狗剩在苹果股价大跌前出售大量结构性债券 - 未名空间MITBBS历史存档

狗剩在苹果股价大跌前出售大量结构性债券# Stock

r*t2013-01-30 08:01

1 楼

高盛在苹果股价大跌前出售大量结构性债券
2013年01月29日21:05:26 [科技新闻]

编者按：CNN周二引述美国证券交易委员会监管文件内容报道，投行巨头高盛集团在上
周二，也就是苹果公司公布最新一个季度财报之前一天，同时也是公司市值缩水600亿
美元之前两天，出售了价值3000万美元，与苹果公司股票表现挂钩的所谓结构性债券。
Mitbbs.com
报道指出，在出售这些结构性债券的同时，高盛集团苹果证券产品专家比尔索普（Bill
Shope）还预测苹果公司股票会在12个月之后上涨到每股760美元。在苹果公司公布财
报之后一天，比尔索普将苹果公司的目标股价调降到了每股600美元。高盛集团出售的
这部分债券是一种形式更复杂的银行贷款，当股价跌至一个特定价位时，这些债券可以
转换为苹果公司的股票。Mitbbs.com
这并不是高盛集团首次通过对赌其客户的失败而获利。被马特泰比（Matt Taibbi）生
动地形容为“以人性面孔包裹的巨大吸血乌贼，贪得无厌地将吸血的导管插到任何闻起
来像是鲜血的东西里”的高盛集团在2010年支付5.5亿美元和解了美国证券交易委员会
针对公司在美国房地产市场即将崩溃之时，在次级抵押贷款产品交易中误导投资者的指
控。这也是华尔街金融企业有史以来最大的单笔罚款。Mitbbs.com
根据彭博社的数据，投资者在2012年总计购买了17.5亿美元苹果公司相关的结构性债务
，使得苹果公司的股价表现成为了标准普尔500指数之后，第二受欢迎的参考指标。根
据华尔街日报上周的报道，2012年发行的450种苹果公司结构性债券中的绝大多数都已
经处于亏损状态了。Mitbbs.com
italkbb
高盛集团发言人在随后的回应中指出，这批结构性债券并不是出售给了散户投资者，而
是一次机构交易。公司发言人表示，相关报道完全是“本末倒置”，同时公司否认通过
对赌客户而“挣到了钱”。Mitbbs.com
高盛集团还指出，比尔索普是研究部门的一名证券分析师，他的工作是独立的，而且与
发行这些票据的证券部门是“完全隔绝的”。 Mitbbs.com

I*e2013-01-30 08:01

2 楼

In this case, GS actually telling the truth.
GS doesn't hold the risk on their books. They simply use the options market
to hedge out all their risks in such "structured notes".
For example, one of such deals can be:
You make 7% if AAPL doesn't drop 10% in 1 year.
From that point, you lose 1% per each 1% drop. So if AAPL drops 17%, you
break even. If AAPL drops 25%, you lose 8%.
Assume the client want to do 10mm of such trade today, when AAPL = 456.83,
GS will simply hedge the risk by writing 244 January 2014 $410 puts for
about $30.73, for a premium of 749,812. Now you can verify that GS's take is
always at least $49,812. Not bad for a few mouse clicks...
Structured notes can be more interesting. But this simply example
illustrates the point.
-iCare-

r*t2013-01-30 08:01

3 楼

thanks for this knowledge of structure notes
first time to know

l*12013-01-30 08:01

4 楼

the only thing puzzles me is why wouldn't the investors buy 10mm treasury
note, use it as collateral, then sell 244 JAN2014 410 puts themselves ...
pocket the premium and also the interest on the treasury notes ...
wouldn't they end up with more money ? $30.73/$410 = 7.49%, also pick up
maybe 25 bps from the notes ...
hehe ...

market
is

【在 I***e 的大作中提到】

: In this case, GS actually telling the truth.
: GS doesn't hold the risk on their books. They simply use the options market
: to hedge out all their risks in such "structured notes".
: For example, one of such deals can be:
: You make 7% if AAPL doesn't drop 10% in 1 year.
: From that point, you lose 1% per each 1% drop. So if AAPL drops 17%, you
: break even. If AAPL drops 25%, you lose 8%.
: Assume the client want to do 10mm of such trade today, when AAPL = 456.83,
: GS will simply hedge the risk by writing 244 January 2014 $410 puts for
: about $30.73, for a premium of 749,812. Now you can verify that GS's take is

