利用期权为标的成分股进行保险的案例

Group 1 - The principle of hedging involves adjusting the market value of ETF constituent stocks based on their Beta value to estimate the corresponding systematic risk exposure of the ETF, and then buying a corresponding number of put options to hedge this estimated ETF market value [1]. Group 2 - A specific case involves an institution holding 10,000 shares of a constituent stock (Company A) of the Sci-Tech 50 Index, seeking to fully hedge the systematic risk of this stock [2]. Group 3 - On March 18, 2025, Company A's closing price was 94.1 yuan, and the closing price of the Sci-Tech 50 ETF (588000) was 1.146 yuan. The calculated Beta value of Company A relative to the Sci-Tech 50 ETF was 1.1 [3][4]. Group 4 - The institution bought 90 contracts of the Sci-Tech 50 put option with a strike price of 1150 for April, at a price of 0.0486 yuan, totaling a premium payment of 43,740 yuan [5]. Group 5 - By April 7, 2025, the institution sold the held options. During this period, Company A's stock price fell from 94.1 yuan to 84 yuan, resulting in a loss of 101,000 yuan on the stock position, while the put option price increased from 0.0486 yuan to 0.2017 yuan, yielding a profit of 137,790 yuan on the options position [6].