Uso de derivativos em renda variável
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Data
2023-11-16
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Universidade Estadual Paulista (Unesp)
Resumo
Os anos de 2022 e 2023 foram marcados por turbulências no contexto internacional e nacional, devido à guerra iniciada entre Rússia e Ucrânia, excessiva queda de demanda por petróleo e minério de ferro por uma recessão chinesa e no contexto nacional por uma transição governamental altamente bipolarizada. Todas essas interferências internas e externas no mercado acionário fizeram com que o índice Ibovespa saísse de um patamar de máxima em 2021, superando 130 mil pontos, e caindo em diversos momentos abaixo de 100 mil pontos. Este estudo buscou analisar a eficiência do uso de derivativos para se expor ao mercado de renda variável com maior segurança e previsibilidade, evitando a exposição à momentos de elevada volatilidade como foi o caso dos anos de 2022 e 2023. Utilizou-se três operações durante o estudo, sendo elas especulativas ou protetivas para observar o resultado obtido frente ao momento de mercado. Para a realização dessas operações foram utilizados ativos reais e uma análise macroeconômica aliada a teorias sobre precificação de opções, de maneira a estruturar as operações de forma que fosse vantajosa ao investidor. Durante o estudo, verificou-se também como se comportaram as gregas das opções em relação à variação de preço do ativo subjacente, com foco no delta, sendo essa uma das gregas mais relevantes e utilizadas no mercado de opções. A partir disso, obtiveram-se resultados acima do mercado nas operações de SAPR11 e BBDCJ138, porém abaixo do mercado em RECV3. O estudo mostrou que o modelo Black & Scholes serve para auxiliar na tomada de decisão, mas não deve ser o único modelo utilizado
The years 2022 and 2023 were marked by turbulence in the international and national context, due to the war between Russia and Ukraine, an excessive drop in demand for oil and iron ore due to a Chinese recession and in the national context due to a highly bipolarized government transition. All ofthese internal and external interferences in the stock market caused the Ibovespa index to leave a high point in 2021, surpassing 130 thousand points and falling below 100 thousand points at various times. This study sought to analyze the efficiency of using derivatives to expose oneself to the variable income market with greater security and predictability, avoiding exposure to moments of high volatility as was the case in 2022 and 2023. Three operations were used during the study, being speculative or protective to observe the result obtained in light of the market moment. To carry out these operations, real assets and macroeconomic analysis were used, combined with theories on option pricing, to structure the operations in a way that was advantageous to the investor. During the study, it was also verified how the option grids behaved in relation to the price variation of the underlying asset, with a focus on the delta, which is one of the most relevant and used grids in the options market. From this, results were obtained above the market in the SAPR11 and BBDCJ138 operations, but below the market in RECV3. The study showed that the Black & Scholes model serves to assist in decision making, but it should not be the only model used.
The years 2022 and 2023 were marked by turbulence in the international and national context, due to the war between Russia and Ukraine, an excessive drop in demand for oil and iron ore due to a Chinese recession and in the national context due to a highly bipolarized government transition. All ofthese internal and external interferences in the stock market caused the Ibovespa index to leave a high point in 2021, surpassing 130 thousand points and falling below 100 thousand points at various times. This study sought to analyze the efficiency of using derivatives to expose oneself to the variable income market with greater security and predictability, avoiding exposure to moments of high volatility as was the case in 2022 and 2023. Three operations were used during the study, being speculative or protective to observe the result obtained in light of the market moment. To carry out these operations, real assets and macroeconomic analysis were used, combined with theories on option pricing, to structure the operations in a way that was advantageous to the investor. During the study, it was also verified how the option grids behaved in relation to the price variation of the underlying asset, with a focus on the delta, which is one of the most relevant and used grids in the options market. From this, results were obtained above the market in the SAPR11 and BBDCJ138 operations, but below the market in RECV3. The study showed that the Black & Scholes model serves to assist in decision making, but it should not be the only model used.
Descrição
Palavras-chave
Black-Scholes, Opções, Hedge (Finanças), Mercado Financeiro
Como citar
ROCHA, Cauê Paiva da. Uso de derivativos em renda variável. Orientador: Ricardo Ghantous Cervi. 2023. 39 f. Trabalho de conclusão de curso ( Bacharelado em Engenharia de Produção) - Instituto de Ciências e Engenharia, Universidade Estadual Paulista "Júlio de Mesquita Filho", Itapeva, 2023.