Hedging Strategy Analysis of GOTO Stock Using Collar, Bear Put Spread, and Long Strangle

Nur Agustiani, Sri Wahyu, Aulia Rizki Firdawanti, Hafidlotul Fatimah Ahmad

Abstract


This study compares the performance of three hedging strategies, Collar, Bear Put Spread, and Long Strangle, in a case study of PT GoTo Gojek Tokopedia Tbk (GOTO) stock. The analysis focuses on the risk management effectiveness and profit potential of these strategies within an emerging market context. The research utilizes weekly stock price data from July 2023 to June 2024 (54 observations). The methodological procedures include calculating returns and volatility, testing return normality using the Shapiro-Wilk test, determining European option prices using the Black-Scholes model with a 6% risk-free interest rate, and conducting profit simulations. The findings indicate that the Collar strategy provides maximum protection against stock price declines, albeit with limited profit potential. The Bear Put Spread strategy proves effective in generating returns during moderate price decreases while offering lower risk and cost. Conversely, the Long Strangle strategy possesses high profit potential during significant price volatility but carries the risk of total loss if stock prices remain stagnant. As a comprehensive comparison of these three option strategies applied to GOTO stock, this study recommends the Collar strategy as the optimal choice for risk-averse investors during bearish trends.

Keywords


Bear Put Spread; Black-Scholes; Collar; Long Strangle; Hedging

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References


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DOI: https://doi.org/10.37905/euler.v13i3.34092

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