《期權(quán)基礎(chǔ)知識》

期權(quán)和波動率交易（一）期權(quán)簡介---謹(jǐn)獻(xiàn)給大商所期貨學(xué)院

精選ppt2004~2010年匯福糧油集團(tuán)國際貿(mào)易公司期貨部2010~2011年路易達(dá)夫北京油籽部

2011~至今RJO北京代表處精選ppt美國羅杰歐期貨公司（R.J.O’Brien&Associates,LLC.，簡稱RJO）創(chuàng)建于1914年，為O”Brien家族所有，是目前美國最大、歷史最悠久的獨(dú)立期貨經(jīng)紀(jì)機(jī)構(gòu)；公司資本雄厚且穩(wěn)定，客戶管理資產(chǎn)過36億美元，在非金融機(jī)構(gòu)中名列前茅，與各大跨國金融機(jī)構(gòu)或商業(yè)公司沒有任何從屬關(guān)系；RJO是CME的創(chuàng)始成員之一，擁有近百年的從業(yè)經(jīng)驗，是CME集團(tuán)、ICE、NYSELIFFE和芝加哥氣候交易所的全面清算會員；提供最新的下單系統(tǒng)和24小時交易，為八萬多客戶（其中不乏世界最大金融、工業(yè)和農(nóng)業(yè)機(jī)構(gòu)）進(jìn)行全球任何期貨產(chǎn)品的執(zhí)行和/或清算；嚴(yán)格且富有經(jīng)驗的風(fēng)控管理使公司歷經(jīng)各大金融危機(jī)后仍保持增長勢頭。公司資產(chǎn)嚴(yán)格用于保護(hù)客戶利益，不進(jìn)行任何形式的杠桿交易。利用任何客戶資產(chǎn)進(jìn)行自營業(yè)務(wù)的做法是被嚴(yán)格禁止的；受NFA和CFTC監(jiān)管，并且是期貨行業(yè)協(xié)會和資金管理協(xié)會的成員；曼氏破產(chǎn)之后，RJO被指定為過渡賬戶的主要接收方，再度證實了公司強(qiáng)大的管理能力及在業(yè)內(nèi)的良好聲望。美國羅杰歐期貨公司簡介3精選pptOptionsClassification

期權(quán)種類AmericanOptions(Americancalls&puts)

美式期權(quán)(美式看漲、看跌期權(quán))canbeexercisedBeforeoptionsexpirationdate可在期權(quán)到期前執(zhí)行EuropeanOptions(Europeancalls&puts)歐式期權(quán)(歐式看漲、看跌期權(quán))canonlybeexercisedOnoptionsexpirationdate只在期權(quán)到期時執(zhí)行精選pptTypesofOptions

期權(quán)種類Call看漲期權(quán)

Buy買入–Righttobuyfutures購買期貨的權(quán)利

Sell賣出–Obligationtosellfutures出售期貨的義務(wù)Put看跌期權(quán)

Buy買入–Righttosellfutures出售期貨的權(quán)利

Sell賣出–Obligationtobuyfutures購買期貨的義務(wù)精選pptOptionsSpecification

期權(quán)規(guī)定

ExpirationDates到期日

StrikePrices執(zhí)行價格

SpecifiedbyCommodityExchange由商品交易所規(guī)定Terminology術(shù)語in-the-money(ITM)實值at-the-money(ATM)平值out-of-the-money(OTM)虛值精選pptOptionsPremium

期權(quán)貼水

Twoparts兩部分

IntrinsicValue/ExerciseValue內(nèi)在價值/執(zhí)行價值TimeValue時間價值OptionsPremium(TotalValue)=IntrinsicValue+TimeValue期權(quán)貼水(總價值)=內(nèi)在價值+時間價值精選pptIntrinsicValue

內(nèi)在價值Thepositivedifferencebetweenthestrikepriceandtheunderlyingfuturesprices.期貨與期權(quán)執(zhí)行價之間的價差Equations公式:forputs:IntrinsicValue=Putstrike–Futures對看跌期權(quán)：內(nèi)在價值=看跌執(zhí)行價–期貨價

forcalls:IntrinsicValue=Futures–Callstrike對看漲期權(quán)：內(nèi)在價值=期貨價–看漲執(zhí)行價精選pptCall看漲期權(quán)in-the-money(ITM)實值

StrikePrice<Futures’Price執(zhí)行價格<期貨價格at-the-money(ATM)平值

StrikePrice=Futures’Price執(zhí)行價格=期貨價格out-of-the-money(OTM)虛值

StrikePrice>Futures’Price執(zhí)行價格>期貨價格精選pptPut看跌期權(quán)in-the-money(ITM)實值

StrikePrice>Futures’Price執(zhí)行價格>期貨價格at-the-money(ATM)平值

StrikePrice=Futures’Price執(zhí)行價格=期貨價格out-of-the-money(OTM)虛值StrikePrice<Futures’Price執(zhí)行價格<期貨價格精選pptTimeValue時間價值FourfactorsaffectTimeValue四因素影響時間價值Volatility波動率Supply&Demand供應(yīng)及需求Time時間Interestrates利率精選pptOptionsLiquidation