I*e2013-01-30 08:01

5 楼

That is because put writing is beyond many institution accounts' mandates.
Also, many rich folks have very limited knowledge of how the banks are
ripping them off.
A friend used to show me the following structured product based on S&P 500
offered by AXA financial:
- Term is 1 year.
- Your account tracks S&P, capped at 10% gains.
- If S&P loses money, they swallow the first 8% of losses.
So, if S&P drops 20%, you'd lose 12%. If S&P goes up 15%, you make 10%. If S
&P loses 5%, you get your money back.
They charge 1.5% management fee for this trade. However, if you look closer,
this is essentially a long call spread financed by a short put position: (
assume S&P is 1500)
1- Short 1 unit of 1380 put (8% off)
2- Long 1 unit of 1500-1650 call spread. (at the money -> 10% up)
The put is valued at about $59, the calls at 1500 and 1650 are about 76.3
and 19.4. So the trade has no cost, but a credit of 59 - (76.3 - 19.4) = 2.1
. This credit is profit for the offering bank on top of the 1.5% management
fee. No wonder there are so many rich folks in Hong Kong that loses millions
in such "deals"... If the trade size is 1mm, he can easily save $11400 by
doing these trades himself. For example, Fidelity offers this entire trade
at about $23.75 in total commission.
-iCare-

【在 l**1 的大作中提到】

: the only thing puzzles me is why wouldn't the investors buy 10mm treasury
: note, use it as collateral, then sell 244 JAN2014 410 puts themselves ...
: pocket the premium and also the interest on the treasury notes ...
: wouldn't they end up with more money ? $30.73/$410 = 7.49%, also pick up
: maybe 25 bps from the notes ...
: hehe ...
:
: market
: is

c*o2013-01-30 08:01

6 楼

WOW...THAT IS IMPRESSIVE TOO. THANKS FOR THE EXAMPLE, NOW I TRUST NO ONE BUT
MYSELF LE...lol

S

【在 I***e 的大作中提到】

: That is because put writing is beyond many institution accounts' mandates.
: Also, many rich folks have very limited knowledge of how the banks are
: ripping them off.
: A friend used to show me the following structured product based on S&P 500
: offered by AXA financial:
: - Term is 1 year.
: - Your account tracks S&P, capped at 10% gains.
: - If S&P loses money, they swallow the first 8% of losses.
: So, if S&P drops 20%, you'd lose 12%. If S&P goes up 15%, you make 10%. If S
: &P loses 5%, you get your money back.

p*62013-01-30 08:01

7 楼

版主应该mark，及发包子。。。

S*P2013-01-30 08:01

8 楼

So cool. Thanks for sharing.

S

【在 I***e 的大作中提到】

: That is because put writing is beyond many institution accounts' mandates.
: Also, many rich folks have very limited knowledge of how the banks are
: ripping them off.
: A friend used to show me the following structured product based on S&P 500
: offered by AXA financial:
: - Term is 1 year.
: - Your account tracks S&P, capped at 10% gains.
: - If S&P loses money, they swallow the first 8% of losses.
: So, if S&P drops 20%, you'd lose 12%. If S&P goes up 15%, you make 10%. If S
: &P loses 5%, you get your money back.

b*u2013-01-30 08:01

9 楼

Mark.

