Estratégias especulativas e de hedge no mercado brasileiro de opções sobre ações no período de 2002 a 2006 : Telemar e Petrobrás

Abstract

The aim of this work was to study the effects of the simulations of the strategies with the options about the Brazilian market of stock options. To this happens it was chosen the period from 2002 to 2006, with two base stocks about the ones which the buying options were more bargained, preferential stocks of Telemar and of Petrobrás. From the strategies which are possible to happen, it was chosen five: Sell of Synthetic Put, Spread of High, Spread of Low, Purchase of Butterfly Call and Spread Calendar. The possible combinations to each strategy were done with four options of price of consecutive results, following set liquidity criteria. The analyses were done as result of the strategy simulation among 5 and 60 days before the expiration of the evolved options, except for the Spread Calendar which was among 5 and 31 days before the expiration period of the option of the nearest expiration period. It' s concluded that the Sell of Synthetic Put presented good results to the protection against slumps of the base stocks. The strategies Spread of High, Spread of Low, Purchase of Butterfly Call presented high volatileness and not so satisfactory results. The strategy Spread Calendar presente good results to both studied actives, with high volatileness and presenting liquidity issues, which are brightened up with applications to a long-term period and with enhancement of the market.