期權(quán)清算OffsetExpireExpireExercise利用場地實值期權(quán)對沖期貨頭寸精選pptTimeDecay

時間衰退$1$290daystoexpire0daystoexpireTimeValueinanoption精選pptFactorsaffectedOptionprices

影響期權(quán)價格的因素精選pptOptions’profit

期權(quán)的利潤C(jī)alls看漲期權(quán)

ProfitTerminalFutureprice0BuyaCallSellacallXX+Premium精選pptOptions’profit

期權(quán)的利潤Puts看跌期權(quán)

ProfitTerminalFutureprice0BuyaputSellaPutXX-Premium精選pptSyntheticsusingPut-CallParity

利用看跌-看漲期權(quán)等式合成期貨或期權(quán)

撿錢LongFuture=LongCall+ShortPutShortFuture=ShortCall+LongPutLongCall=LongFuture+LongPutLongPut=ShortFuture+LongCallShortCall=ShortFuture+ShortPutShortPut=LongFuture+ShortCall精選pptStrategiesinvolvingasingleoptionandafuture

用單個期權(quán)或期貨的交易策略

LongFuture,shortcall(payofflikesShortPut)ProfitFuturesPriceX精選pptStrategiesinvolvingasingleoptionandafuture

用單個期權(quán)或期貨的交易策略ShortFuture,LongCall(PayofflikesLongPut)ProfitFuturesX精選pptStrategiesinvolvingasingleoptionandafuture

用單個期權(quán)或期貨的交易策略LongFuture,LongPut(PayofflikesLongCall)ProfitFuturesX精選pptStrategiesinvolvingasingleoptionandafuture

用單個期權(quán)或期貨的交易策略ShortFuture,ShortPut(PayofflikesLongCall)XProfitFutures精選pptSpreads套利Bullspreads看漲套利

–Buyacallwithx1,sellacallwithsameexpirationdaywithx2,whilex1<x2,usedwhenmoderatelybullishandfairlycertainthatthemarketwillnotfallProfitFuturesx1x2精選pptSpreads套利Callspreads看漲套利

–Buyacallwithx1,sellacallwithsameexpirationdaywithx2,whilex1<x2,usedwhenmoderatelybullishandfairlycertainthatthemarketwillnotfallProfitFuturesx1x2精選pptSpreads套利Butterflyspreads蝶式套利

–buyacallwithx1,sell2callswiththesameexpirationdaywithx2,andbuyacallwithsameexpirationdaywithx3,whilex1<x3<x2,usedwhenmoderatelycertainthatpriceswillnotfluctuatemuchProfitfuturesx1x2x3精選pptSpreads套利Diagonalspreads對角線套利

–Anear-datedcalloptionissold,andalonger-dated,furtherout-of-the-moneycalloptionisbought,usedwhentheinvestorthinksthatthemarketwillbeweakintheshort-term,butthenrallylater.精選pptSpreads套利RatioSpread比例套利BuysomecallsofstrikepriceX1,andsellamultiplenumberofcallsofstrikeX2withthesameexpirationdays,whereX2>X1Thegoalbeingtoreducethetotalcostofthespreadwhilemaintainingareasonablerisk/rewardprofileTakeadvantageofhighimpliedvolatility精選pptCombinationsStraddle–Buyacallandaputwiththesameexpirationdayandstrikeprice,usedwhenthemarketwillbeveryvolatileintheshort-term.xProfitFutures精選pptCombinationsStrangles–Buyacallandaputwiththesameexpirationdayandstrikeprice,usedwhenthemarketwillnotbevolatilewithinabroadishband.x1x2ProfitFutures精選ppt小測驗1，longcall,shortput,whichismorebullish?2,longput,shortcall,whichismorebearish?精選pptOptionsSeriesTwoOptionsvaluationandtheGreeks系列二:期權(quán)定價及期權(quán)中希臘字母簡介精選pptOptionsValuation期權(quán)價格分析TheBlack-ScholesModel:c=SN(d1)–Xe-rTN(d2)p=Xe-rTN(-d2)–SN(-d1)Whered1=ln(S0/X)+(r+2/2)T*sqrt(T)d2=d1

–*sqrt(T)c:callpremium看漲期權(quán)貼水p:putpremium看跌期權(quán)貼水S:currentfuturesprice現(xiàn)行期權(quán)價格e:

exponentialfunction(2.7163)自然指數(shù)T:timetoexpiration距離到期日時間r:continuouslycompoundedriskfreeinterestrate:volatility波動率無風(fēng)險連續(xù)復(fù)利N:normaldistribution正態(tài)分布ln:naturallogarithm自然對數(shù)精選pptImpliedVolatilities隱含波動率ImpliedVolatilities:

volatilityimpliedbyanoptionpriceobservedinthemarketCURRENTIMPLIEDVOLATILITY__DailypublishedbyRJO精選pptSeasonalityandScrewinImpliedVolatilityGrainsandoilseedsexhibitahighdegreeofseasonalityinimpliedvolatility.Thistypicallygoeshand-in-handwiththekeyproductionperiodsforeachcrop.精選ppt精選pptMakeprofitbyutilizingImpliedVolatility,SeasonalityandScrewTreatskewthesameasimpliedvolatilityitselfwhenconstructingtradingstrategies,inthatwealwaysprefertoselloptionsathigherimpliedvolatilitylevelsandbuyoptionsatlowerimpliedvolatilitylevels.

