O P T I O N

A. PENDAHULUAN.

Option Pasca Fischer Black and Myron Scholes mempublikasikan hasil penelitian tentang Model Penentuan Harga

Opsi 1973 yang dikenal dengan Model Black - Scholes.

Pada 1973 CBOE (Chicago Board Options Exchange).

BEI Opsi KOS (Kontrak Opsi Saham) Oktober 2004.

Saham KOS ASII, BBCA, HMSP, INDF, dan TLKM.

Option is a contract giving the option purchaser (the buyer or holder) the RIGHT, but not OBLIGATION, to buy or sell a given underlying asset at a fixed price for a specified time period (until

the expiration or maturity date).

OPTION (1) Hedging dan (2) Speculation.

OPTION

CALL OPTION

CALL OPTION EUROPEAN

AMERICAN

Kegiatan Transaksi Opsi di BEI 2004 s.d. 2008

Kontrak Nilai Frekuensi Kontrak Nilai Frekuensi1 Oct-04 150 236.50 104 34 41.03 152 2005 149 101.84 131 6 1.49 43 2006 0 - 0 0 - 04 2007 281 1,282.07 163 90 312.50 615 2008 87 498.80 84 30 103.29 30

Sumber : IDX 2008

Call Option Put OptionNo. Periode

B. Terminologi Dalam Transaksi Opsi.

The writer or grantor dan Buyer.

Exercise atau Strike Price (SP).

Spot atau Market Price (MP).

The premium atau Option Price.

Kondisi Call Option Put Option

MP > SPIn the money

(Exercised)

Out of the Money

(UnExercised)

MP < SPOut of the money

(UnExercised)

In the Money

(Exercised)

MP = SP At The Money

CALL OPTION

A call option is the right, not obligation, to buy some underlying asset at same predetermined price (called the exercise or strike price) at

or before some predetermined date (called the expiration date).

Opsi beli (call option) Memmpunyai nilai, jika Pada saat j.t. Market Price (MP) > Strike Price (SP).

The Intrinsic value is the value of the option upon the expiration.The intrinsic value of the call option is max (0, MP – SP).

Investor purchase call options If they expect the underlying asset price to rise BULLISH

Call Option :

1) Writer limited gain, unlimited loss

2) Buyer unlimited gain, limited loss.

Call option :

In the money The market price (MP) > The strike price (SP), and will expire exercised. The option’s intrinsic value is positive.

Out the money The strike price (SP) < The market price (MP), and will expire unexercised, with an intrinsic value of zero.

At the money The market price = the strike price upon the expiration date, and has a zero intrinsic value.

1 Underlying asset Saham PTBA

2 Contract size Lembar 500.00

3 Maturity date bulan 3

4 Exercise or Strike price (E) Rp. 12,000.00

5 Premium or Option price Rp. 1,000.00

6 Option type Eropa

Call Option

Keterangan

Spot price (jatuh waktu) (S) 10,000 11,000 12,000 13,000 14,000 15,000

Jlh saham x harga j.t. 5,000,000 5,500,000 6,000,000 6,500,000 7,000,000 7,500,000

Pembayaran :

Premium cost 500,000 500,000 500,000 500,000 500,000 500,000

Exercise of Option 0 0 0 6,000,000 6,000,000 6,000,000

Penerimaan :

Harga J.t. 0 0 0 6,500,000 7,000,000 7,500,000

Nilai Opsi (500,000) (500,000) (500,000) - 500,000 1,000,000

Laba/(Rugi)

At the

money

Harga Saham

Out of the money In the money

Pembeli Opsi Beli (Call Option) :

1) Opsi akan dieksekusi, jika kondisi opsi pada IN THE MONEY (harga saham pada saat j.t. / spot price > harga eksekusi).

PUT OPTION

A put option is the right, not obligation, to sell some underlying asset at same predetermined price (called the exercise or strike price) at or

before some predetermined date (called the expiration date).

• Put option Bernilai nilai, jika pada saat jatuh waktu Sstrike Price (SP) > Market Price (MP).

