Matt Hougan Graduate Seminar: Paul Britt, CFA
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1 Graduate Seminar: ETF Options Matt Hougan President ETF.com Strategies: Hedging Risk, Building Income Paul Britt, CFA Senior ETF Specialist ETF.com
2 ETF Options Strategies - Agenda Landscape Refresher Income - Strategies, Costs & Risks Hedging - Strategies, Costs & Risks Trading Your Questions
3 ETF Options Strategies - Landscape Options on ETFs radically reshape risk and return scenarios on investable, relevant portfolios
4 ETF Options Strategies - Landscape Options on ETFs Options in ETFs SPY P 190 8/16/2014 PBP - PowerShares S&P 500 Buy Write ETF IWM P 110 9/20/2014 HVPW - ALPS U.S. Equity High Vol. Put Write ETF QQQ C 95 9/20/2014 HSPX - Horizons S&P 500 Covered Call ETF
5 ETF Options Strategies - Landscape Underlying for Most Liquid Options SPY SPX IWM VIX QQQ AAPL FB EEM BAC VXX ETF Index ETF Index ETF Stock Stock ETF Stock ETF Have no Fear, Olly Ludwig, ETF Report, July 2014
6 ETF Options Strategies - Landscape ETFs Stocks Mutual Funds Indexes Optionable Investable Portfolio
7 ETF Options Strategies - Landscape 45% ETF Share of Total Options Volume (Year) 40% 35% 30% 25% 20% 15% 10% 5% 0% Have no Fear, Olly Ludwig, ETF Report, July 2014
8 ETF Options Strategies - Landscape Ticker Name Notional Value ($B) SPY SPDR S&P IWM ishares Russell QQQ PowerShares QQQ 51.0 GLD SPDR Gold 44.1 EEM ishares MSCI Emerging Markets 41.0 VXX ipath S&P 500 VIX ST Futures ETN 16.0 EWZ ishares MSCI Brazil Capped 12.8 FXI ishares China Large-Cap 12.1 XLF Financial Select SPDR 11.4 SLV ishares Silver Trust 6.7 Open Interest, ETF.com, 8/7/2014
9 ETF Options Strategies - Landscape etf.com/eem
10 ETF Options Strategies - Landscape Income Low rates favor options for income Low volatility climate reduces premiums Hedging Equity risk while it s cheap Interest rate risk
11 ETF Options Strategies - Refresher Buy Call Right, but not obligation, to buy at set price Put Right, but not obligation, to sell at set price Sell or Write Obligation to sell at preset price Obligation to buy at preset price
12 ETF Options Strategies - Refresher Call: Buy Bloomberg 8/11/2014
13 ETF Options Strategies - Refresher Put: Buy Bloomberg 8/11/2014
14 ETF Options Strategies - Refresher Call: Sell or Write Bloomberg 8/11/2014
15 ETF Options Strategies - Refresher Put: Sell or Write Bloomberg 8/11/2014
16 ETF Options Strategies - Refresher Option Price Intrinsic Value Time Value ETF Price Strike Price Volatility Interest Rate Time to Expiry Fundamentals of Futures and Options ( a summary), Roger G. Clark,, Year in Review, CFA Institute Research Foundation
17 ETF Options Strategies - Refresher Long call Long put Security price (delta) Positive Negative Time decay (theta) Negative Negative Volatility (vega) Positive Positive
18 ETF Options Strategies - Refresher SPY Call $4.52 In the Money Underlying Strike Time to Expiry 11 days Delta 82.8 SPY Call $0.04 Out of the Money Underlying Strike Time to Expiry 11 days Delta 5.1 Bloomberg 8/11/2014
19 ETF Options Strategies - Refresher SPY Put $6.00 In the Money Underlying Strike Time to Expiry 11 days Delta SPY Put $0.09 Out of the Money Underlying Strike Time to Expiry 11 days Delta -2.9 Bloomberg 8/11/2014
20 ETF Options Strategies - Refresher Mix and match on same underlying Puts and calls Long and short Strikes Dates
21 ETF Options Strategies - Income Why Options for Income? Alternative to Fixed Income Lower Risk than Equity Income Blood from a Stone Popular & Tested Strategies
22 ETF Options Strategies - Income Covered call or buy-write: Short call + long underlying Earn premium Forego some upside; almost full downside Fully collateralized
23 ETF Options Strategies - Refresher Call: Sell or Write Bloomberg 8/11/2014
24 ETF Options Strategies - Income Covered Call Bloomberg 8/11/2014
25 ETF Options Strategies - Income Covered call: Earn income from nontraditional sources QQQ GLD SLV
26 ETF Options Strategies - Income Covered Call Bloomberg 8/18/2014
27 ETF Options Strategies - Income Strategy ETF 12 mo Yield Lg Cap Equity - Covered Call PBP 6.9% Lg Cap Equity SPY 1.9% Gold - Covered Call GLDI 12.6% Gold GLD 0.0% Bloomberg data as of 8/11/2014
28 ETF Options Strategies - Income Strategy ETF 12 mo Yield 12 mo Return Lg Cap Equity - Covered Call PBP 6.9% 11.5% Lg Cap Equity SPY 1.9% 16.4% Gold - Covered Call GLDI 12.6% -1.7% Gold GLD 0.0% -0.5% Bloomberg data as of 8/11/2014. Total return price.