Example:1，資金流入做多波動率；資金流出做空波動率2，天氣市之前做多波動率；天氣市之后做空波動率精選pptTheGreekletters–Delta

希臘字母–DeltaThemeasurementofmovementinanoptionspremiumrelativetoamoveinthepriceoftheunderlyingfutures.Acall’sdeltaisquotedaspositiveandaput’sasnegativeAstheunderlyingfuturespricemoves,sowillthedelta.An“at-the-money”optionwillmoveapproximatelyonehalfthevalueofafuturesmoveAn“deep-in-the-money”willhaveadeltanearorequalto1.00(-1.00)An“out-of-the-money”willhaveadeltaapproachingzeroasitcontinuoustomoveinthatdirection精選ppt精選pptTheGreekletters–DeltaFutureshaveadeltaof1Longfutures=LongDeltaShortFutures=ShortDelta精選pptTheGreekletters–DeltaCall/Putdeltabetween0-1LongCall=LongdeltaShortCall=ShortdeltaLongPut=ShortdeltaShortPut=Longdelta精選pptTheGreekletters–Delta精選pptTheGreekletters–GammaTherateatwhichanoption’sdeltachangesasthepriceoftheunderlyingfutureschangeGammaisgreatestwhenatthemoneyandmovestoward0asitmovesfurtherout-of-the-moneyForunderlyingassets,gammais0精選ppt精選pptTheGreekletters–GammaGammaishighestonclosesttoexpirationandclosesttoatthemoneystrikes精選pptTheGreekletters–GammaLongcall=LonggammaShortcall=ShortgammaLongput=LonggammaShortcall=Shortgamma精選ppt精選pptTheGreekletters–ThetaTherateatwhichanoptionpremiumlosesvaluesastimepasses,referredtoasthe“decayfactor”O(jiān)vertime,anoptionpremiumlosesvalueatanacceleratedrate.Theclosertheoptiontoat-the-money,thegreaterthethetanearingexpiration精選ppt精選pptTheGreekletters–ThetaLongcall=longthetaShortcall=shortthetaLongput=longthetaShortput=Shorttheta精選ppt精選pptTheGreekletters–VegaVegaisgiveninpointchangeintheoriticalvalueforeachonepercentagepointchangeinvolatilityGivensametypeandsametime,anat-the-moneyoptionalwayshasgreatvegathanin-the-moneyorout-of-the-moneyoption.I.e,anat-the-moneyoptionismostsensitivetochangeinvolatility精選ppt精選pptRiskManagementusingtheGreeks–DeltaneutralDeltahedging–保持風(fēng)險受益的穩(wěn)定性

隨著期貨價格的變動，通過調(diào)整投資組合的delta值來控制總體頭寸的風(fēng)險/受益:Example:f0=49,own100,000calloptionsWeekfuturesPriceDeltano.purchasedCostoffuturespurchased($000)CummulativeCostincludinginterest($000)Interestcost($000)049.000.52252,2002,557.82,557.82.5148.120.458(6,400)(308.0)2,252.32.2247.370.400(5,800)(274.7)1,979.81.9350.250.59619,600984.92,996.62.9451.750.6939,700502.03,471.53.3553.120.7748,100430.33,905.13.8653.000.771(300)(15.9)3,893.03.7751.870.706(6,500)(337.2)3,559.53.4精選pptRiskManagementusingtheGreeks–Deltaneutral

應(yīng)用最廣Deltahedging:NC/NF=-1/deltaTheinvestorownsaportfoliooffuturesand100,000calloptions,atWeek0,futurespriceat49,strikeprice50,soneed52,200futurestomaketheportfoliodeltaneutral.Atweek1,thefuturespricechangesto48.12,andthedeltachangesto0.458TheStrategy

Theinvestornowonlyneed0.458x100,000=45,800futurescontracts,soheimmediatelysells52,200–45,800=6,400futurescontracts,overthenextshortperiodoftime,thecallpricewilltendtochangeby45.8%ofthefuturespriceandthegain(loss)onthecallwillbeoffsetbytheloss(gain)onthefutures.Astimepasses,deltawillchangeandthepositioninthefutureswillhavetobeadjusted.Forexample,atweek2,thedeltadecreasefurtherto0.400,afurther5800contractsneedtobesold.

精選pptRiskManagementusingtheGreeks–GammaNeutralMakingaportfolioGa