Lindung Nilai Saham dengan Strategi Long Call Condor dan Bear Call Spread

Abstract

Investasi saham mengandung risiko fluktuasi harga sehingga diperlukan strategi lindung nilai yang sesuai dengan karakteristik pergerakan aset. Penelitian ini bertujuan mengkaji kinerja strategi long call condor dan bear call spread sebagai instrumen lindung nilai saham Merck & Co. (MRK) dengan volatilitas rendah pada periode 11 Januari 2023 hingga 8 Desember 2023. Harga opsi call Eropa ditentukan menggunakan model Black-Scholes-Merton dengan penyesuaian dividen diskret, dan kenormalan log return diuji menggunakan uji Kolmogorov-Smirnov. Strategi disusun menggunakan empat harga eksekusi, yaitu 100, 105, 110, dan 115 USD, dengan bear call spread menggunakan harga eksekusi terluar agar perbandingan setara. Hasil penelitian menunjukkan strategi long call condor memberikan keuntunga maksimum 4.07 USD dengan kerugian terbatas 0.92 USD, sedangkan bear call spread menghasilkan keuntungan maksimum 6.21 USD namun berpotensi kerugian 8.78 USD. Strategi long call condor lebih sesuai diterapkan pada saham MRK dengan pergerakan sideways.

Stock investment carries the risk of price fluctuations, requiring hedging strategies suited to the asset’s price movement characteristics. This study examines the performance of the long call condor and bear call spread strategies as hedging instruments for Merck & Co. (MRK) stock, which exhibits low volatility, during the period of January 11, 2023 to December 8, 2023. European call option prices were determined using the Black-Scholes-Merton model with discrete dividend adjustment, and the normality of log returns was tested using the Kolmogorov-Smirnov test. The strategies were constructed using four strike prices, namely 100, 105, 110, and 115 USD, with the bear call spread employing the outer strike prices for fair comparison. The results show that the long call condor yields a maximum profit of 4.07 USD with a limited loss of 0.92 USD, while the bear call spread yields a maximum profit of 6.21 USD with a potential loss of 8.78 USD. The long call condor is more suitable for hedging MRK stock under sideways market movement.