Introdução ao mercado de derivativos: estratégias estruturadas utilizadas no mercado de opções sobre ações

• Autor(a) principal: Belo, Carlos Eduardo do Nascimento [UNIFESP]
• Data de Publicação: 2023
• Tipo de documento: Trabalho de conclusão de curso
• Idioma: por
• Título da fonte: Repositório Institucional da UNIFESP
• Texto Completo: https://repositorio.unifesp.br/handle/11600/70709
• topic: Derivativos; Opções; Financiamento coberto; Buy and hold

This study analyzes the derivatives market with a focus on stock options and their strategies, emphasizing the covered financing operation in the Exchange Traded Fund (ETF) BOVA11 and comparing it to the buy and hold strategy in the same ETF. The analysis aims to understand the performance of both strategies in different market cycles, covering periods of high, low, and lateralization. The research utilizes the closing prices of BOVA11 and its call options traded on B3 from January 2017 to April 2023. The goal is to assess the profitability, diversification, and risk mitigation of the strategy in an investment portfolio. The study considers selling calls at the first out-of-the-money strike and the dry purchase of ETF BOVA11, using the closing price on the options' expiration day as a reference for closing and subsequently opening the new operation. It becomes evident that despite the slightly higher profitability of the buy and hold strategy, it exhibits higher volatility, while the covered financing strategy offers a very close return with lower volatility. The influence and consequences of political and economic factors addressed during the period are important in relation to the performance of the strategies over time.