Comparative Analysis Of Call Option Applications Using Butterfly Strategy And Condor Strategy To Return On Investment In Option Contract (Case Of LQ 45 Index On Indonesian Stock Exchange Period 2008 – 2010)

Abstract

Derry Aditya (2012). “Comparative Analaysis of Call Option Applications Using Butterfly Strategy and Condor Strategy to Return on Invesment in Option Contract (Case of LQ45 Index on the Indonesian Stock Exchange Period of 2008 – 2010).” Invesment is the instrument which made by the purpose to obtain money. In detail the investor done the investment by investing certain amount of capital in financial assets or tangible assets. In the application, investment needs a function of hedging that help the investor to avoid big number of loss. The instrument that provides function of hedging in invesment is option, with Butterfly Spread Strategy and Condor Spread Strategy the investor will get a function of hedging on option. For that Reason, this reasearch is conducted to know the best strategy between Butterfly Spread Strategy and Condor Spread Strategy in obtain good return on invesment in option contract of LQ45 index within period of 1 month, 2 months, and 3 months contract in period of 2008 – 2010. Black Scholes Option Pricing Model is used to estimate call option price and followed by calculating the return on invesment of both strategies from chosen period. Overall, the results of this research show that Buterfly Spread Strategy is good option strategy in terms of return on invesment within period of 1 month, 2 months, and 3 months contract in period of 2008 – 2010. Keywords : Financial Management, Investment, Derivatives, Option, Buttefly Strategy, Condor Strategy