Venda coberta de opções 'in the money' como estratégia de renda fixa no mercado acionário brasileiro

Abstract

This study attempts to make simulations of the operation of selling covered options in the Money, the Brazilian stock market, in the period of January 2009 until April 2012. The main objective of this strategy is to obtain a higher return on fixed income, with low risk and without compromising the capital by investing in a long-term portfolio, i.e., it seeks to simulate a fixed income operation within the stock market, but with a better financial return. For the theoretical basis of this research the following authors were used: Vergara (2007), Fortune (2008), Cavalcante, Yoshio and Rudge (2005), Assaf Neto (2003), Bessada, Barbedo and Araújo (2005), Hull (1996) and Neto (2002). For the construction of the simulation, a detailed history of the price of preferred shares and options of companies Petrobras and Vale do Rio Doce was collected. Each month, 6 possibilities were analyzed for accomplishing the strategy. Each of the shares (PETR4 and VALE5) offered three possibilities in different strikes. In order to choose one of these possibilities, it was necessary to standardize the adopted strategy by following three basic criteria for entering an operation, which are: 1) rate of return greater than the CDI of the previous month; 2) the probability of a successful operation of over 80% and 3) the hedge of the underlying asset greater than 8%.. In the last section of the work, a comparison between the valuation of the underlying asset, the profitability of the strategy and profitability of CDI. Based on the data, it was concluded that the operation studied offers more attractive returns than the fixed income and a better risk / return ratio than the simple purchase of the underlying asset. However, it is important to note the context in which this analysis was done, as several events (political and economic) happened during the period of this study.