Estratégias de investimentos no mercado de derivativos por opções: especulação vis-a-vis proteção

Abstract

Recently the number of investors in the capital market is increasing, there is a search for new ways to increase equity. Thus, this study aims to analyze some strategies for investing in derivatives through options as a way to monetize the portfolio or protect itself from market fluctuations. The methodology applied in the research is characterized as to the quantitative and qualitative approach, in relation to the objectives is descriptive and explanatory. To carry out the study, bibliographic, documentary and ex-post facto research was carried out. In this way, we sought to understand the concepts and characteristics of this market, it also describes how some strategies work, to later simulate the selected options strategies, using data from the past, during a short period of thirty days, from June to July 2022. The most liquid underlying assets traded on the stock exchange were chosen, namely: Vale, Petrobras, Itaú, Bradesco, Brasil Bolsa Balcão (B3), with purchase and sale of call and put of a thousand options. The percentage results of profits and losses of each strategy for each company were identified. The strategies selected to be tested were based on low cost downside protection and leverage. Through the simulations, it was possible to identify that before making the investments, one must have an objective, based on the market scenario, to select which strategy should be used at that moment. In short, the percentage of gains or losses of each strategy was evaluated, where the study illustrated that the covered sale in a downturn reduced losses, the collar with purchase of the underlying share proved to be efficient, as it is a protection strategy . While the bullish lock, as it is a strategy, in which it is believed that the market will have high volatility, did not obtain a good result, because there was a low volatility, but when the operation is set up, the percentage of profits is known. or losses. Regarding the last strategy tested, the butterfly, as it is an operation that must be implemented in periods of little oscillation, also did not obtain satisfactory results, it is worth noting that the derivatives market for options is variable income and, therefore, it is not free from scratchs.