Capital Garantido Sintético X Venda de Put de Qual Lado Você Quer Estar?

Summary

In this video, Sandro Nunes explains a popular treasury strategy involving options, known as 'synthetic guaranteed capital.' He breaks down how both buyers and sellers benefit from this approach, which provides zero risk to the buyer and a guaranteed return. The strategy offers a minimum return above the CDI and an unlimited upside if the asset price rises. The video dives deep into the mechanics of the strategy, showing how both sides—buyers and sellers—can profit, while also revealing who ultimately covers the costs. Nunes also invites viewers to explore more strategies in his training program.

Takeaways

• 😀 The strategy discussed is called 'capital garantido sintético' and is commonly used by treasury departments in financial institutions.
• 😀 This strategy involves buying an asset and also purchasing a long option, ensuring a minimum return by the expiration date.
• 😀 The structure aims to offer a return above the CDI (a benchmark interest rate) and is attractive for larger financial capital exposure.
• 😀 The key benefit of this structure is that it offers zero risk of loss to capital, with guaranteed minimum returns, even in neutral or bearish markets.
• 😀 In the case of a price increase of the underlying asset (e.g., Banco do Brasil shares), both the buyer and the seller of the options can profit.
• 😀 For the buyer, the strategy guarantees a minimum return of 11.01% over eight months, which is superior to the CDI.
• 😀 The seller of the options receives a premium upfront and benefits from the strategy as long as the underlying asset doesn't exceed the strike price significantly.
• 😀 Both the buyer and seller can make profits depending on the movement of the underlying asset, but the seller assumes a risk of losing money if the asset price rises too much.
• 😀 The seller can potentially earn more than the buyer if the asset remains below the strike price and if the premium from selling the options provides a sufficient return.
• 😀 This strategy allows for large volume investments, as it has a risk-free setup, allowing participants to focus on market price movement rather than asset selection.

Q & A

What is the main concept discussed in the video?

The video explains a strategy used by treasury departments involving options, focusing on the concept of 'synthetic capital guaranteed,' where the risk is minimized, and returns can be superior to the CDI (Certificado de Depósito Interbancário). The script delves into the potential profits and risks from the perspective of both the buyer and the seller of this strategy.

What is a synthetic capital guaranteed structure?

A synthetic capital guaranteed structure involves buying an asset and a long call option, ensuring a minimum return. This strategy is designed to limit the risk of capital loss while offering the possibility of higher returns, particularly when the asset price increases. It is commonly used by treasury departments in financial institutions.

How does the 'capital guaranteed synthetic' structure work in practice?

In practice, the buyer purchases the underlying asset and simultaneously buys a long call option (deep in-the-money) to ensure a minimum return. The goal is to ensure the value of the structure at expiration exceeds the current cost of acquiring the asset. In some cases, the return can exceed the CDI, making it an attractive investment option.

What guarantees the buyer's minimum return in this strategy?

The minimum return is guaranteed by the difference between the purchase price of the asset and the strike price of the option, with the assumption that the structure's value today is less than the expected value at expiration. The return is also assured regardless of whether the market is flat or declining.

How does the buyer benefit from this structure in an upward market?

In an upward market, the buyer benefits from unlimited upside potential. If the price of the asset increases beyond the strike price of the long call, the buyer can realize a profit that exceeds the initial cost of the structure. This makes the strategy attractive for buyers looking for exposure to potential market gains.

What is the advantage of using this strategy in a large financial exposure?

The advantage of using this strategy in large financial exposures is that it offers a zero-risk position on the capital. Because the risk of loss is limited, a larger amount of capital can be invested, and the buyer does not need to worry about significant losses if the market turns unfavorable.

How does the seller of this structure profit from the strategy?

The seller of the structure profits by collecting the premium from the option sold and potentially earning a return on the capital invested in a low-risk investment like the CDI. The seller's profit comes from the option's premium and interest earned on the collateral used to back the option position.

What risk does the seller assume in this structure?

The seller assumes the risk of the asset's price rising above the strike price, which could lead to significant losses if they are forced to sell the asset at a loss. The seller’s potential risk increases if the asset price goes significantly above the strike price, as the seller’s exposure is theoretically unlimited in the case of an extremely strong upward move in the asset’s price.

Who ultimately 'pays the bill' in this structure, considering both sides make a profit?

The 'bill' is paid by the buyer of the asset who has purchased the option. Part of the seller's return comes from the fixed-income investment (such as the CDI) used as collateral for the option, while the remaining portion comes from the buyer of the options. In effect, the market participants—both buyers and sellers—are compensating each other for taking on specific risks in the options market.

What happens if the asset price drops below the strike price?

If the asset price drops below the strike price, the buyer's risk is limited to the cost of the option structure, and they may still earn a small return from the fixed-income investment. The seller, however, risks ending up with the underlying asset at a lower price than anticipated. The seller’s break-even point in this case will be the strike price plus the premium received.