7800/A$
 Ian has A$100 000 with which to speculate
 Foreign Currency Speculation
Example
Speculating in the spot market
Ian believes that in six months the spot rate for the USD will be
USD0.7500/A$. (Appreciate USD in value.)
Ian should take the following steps:
 Step 1. Use the A$100 000 today to buy USD76 970 spot at USD0.7697/A$.
 Step 2. Hold the USD76 970 indefinitely.
 Step 3. When the target exchange rate has been reached, sell USD76 970 at
the new spot rate of USD0.7500/A$, receiving A$102 626.67 (= USD76
970/USD0.7500/A$).
 Ian’s profit on the transaction =AU$102,626.67 – AU$100,000 = 2,626.67
This calculation ignores for the moment interest income on the
US dollars and opportunity cost on the Australian dollars.
Foreign Currency Speculation
Example
Speculating in the option market
 Buyer of a call:
 Ian purchased November call option on Australian dollar with
strike price of 76 (US$0.7600/A$), and a premium of
US$0.0101/A$
 At all spot rates below the strike price of 0.7600, Ian would
choose not to exercise because it would be cheaper to
purchase A$ on the open market
 At all spot rates above the strike price, Ian would exercise the
option, purchase A$ at the strike price and sell them into the
market netting a profit (less the option premium)
 Ian’s profit if the spot exchange rate is 0.78 at the expiration

Profit = spot rate – (strike rate + premium)

=USD0.7800/AUD - (USD0.7600- USD0.0101/AUD
= USD0.0099/AUD
Perdagangan Opsi

Bursa paralel (jaringan bank)

Bursa efek
Penentuan Harga Opsi

Faktor pengaruh harga opsi

Faktor Call Put

Harga asset saat ini Kenaikan Penurunan
Harga eksekusi Penurunan Kenaikan
Jangka waktu opsi Kenaikan Penurunan
Fluktuasi harga aset Kenaikan Kenaikan
Tingkat bunga bebas resiko Kenaikan Penurunan
Antisipasi pembayaran kas Penurunan Kenaikan
Model Black - Scholes

C = S N(dI) – X e-rt N(d2)

dimana

d1 = ln (S/X) + (r + ½ s2)t
st1/2
d2 = d1 – (s t1/2)
S + P – C = PV(X)
Opsi atas Futures

Hak untuk memperoleh futures bagi

pembeli opsi
Keunggulan dibandingkan dengan
opsi atas obligasi (option on
physicals, atau opsi atas fisik)