29 ETF Options Strategies - Income Put Write Same payoff profile as covered call Hugely levered
30 ETF Options Strategies - Income Put Write Bloomberg 8/11/2014
31 ETF Options Strategies - Income Bloomberg 8/18/2014
32 ETF Options Strategies - Income Strategy ETF 12 mo Yield US Equity - Put Write HVPW 9.3% US Equity VTI 1.8% Bloomberg data as of 8/11/2014
33 ETF Options Strategies - Income Strategy ETF 12 mo Yield 12 mo Return US Equity - Put Write HVPW 9.3% 3.1% US Equity VTI 1.8% 16.0% Bloomberg data as of 8/11/2014. Total return price.
34 ETF Options Strategies - Hedging Why Options for Hedging? Flexibility Means and Outcomes Tactical or Strategic Popular & Tested Strategies Costs Vary
35 ETF Options Strategies - Hedging Downside Hedging Protective Put Max protection, higher strike Left Tail Hedge, lower strike
36 ETF Options Strategies - Hedging Protective Put Bloomberg 8/11/2014
37 ETF Options Strategies - Hedging Put Spread Reduce downside risk in a specific range Sell put to offset cost of long put
38 ETF Options Strategies - Hedging Put Spread, no underlying Bloomberg 8/11/2014
39 ETF Options Strategies - Hedging Put Spread, with underlying Bloomberg 8/11/2014
40 ETF Options Strategies - Hedging Bloomberg 8/14/2014
41 ETF Options Strategies - Hedging Goal: Dampen Volatility Covered Call
42 ETF Options Strategies - Hedging Strategy ETF Volatility Lg Cap Equity - Covered Call PBP 8.1% Lg Cap Equity SPY 10.4% Gold - Covered Call GLDI 13.0% Gold GLD 16.2% Calculated from Bloomberg data as of 8/11/ month. Total return price. Annualized standard deviation of daily log returns.
43 ETF Options Strategies - Income Covered Call Bloomberg 8/11/2014
44 ETF Options Strategies - Hedging Strategy ETF Volatility Downside Volatility Lg Cap Equity - Covered Call PBP 8.1% 9.8% Lg Cap Equity SPY 10.4% 11.5% Gold - Covered Call GLDI 13.0% 14.1% Gold GLD 16.2% 16.3% Calculated from Bloomberg data as of 8/11/ month. Total return price. Annualized standard deviation of daily log returns. Target semideviation for returns < 0.
45 ETF Options Strategies - Hedging Goal: Lock in position, within a range Collar Defines lower and upper bounds Helpful prior to upcoming liquidity event Option costs partially offset Long put + short call + underlying
46 ETF Options Strategies - Hedging Collar, no underlying Bloomberg 8/14/2014
47 ETF Options Strategies - Hedging Collar, with underlying Bloomberg 8/14/2014
48 ETF Options Strategies - Hedging Bloomberg 8/14/2014
49 ETF Options Strategies - Trading Inherently tactical Listed vs OTC European vs American More liquid ETF; more liquid option
50 ETF Options Strategies - Trading Bloomberg 8/15/2014
51 ETF Options Strategies - Trading Bloomberg 8/15/2014
52 ETF Options Strategies - Trading Bid-ask spreads Relative to ETF handle Contract =100 shares of ETF Brokerage fees Mind the ex-date for dividendpaying ETFs
53 ETF Options Strategies - Trading SPY ETF VIX Index % Return /08/ /08/2014
54 ETF Options Strategies - Trading Options-Based ETFs BWV ipath CBOE S&P 500 BuyWrite ETN Equity FTLB First Trust Low Beta Income Equity GLDI Credit Suisse Gold Shares Covered Call ETN Commodities HFIN Horizons S&P Financial Select Sector Covered Call Equity HSPX Horizons S&P 500 Covered Call Equity HVPW ALPS U.S. Equity High Volatility Put Write Alternatives PBP PowerShares S&P 500 BuyWrite Equity QYLD Recon Capital NASDAQ 100 Covered Call Equity SLVO Credit Suisse Silver Shares Covered Call ETN Commodities VEGA AdvisorShares STAR Global Buy-Write Alternatives VIXH First Trust CBOE S&P 500 VIX Tail Hedge Equity ETF.com, 8/15/2014
55 ETF Options Strategies - Summary Income Covered Call Naked Put Hedging Protective Put Put Spread Covered Call Collar
56 Graduate Seminar: ETF Options Matt Hougan President ETF.com Strategies: Hedging Risk, Building Income Paul Britt, CFA Senior ETF Specialist ETF.com
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