Crédito pré-fixado com opções: uma análise da estratégia box spread no contexto do financiamento de capital de giro no mercado brasileiro.
Data
2021-02-25
Autores
Suzuki, Pedro Paulo Barreto 
Orientadores
Oliveira Filho, Bolivar Godinho de
Tipo
Trabalho de conclusão de curso
Título da Revista
ISSN da Revista
Título de Volume
Resumo
O presente estudo analisa a viabilidade do modelo de captação de capital de giro através do mercado de opções brasileiro, com uso da estratégia box spread. Para isso, são analisadas as cotações de opções padronizadas negociadas pela B3, de forma a analisar o custo-base da operação, comparando as taxas obtidas com outros métodos clássicos de obtenção de capital de giro, além de alguns indicadores de crédito. Fica claro que, apesar da maioria das operações de box spread apresentar taxas de juros elevadas, uma parcela significativa de operações apresentam uma boa oportunidade de redução de custos de crédito para as empresas brasileiras.
The paper aims to comprehend the viability of funding working capital requirements on Brazilian companies through the usage of the stock option portfolio composition strategy known as box spread. Thus, analysis on stock option prices based on São Paulo Stock Exchange data has been performed, aiming on analysing the strategy base cost and performing a comparison with classic working capital funding methods used by brazilian organizations, such as working capital bank renting, short-term receivables discounting and factoring operations, as well as important national credit indexes, such as the brazilian prime rate and the credit cost index. It becomes clear that, while most box spread operations present meaningfully high interest rates, a good portion of them end up representing a worthwhile opportunity of lower credit cost for brazilian companies.
The paper aims to comprehend the viability of funding working capital requirements on Brazilian companies through the usage of the stock option portfolio composition strategy known as box spread. Thus, analysis on stock option prices based on São Paulo Stock Exchange data has been performed, aiming on analysing the strategy base cost and performing a comparison with classic working capital funding methods used by brazilian organizations, such as working capital bank renting, short-term receivables discounting and factoring operations, as well as important national credit indexes, such as the brazilian prime rate and the credit cost index. It becomes clear that, while most box spread operations present meaningfully high interest rates, a good portion of them end up representing a worthwhile opportunity of lower credit cost for brazilian companies.
Descrição
Citação
SUZUKI, Pedro Paulo Barreto. Crédito pré-fixado com opções: uma análise da estratégia box spread no contexto do financiamento de capital de giro no mercado brasileiro. 2021. 92f. Trabalho de Conclusão de Curso (Graduação em Administração) - Escola Paulista de Política, Economia e Negócios, Universidade Federal de São Paulo, Osasco.