Guide to Index
Other Series_P-KOSPI 200
KOSPI 200 Protective Put Index (P-KOSPI 200) is an index that represents a synthetic investment strategy that simultaneously buys KOSPI 200 constituents (spot basket) and KOSPI 200 put options. It is used as a benchmark index for ETF, funds, and other products. KOSPI 200 Protective Put Index (P-KOSPI 200) has been calculated and announced since October 1, 2010.
Overview
- P-KOSPI 200 represents a protective put investment strategy (line A + line B) that simultaneously buys KOSPI 200 constituents (spot basket) (line A in below chart) and buys an identical scale1) of KOSPI 200 put option (line B).
- 1) For example, if KOSPI 200’s (assuming 200.0P) spot basket buying volume is KRW 10 billion, the identical scale of put option trade is 500 contracts. {= KRW 10 billion ÷ (200.0P × options trade multiplier)}
- From the below chart, if KOSPI 200 plunges (①) than the ‘break-even point (option strike price + option premium),’ losses is limited (excess earnings compared to KOSPI 200). However, if KOSPI 200 rises (③) or gradually falls (②), it has a profit structure that would expand the losses (losses compared to KOSPI 200) or partially surrender the profit as much as the option premium.
General Information
- Name of Index: KOSPI 200 Protective Put (P-KOSPI 200)
- Methodology: P-KOSPI 200 is calculated on a hypothetical portfolio consisting of a long KOSPI 200 and two long OTM put options
- Target Option (Strike Price): Held until the expiration day after buying 5% of the immediate month’s Out-of-the-Money(OTM) put option
- Two put options with the strike price (with a constant proportion of 2.5P) closest to the 5% price decrease based on KOSPI 200 closing price index on the last trading day (For example, 187.5P and 190.0P strike price call option would apply if KOSPI 200 closing price index is 200.0P on the last trading day)
- Delivery Month Roll-over: Buy 5% of the next delivery month’s Out-of-the-Money (OTM) put option after the closing index of KOSPI 200 has been announced
- 『Record of Options Delivery Month Roll-over』will be announced monthly on the last trading day through the above menu
* Volume weighted split buying is conducted between 15:00 and 15:15 on the last trading day for Roll-over
- 『Record of Options Delivery Month Roll-over』will be announced monthly on the last trading day through the above menu
- Base Date: January 11, 2007
- Base Index: KOSPI 200 closing price index on the base date(176.26p)
- Time of Calculation: 9:01 ~ 15:15
- KOSPI 200 Protective Put Index (P-KOSPI 200) is a theoretical investment reference index and the actual yield of financial products, such as ETF and funds, may differ. Please note that KRX does not have legal liabilities of the outcome of the investment through the information provided.
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