Compra de opções como alternativa para proteção de carteira de ações contra eventos do tipo cisne negro

Abstract

The present study seeks to understand how the investor who opts for the barbell strategy with the greater part of the portfolio seeking less risk exposure and consistent gains while the other part focuses on the high valuation potential and consequent protection in the option market through an atypical event. Accordingly, a control portfolio was structured (A) with 100% for BOVA11 and a second portfolio with protection (B) composed of 98% for BOVA11 and 2% for put option OTM from Petrobras (PETR4). The results from the backtest analysis indicated that the options purchased in the period appreciated 2218%, making the systematic purchase of options help to reduce the periods of decline in the portfolio that obtained an overall result of 21.52% higher than the control portfolio.