EQUITY PORTFOLIO INSURANCE USING PROTECTIVE INDEX PUT OPTIONS IMPLEMENTATION PROCEDURE



Unlike implementation of portfolio insurance using synthetic put options, this is a hedge-and-forget strategy using protective put options. No hedge re-balancing is required!


Financial solutions home page

  1. Log into your account or if you are a new user, register your account and enable two factor authentication.
  2. Click on the [Equity portfolio insurance-PIPO] button, this will take you to the Equity portfolio insurance using protective index put options parameters page.

Equity portfolio insurance using protective index put options parameters page

  1. Enter the name of the underlying index.
  2. Select the name of currency of valuation from the drop-down list.
  3. Enter the current value of the portfolio being hedged.
  4. Enter the current value of the underlying index.
  5. Enter the beta of the portfolio being hedged.
  6. Enter the annualised implied volatility of the index underlying the synthetic put option.
  7. Enter the continuously compounded portfolio dividend yield.
  8. Enter the continuously compounded underlying index dividend yield.
  9. Enter the minimum percentage reduction in current value of equity portfolio for which protection is sought.
  10. Enter the protection period, that is, the expiry period of the protective put options.
  11. Enter the continuously compounded zero rate for the protection period.
  12. Click the submit button and this will take you to the output display page.

Output display page

  1. You can view pricing model output together with input parameters you entered.
  2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
  3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
  4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.