• Intrinsic value is the value of the option upon the expiration.The intrinsic value of the put option is max (0, SP – MP).

Investor purchase put options If they expect the underlying asset price to fall BEARISH.

Put Option :

1) Writer limited gain ad loss.

2) Buyer limited gain and loss.

Put Option :

In the money The market price (MP) < The strike price (SP), and will expire exercised. The option’s intrinsic value is positive.

Out the money The strike price (E) > The market price, and will expire unexercised, with an intrinsic value of zero.

At the money The market price = The strike price upon the expiration date, and has a zero intrinsic value.

1 Underlying asset Saham PTBA

2 Contract size Lembar 500.00

3 Maturity date bulan 3

4 Exercise or Strike price (E) Rp. 12,000.00

5 Premium or Option price Rp. 1,000.00

6 Option type Eropa

Put Option

Keterangan

Spot price (jatuh waktu) (S) 0 10,000 11,000 12,000 13,000 14,000

Jlh saham x harga j.t. 0 5,000,000 5,500,000 6,000,000 6,500,000 7,000,000

Pembayaran :

Premium cost 500,000 500,000 500,000 500,000 500,000 500,000

Beli Saham (Spot Purchase) 0 5,000,000 5,500,000 0 0 0

Penerimaan :

Exercise of Option 6,000,000 6,000,000 6,000,000 0 0 0

Nilai Opsi 5,500,000 500,000 - (500,000) (500,000) (500,000)

Laba/(Rugi)

At the

money

Harga Saham

In the money Out of the money

Pembeli Opsi jual (Put Option) :

1) Opsi akan dieksekusi, jika kondisi opsi pada IN THE MONEY (harga eksekusi > harga saham pada saat j.t. / spot price).

C. Determinant of the Option Premium.

• The price of underlying asset (+)

• The exercise or strike price (-).

2) Time to maturity (+).

3) Relative interest rate (+).

4) Volatility of the underlying asset (+).

5) Supply and demand for specific option (+).

6) Market Sentiment.

D. STRATEGI OPSI

1) Beli Call dan Put Straddle.

2) Beli Call, Put dan Saham.

Beli Opsi Call dan Saham atau Beli Opsi Put dan saham

1) Beli opsi call 10,000.00 10,000,000.00

2) Beli saham 10,000.00 100,000,000.00

110,000,000.00

Dana yang diperlukan :

Total dana investasi

Berapa nilai akhir dana yang diinvestasikan, jika harga saham naik menjadi Rp. 12.000,-- dan turun menjadi Rp. 8.000,-- jika

harga saham saat ini Rp. 10.000,--.

1 Underlying asset Saham PTBA

2 Contract size Lembar 10,000.00

3 Maturity date bulan 3

4 Exercise or Strike price (E) Rp. 10,000.00

5 Premium or Option price Rp. 1,000.00

6 Option type Eropa

Investasi Saham Beli 10,000.00

Call - Put Option

Keterangan

Spot price (jatuh waktu) (S) 8,000 10,000 12,000 13,000

Jlh saham x harga j.t. 80,000,000 100,000,000 120,000,000 130,000,000

Pembayaran :

Premium cost 10,000,000 10,000,000 10,000,000 10,000,000

Exercise of Option 0 0 100,000,000 100,000,000

Penerimaan :

Proceed hasil penjualan 0 0 120,000,000 130,000,000

Nilai Opsi (Laba/Rugi) 0 0 10,000,000 20,000,000

Penjualan Saham 80,000,000 100,000,000 120,000,000 130,000,000

Nilai Akhir Investasi 80,000,000 100,000,000 130,000,000 150,000,000

Harga Saham

OPSI CALL DAN BELI SAHAM

OPSI PUT DAN BELI SAHAM

Keterangan

Spot price (jatuh waktu) (S) 8,000 10,000 12,000 13,000

Jlh saham x harga j.t. 80,000,000 100,000,000 120,000,000 130,000,000

Pembayaran :

Premium cost 10,000,000 10,000,000 10,000,000 10,000,000

Beli Saham di pasar 80,000,000 100,000,000 0 0

Penerimaan :