market
is

【在 I***e 的大作中提到】

: In this case, GS actually telling the truth.
: GS doesn't hold the risk on their books. They simply use the options market
: to hedge out all their risks in such "structured notes".
: For example, one of such deals can be:
: You make 7% if AAPL doesn't drop 10% in 1 year.
: From that point, you lose 1% per each 1% drop. So if AAPL drops 17%, you
: break even. If AAPL drops 25%, you lose 8%.
: Assume the client want to do 10mm of such trade today, when AAPL = 456.83,
: GS will simply hedge the risk by writing 244 January 2014 $410 puts for
: about $30.73, for a premium of 749,812. Now you can verify that GS's take is

k*l2013-01-30 08:01

10 楼

请问，这个244是怎么出来的
我读书的时候没有把option学好，总觉的这么复杂干什么，一定是用来骗人的，现在想
站在骗子的角度想这个问题，一下子就想不通了，呵呵
还有能否把这些数字用公式标注一下，我不知道这些都是什么关系，比如为什么410的
put定价是30.73，可不可以是20元？？？
多谢，十分感谢，有懂行的也可以帮我答疑吗？

market
is

【在 I***e 的大作中提到】

: In this case, GS actually telling the truth.
: GS doesn't hold the risk on their books. They simply use the options market
: to hedge out all their risks in such "structured notes".
: For example, one of such deals can be:
: You make 7% if AAPL doesn't drop 10% in 1 year.
: From that point, you lose 1% per each 1% drop. So if AAPL drops 17%, you
: break even. If AAPL drops 25%, you lose 8%.
: Assume the client want to do 10mm of such trade today, when AAPL = 456.83,
: GS will simply hedge the risk by writing 244 January 2014 $410 puts for
: about $30.73, for a premium of 749,812. Now you can verify that GS's take is

k*l2013-01-30 08:01

11 楼

到这一段，我已经是彻底看不懂了，呜呜呜：（（（（

S

【在 I***e 的大作中提到】

: That is because put writing is beyond many institution accounts' mandates.
: Also, many rich folks have very limited knowledge of how the banks are
: ripping them off.
: A friend used to show me the following structured product based on S&P 500
: offered by AXA financial:
: - Term is 1 year.
: - Your account tracks S&P, capped at 10% gains.
: - If S&P loses money, they swallow the first 8% of losses.
: So, if S&P drops 20%, you'd lose 12%. If S&P goes up 15%, you make 10%. If S
: &P loses 5%, you get your money back.

j*h2013-01-30 08:01

12 楼

好贴
这个版主不mark?

k*l2013-01-30 08:01

13 楼

你提出了一个非常excellent的question！！！！
你们都太牛了，这么复杂的事情都被轻轻化解
这个collateral干嘛用啊？？？？

【在 l**1 的大作中提到】

: the only thing puzzles me is why wouldn't the investors buy 10mm treasury
: note, use it as collateral, then sell 244 JAN2014 410 puts themselves ...
: pocket the premium and also the interest on the treasury notes ...
: wouldn't they end up with more money ? $30.73/$410 = 7.49%, also pick up
: maybe 25 bps from the notes ...
: hehe ...
:
: market
: is

I*e2013-01-30 08:01

14 楼

10000000 / 410 = 24390.24 shares, so options should be 244 lots.
410 put for a year now is selling for 30.73 (source: Bloomberg) at the time
i wrote the post.
Options are very useful tools. However, for financial illiterates, anything
can be used to fool them...
-iCare-

【在 k*********l 的大作中提到】

: 请问，这个244是怎么出来的
: 我读书的时候没有把option学好，总觉的这么复杂干什么，一定是用来骗人的，现在想
: 站在骗子的角度想这个问题，一下子就想不通了，呵呵
: 还有能否把这些数字用公式标注一下，我不知道这些都是什么关系，比如为什么410的
: put定价是30.73，可不可以是20元？？？
: 多谢，十分感谢，有懂行的也可以帮我答疑吗？
:
: market
: is

k*l2013-01-30 08:01

15 楼

谢谢大牛指导

time
anything

【在 I***e 的大作中提到】

: 10000000 / 410 = 24390.24 shares, so options should be 244 lots.
: 410 put for a year now is selling for 30.73 (source: Bloomberg) at the time
: i wrote the post.
: Options are very useful tools. However, for financial illiterates, anything
: can be used to fool them...
: -iCare-

B*y2013-01-30 08:01

16 楼

In this case, the bank took the credit, but did take the risk for 8% loss.
Bank needs buy one ATM put and sell two -8% puts to be totally immune from
downside risk.
In general, structured notes is priced to be close to but better than bank's
interest rate cost. The distribution fee is what bank pays to distributor (
whoever sells that notes for them, could be the private wealth management
arm of the same bank), that's not a cost to investor.
Also in general, trying to replicate the notes using option will be a
bit costly than what the bank can get. While use option to replicate is
convenient, they don't have to use options.

