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Put-Call Parity in Options Trading Explained Using Excel

  Рет қаралды 5,614

Ryan O'Connell, CFA, FRM

Ryan O'Connell, CFA, FRM

Күн бұрын

Dive into the essentials of options trading with our comprehensive video on Put-Call Parity explained using Excel. Uncover the intricacies of the Black Scholes Option Pricing Model and its inputs, a cornerstone for understanding market strategies. Gain a thorough grasp of the Put-Call Parity formula and its significance in identifying arbitrage opportunities when mispricing occurs. Learn how to leverage Excel to compare the payoff structures of different portfolios, enhancing your trading acumen and decision-making in the dynamic world of options.
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Chapters:
0:00 - Intro to "Put-Call Parity Explained"
0:30 - Inputs for Black Scholes Option Pricing Model
1:15 - Put-Call Parity Formula
3:29 - Arbitrage Opportunities with Mispricing
5:24 - Payoff Structures of Both Portfolios
Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

Пікірлер: 38
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
💾 Purchase the file created in this video here: ryanoconnellfinance.com/product/black-scholes-put-call-parity-calculator/ 🎓 Tutor With Me: 1-On-1 Video Call Sessions Available ► Join me for personalized finance tutoring tailored to your goals: ryanoconnellfinance.com/finance-tutoring/
@weeeek1933
@weeeek1933 7 ай бұрын
This channel is golden lol, just discovered you will your videos on markowitz's portffolio frontier and this stuff on derivaties is great, thanks man
@RyanOConnellCFA
@RyanOConnellCFA 7 ай бұрын
Welcome aboard! I'm glad to hear you enjoyed them, it's my pleasure
@kaibaing4288
@kaibaing4288 8 күн бұрын
Thanks man I was struggling with this for 2 hours
@GOjoe1970
@GOjoe1970 5 ай бұрын
Love the content you put out. I was wondering if you would possibly do one on the Bjerksund-Stensland Option Pricing Model? Very interested in how that would be performed on Excel.
@RyanOConnellCFA
@RyanOConnellCFA 4 ай бұрын
Thanks for the suggestion and I can look into this topic in the future!
@tsunningwah3471
@tsunningwah3471 9 ай бұрын
you video is awesome cuz my professor keep using algebra instead of real number which is easier to conceptualise
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
Thank you! Sometimes real world examples really help to get a concept down
@dantepreston5217
@dantepreston5217 2 ай бұрын
Why did you calculate the PV of the Strike Price that way? Why not use the traditional way of calculating the PV in excel?
@fahadalgaeed8478
@fahadalgaeed8478 9 ай бұрын
Best channel on youtub
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
Thank you man, this may be the best feedback I've gotten
@pablomoure2963
@pablomoure2963 9 ай бұрын
Howdy man ¡ Would you considered making a video regarding the SBM (FRTB SA) ? I think it would be quite interesting if you could explain how to calculate delta vega and curvature of the trading book. Thank you in advance
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
Hey Pablo, I can look into this topic in the future!
@syetolognasyete3423
@syetolognasyete3423 9 ай бұрын
Thank you from Russia!
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
Thank you too!
@joelcollard2151
@joelcollard2151 5 ай бұрын
Awesome video. One questions, in the second half of the video, why do you use the strike price to calculate the cash payoff instead of the discounted strike price? This deviates from the original put call parity formula so I did not follow this. Thanks in advance.
@tsunningwah3471
@tsunningwah3471 9 ай бұрын
come back to revise for my final next month!
@RyanOConnellCFA
@RyanOConnellCFA 8 ай бұрын
Good luck on the test!
@tsunningwah3471
@tsunningwah3471 9 ай бұрын
good! comment before watching
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
Hope you enjoyed it!
@petersignore9547
@petersignore9547 4 ай бұрын
In this scenario, since the calls value is more than the put, if you were to long Port A and short Port B there is theta decay risk, not zero risk.
@user-fc8jw2kq3o
@user-fc8jw2kq3o 2 ай бұрын
is it true ? can you explain
@tsunningwah3471
@tsunningwah3471 9 ай бұрын
hi sir! my professor said the Ke^-rt is a future. But it is a bond in this video. I am confused..
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
K*e^-rt is just a zero coupon bond discounted at the risk free rate (r) for a certain amount of time (t), where K is equal to the notional value of the bond. It assumes continuous compounding of interest (that is where e comes in)
@tsunningwah3471
@tsunningwah3471 9 ай бұрын
@@RyanOConnellCFA thanks ryan!
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
@@tsunningwah3471 My pleasure!
@rojarani-sh3yl
@rojarani-sh3yl 7 ай бұрын
@ryan how we can enter 1 week expiration time
@RyanOConnellCFA
@RyanOConnellCFA 6 ай бұрын
For time (t) you can enter =7/365 7 being the number of days in a week and 365 being the number of days in a year
@victoricus1
@victoricus1 9 ай бұрын
hello! but in reality, does this mispricing ever occur? and how often?
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
Any mispricing like this shouldn't exist for more than a fraction of a second before high frequency traders secure the arbitrage and force put-call pricing back into parity
@bp56789
@bp56789 9 ай бұрын
I'm not an expert, but I imagine it will occur whenever someone does a price-changing purchase without a corresponding parity purchase on the other side (i.e. inefficient execution of purchasing a particular risk exposure).
@victoricus1
@victoricus1 9 ай бұрын
@@RyanOConnellCFA thank you! so, it's a purely theoretical thingy used to derive call price from put price and vice versa?
@victoricus1
@victoricus1 9 ай бұрын
@@bp56789 cheers matey
@RyanOConnellCFA
@RyanOConnellCFA 9 ай бұрын
@@victoricus1 It is both theoretical and practical I'd say. Put-call parity isn't used to determine the price of calls and puts, (that would be option pricing models like Black Scholes and Binomial Option Pricing Model). It is more so used to point out a relationship that must hold true or arbitrage profits can be earned immediately
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