Exercise of Option 100,000,000 100,000,000 0 0

Nilai Opsi (Laba/Rugi) 10,000,000 (10,000,000) (10,000,000) (10,000,000)

Penjualan Saham 80,000,000 100,000,000 120,000,000 130,000,000

Nilai Akhir Investasi 90,000,000 90,000,000 110,000,000 120,000,000

Harga Saham

Keterangan

Spot price (jatuh waktu) (S) 7,000 8,000 10,000 12,000 13,000

Jlh saham x harga j.t. 70,000,000 80,000,000 100,000,000 120,000,000 130,000,000

Pembayaran :

Premium cost 10,000,000 10,000,000 10,000,000 10,000,000 10,000,000

Exercise of Option 0 0 0 100,000,000 100,000,000

Penerimaan :

Proceed hasil penjualan 0 0 0 120,000,000 130,000,000

Nilai Opsi (Laba/Rugi) (10,000,000) (10,000,000) (10,000,000) 10,000,000 20,000,000

Pembayaran :

Premium cost (-) 10,000,000 10,000,000 10,000,000 10,000,000 10,000,000

Beli Saham di pasar (-) 70,000,000 80,000,000 0 0 0

Penerimaan :

Exercise of Option (+) 100,000,000 100,000,000 0 0 0

Nilai Opsi (Laba/Rugi) 20,000,000 10,000,000 (10,000,000) (10,000,000) (10,000,000)

Yield 10,000,000 - (20,000,000) - 10,000,000

Harga Saham (Call Option)

Beli Opsi Call sekaligus Put -- STRADDLE

D. OPTION VALUATION

1) Binomial Option Pricing Model (BOPM).

BOPM Asumsi bahwa harga saham dapat lebih murah atau mahal dari harga eksekusi dengan peluang yang sama

pada suatu periode tertentu (expiration).

2) Black – Scholes Option Pricing Model (BSOPM)

BSOPM menggunakan 5 variabel untuk menilai nilai opsi :

The price of the underlying stock.b) The exercise price of the option.

c) The time remining to the expiration of the option.d) The interest rate.

e) The volatility of the underlying stock.

)()( 2,1 dNe

EPdNCMPCP

tr

)()( 2,

1 dNeEPdNCMPCP tr

The Black – Scholes Option Pricing Model :

atau

Where :CP = The price of the cal optionCMP = Current market price of the underlying common stock.N(d1) = The cummlative density function of d1.

N(d2) = The cummlative density function of d2.

EP = The exercise price of the option.e = The base of natural logarithms = approximately 2,71828.r = The continuously compounded riskless rate of interest on an annual basis.t = The time remaining before the expiration date of the option, expressed as a fraction of a year.

2/1

2

1

5,0ln

t

trEP

CMP

d

2/112 tdd

Where :Ln (CMP/EP) = The natural log of (CMP/EP)σ = The standard deviation of the annual rate of return on the underlying common stock.

Example :CMP = $40. EP =$ 45. r = 0,10. t = 0,5 ( 6 monts). σ = 0,45.

2/1

2

15,045,0

5,0)45,0(5,01,045

40ln

d

3182,0

1006,01178,01

d

Penyelesaian :Step 1 : Solve for d1

Step 2 : Use a commulative probability distribution table to find the value of N(d1).

N(d1) = 0,4801.Where d1 = -0,054.

Step 3 : Find d2

d2 = - 0,054 - [0,45 (0,5)1/2] = 0,372.

Step 4 : Find N(d2) see Table N(d2) = 0,3557.

Step 5 : Solve for CP, the price of the call :

CP = CMP ( 0,4801 ) – EP [ Antilpg – ( 0,1 ) ( 0,5 ) ] { 0,3557 }CP = 19,20 – 45 ( 0,9512 ( ( 0,3557 )

CP = 19,20 – 15,23 = $ 3,97.

The theoritical (fair) value of the option, according to the Black – Scholes formula, is $3,97. If the current market price

of the option is greater than the theoretical value, it is overpriced; if less, it is underpriced.