S

【在 I***e 的大作中提到】

: That is because put writing is beyond many institution accounts' mandates.
: Also, many rich folks have very limited knowledge of how the banks are
: ripping them off.
: A friend used to show me the following structured product based on S&P 500
: offered by AXA financial:
: - Term is 1 year.
: - Your account tracks S&P, capped at 10% gains.
: - If S&P loses money, they swallow the first 8% of losses.
: So, if S&P drops 20%, you'd lose 12%. If S&P goes up 15%, you make 10%. If S
: &P loses 5%, you get your money back.

s*t2013-01-30 08:01

17 楼

客户自己写puts好了，为什么要雇gs间接写puts呢？

market
is

【在 I***e 的大作中提到】

: In this case, GS actually telling the truth.
: GS doesn't hold the risk on their books. They simply use the options market
: to hedge out all their risks in such "structured notes".
: For example, one of such deals can be:
: You make 7% if AAPL doesn't drop 10% in 1 year.
: From that point, you lose 1% per each 1% drop. So if AAPL drops 17%, you
: break even. If AAPL drops 25%, you lose 8%.
: Assume the client want to do 10mm of such trade today, when AAPL = 456.83,
: GS will simply hedge the risk by writing 244 January 2014 $410 puts for
: about $30.73, for a premium of 749,812. Now you can verify that GS's take is

I*e2013-01-30 08:01

18 楼

the bank didn't take the risk... it's just a hedge of the contract sold to
the client.
the whole deal for the bank is:
1. Sell a client this product. Essentially entering into a contract
promising the client this payoff. That is, selling the payout to the client.
2. To hedge the risk, replicate the payoff by entering into the combo
options trade in either open market or institutional market.
If you just look at 2, of course it looks like the bank took the risk :)
-iCare-

's
(

【在 B****y 的大作中提到】

: In this case, the bank took the credit, but did take the risk for 8% loss.
: Bank needs buy one ATM put and sell two -8% puts to be totally immune from
: downside risk.
: In general, structured notes is priced to be close to but better than bank's
: interest rate cost. The distribution fee is what bank pays to distributor (
: whoever sells that notes for them, could be the private wealth management
: arm of the same bank), that's not a cost to investor.
: Also in general, trying to replicate the notes using option will be a
: bit costly than what the bank can get. While use option to replicate is
: convenient, they don't have to use options.

B*y2013-01-30 08:01

19 楼

think this way: if sp drop 7%, what happens to bank?

【在 I***e 的大作中提到】

: the bank didn't take the risk... it's just a hedge of the contract sold to
: the client.
: the whole deal for the bank is:
: 1. Sell a client this product. Essentially entering into a contract
: promising the client this payoff. That is, selling the payout to the client.
: 2. To hedge the risk, replicate the payoff by entering into the combo
: options trade in either open market or institutional market.
: If you just look at 2, of course it looks like the bank took the risk :)
: -iCare-
:

B*y2013-01-30 08:01

20 楼

nvm I got the pay out wrong.

【在 B****y 的大作中提到】

: think this way: if sp drop 7%, what happens to bank?

l*12013-01-30 08:01

21 楼

Yeah, I think the banks are making most of the money by helping clients get
around regulation/mandate restrictions.
although, why would any one enter such complicated trades rather than just
holding the stock is beyond me.
investment should be simple (although not easy):
find the right guy, buy it, hold it, then profit.

S

【在 I***e 的大作中提到】

: That is because put writing is beyond many institution accounts' mandates.
: Also, many rich folks have very limited knowledge of how the banks are
: ripping them off.
: A friend used to show me the following structured product based on S&P 500
: offered by AXA financial:
: - Term is 1 year.
: - Your account tracks S&P, capped at 10% gains.
: - If S&P loses money, they swallow the first 8% of losses.
: So, if S&P drops 20%, you'd lose 12%. If S&P goes up 15%, you make 10%. If S
: &P loses 5%, you get your money back.