股票选择权之推广及操作策略

臺灣期貨商同業公會股票選擇權之推廣及操作策略推廣教材臺灣期貨商同業公會1SEANTSENG臺灣期貨商同業公會OUTLINEN推廣面N選擇權體操10式N選擇權天龍八部N法人面N股票選擇權於資產管理之運用N國內外法人於股票選擇權之運用N期貨自營商及造市者於股票選擇權之運用N市場面N國內衍生商品市場展望N期貨,選擇權,認購權證,保本商品等衍生商品之競合關係DATE2SEANTSENG臺灣期貨商同業公會股票選擇權展望N由期貨到選擇權N由指數到個股N由認股權證到選擇權NWHATDOYOULIKE指數個股NWHATDOYOULIKE現貨期貨選擇權N現在五檔股票選擇權,到年底N現在約6000口,到年底DATE3SEANTSENG臺灣期貨商同業公會選擇權之基本部位選擇權之定義、基本策略簡易的情境分析4SEANTSENG臺灣期貨商同業公會CALLOPTIONPUTOPTIONN買權CALLOPTIONNTHERIGHTTOBUYN買方支付權利金，取得買進標的之權利N賣方收取權利金，負擔賣出標的之義務N賣權PUTOPTIONNTHERIGHTTOSELLN買方支付權利金，取得賣出標的之權利N賣方收取權利金，負擔買進標的之義務N好比是買房子,付訂金N所不同的是,訂金是內含的,權利金是外加的DATE5SEANTSENG臺灣期貨商同業公會LONGCALL買買權損益分析INDEXLEVELSPAYOFFMAXSK,0LONGINDEXCALLOPTIONKCALLFUTURESPREMIUMMAXPROFITUNLIMITEDMAXLOSSPREMIUMINITIALINVESTMENTDEBITBREAKEVENPOINTKPREMIUMDATE6SEANTSENG臺灣期貨商同業公會SHORTCALL賣買權損益分析INDEXLEVELPAYOFFMAXSK,0SHORTINDEXCALLOPTIONMAXPROFITPREMIUMMAXLOSSUNLIMITEDINITIALINVESTMENTCREDITBREAKEVENPOINTKPREMIUMDATE7SEANTSENG臺灣期貨商同業公會LONGPUT買賣權損益分析INDEXLEVELPAYOFFMAXKS,0LONGINDEXPUTOPTIONMAXPROFITKPREMIUMMAXLOSSPREMIUMINITIALINVESTMENTDEBITBREAKEVENPOINTKPREMIUMDATE8SEANTSENG臺灣期貨商同業公會SHORTPUT賣賣權損益分析INDEXLEVELPAYOFFMAXKS,0SHORTINDEXPUTOPTIONMAXPROFITPREMIUMMAXLOSSKPREMIUMINITIALINVESTMENTCREDITBREAKEVENPOINTKPREMIUMDATE9SEANTSENG臺灣期貨商同業公會BULLSPREAD多頭價差INDEXLEVELPAYOFFLONGACALLATK1SHORTACALLATK2,K10,MAXPROFITMAXLOSSDIFFINKMAXPROFITNCASE2PRECEIVEDPPAID0,MAXPROFITNMAXLOSSDIFFINKMAXPROFIT20011090NCASE2BULLSPREADN買進二月到期履約價格5,100買權，付400點，N賣出二月到期履約價格5,300買權，收290點NPRECEIVEDPPAID2904001100,MAXLOSSNMAXPROFITDIFFINKMAXPROFIT20011090,TIPSFOREXAMDATE51SEANTSENG臺灣期貨商同業公會SPREADBREAKEVENNBREAKEVENPOINTNCASE1CALLKLOW|DIFFINP|NCASE2PUTKHIGH|DIFFINP|TIPSFOREXAMDATE52SEANTSENG臺灣期貨商同業公會EXERCISEBREAKEVENNCASE1CALLN賣出二月到期履約價格5,100買權，收400點，N買進二月到期履約價格5,300買權，付290點NKLOW|DIFFINP|51001105210NCASE2PUTN賣出二月到期履約價格5,100賣權，收170點N買進二月到期履約價格5,300賣權，付260點NKHIGH|DIFFINP|5300905210TIPSFOREXAMDATE53SEANTSENG臺灣期貨商同業公會STRADDLEANDSTRANGLENMAXPROFITLONGUNLIMITEDSHORTPREMIUMRECEIVEDNMAXLOSSLONGPREMIUMPAIDSHORTUNLIMITEDNBREAKEVENSTRADDLEKTOTALPREMIUM,KTOTALPREMIUMSTRANGLEKCALLTOTALPREMIUM,LOWKPUTTOTALPREMIUMTIPSFOREXAMDATE54SEANTSENG臺灣期貨商同業公會EXERCISELONGSTRADDLEN買進二月履約價格5,200買權，付340點N買進二月履約價格5,200賣權，付210點NMAXPROFITLONGUNLIMITEDNMAXLOSS340210550NBREAKEVENNKTOTALPREMIUM52005505,750NKTOTALPREMIUM52005504,650TIPSFOREXAMDATE55SEANTSENG臺灣期貨商同業公會EXERCISESHORTSTRANGLEN賣出二月履約價格5,100買權，收400點N賣出二月履約價格5,300賣權，收260點NMAXPROFIT400260660NMAXLOSSUNLIMITEDNBREAKEVENNKCTOTALPREMIUM51006605,760NKPTOTALPREMIUM53006604,640TIPSFOREXAMDATE56SEANTSENG臺灣期貨商同業公會選擇權於資產管理之運用及法人操作策略APPLYINGOPTIONINASSETMANAGEMENT57SEANTSENG臺灣期貨商同業公會交易策略之分類THESPECTRUMOFTRADINGSTRATEGIESNAKEDPOSITIONPITECHNICALHEDGEPIMECHANICALHEDGEPISPECUTRAGEPUREARBITRAGE/SPREADTRADETIMINGRATIO期貨現貨PISSADATE58SEANTSENG臺灣期貨商同業公會複合部位SYNTHETICPOSITIONNLONGFUTURESLONGCALLSHORTPUTN1,11,00,1NSHORTFUTURESSHORTCALLLONGPUTN1,11,00,1NLONGCALLFUTURESLONGPUTN1,01,10,1DATE59SEANTSENG臺灣期貨商同業公會複合部位SYNTHETICPOSITIONNLONGPUTSHORTFUTURESLONGCALLN0,11,11,0NSHORTCALLSHORTFUTURESSHORTPUTN1,01,10,1NSHORTPUTLONGFUTURESSHORTCALLN0,11,10,1DATE60SEANTSENG臺灣期貨商同業公會SYNTHETICFUTURESLONGNLONGCALLSHORTPUTATTHESAMESTRIKENLONG5800CALL,PAY325NSHORT5800PUT,RECEIVE85NNETCASHOUTFLOW,240NTHEPRICEOFSYNTHETICFUTURES6040NMARCH21CASHCLOSE6046,FUTURE6047買低賣高賺價差DATE61SEANTSENG臺灣期貨商同業公會SYNTHETICFUTURESSHORTNLONGPUTSHORTCALLATTHESAMESTRIKENLONG6000PUT,PAY143NSHORT6000CALL,RECEIVE206NNETCASHOUTFLOW,63NTHEPRICEOFSYNTHETICFUTURES6063NMARCH21CASHCLOSE6046,FUTURE6047買低賣高賺價差DATE62SEANTSENG臺灣期貨商同業公會風險之微調控管HEDGEEXPOSURETUNINGWHATIWANTISWHATIGETRISKEXPOSURESYSTEMATICEXPOSURESPECIFICEXPOSUREFULLYORPARTIALLYHEDGEMARKETRISKSHORTINDEXFUTURES市場大好兩者都賺市場不好只賺個別表現DATE63SEANTSENG臺灣期貨商同業公會避險的難題TOHEDGE,ORNOTTOHEDGENWHENHOWMUCH1FULLHEDGE全然規避大盤風險2TECHNICALHEDGE技術性擇時避險3PROTECTIVEPUTHEDGE使用或複製賣出權DATE64SEANTSENG臺灣期貨商同業公會投資組合保險買入PROTECTIVEPUTLONGEQUITYPORTFOLIOLONGPROTECTIVEPUTLONGSYNTHETICCALL持有績優之投資組合買進INDEXPUTOPTION下檔風險有限,上檔獲利無窮DATE65SEANTSENG臺灣期貨商同業公會投資組合保險PAYOFFUSINGPROTECTIVEPUTPROFITLOSSSYNTHETICPOSITIONASSUMINGNOTRACKINGERRORSDATE66SEANTSENG臺灣期貨商同業公會個股選擇權怎麼用N同一標的如同指數N善用不同標的之強弱勢NLONG2002,LONG2002PUTNLONG2002CALL,LONG2002PUTNLONG2002CALL,LONG2303PUTNLONG2002CALL,SHORT2303PUTNLONG2002CALL,SHORT分開2302CALLN可以一起看，也可以分開看DATE67SEANTSENG臺灣期貨商同業公會N選擇權PUTOPTION之履約價HIGHERSTRIKE,BETTERPROTECTION,BUTHIGHERPREMIUM選擇權PUTOPTION之時間長短3M559,6M766,9M915,12M1033N投資組合之績效表現OUTPERFORMORUNDERPERFORMINDEXNPUTOPTION之持有時間EARLYTERMINATIONCANNOTENSURETHEPROTECTIONEFFECTPAYINSURANCEPREMIUMTOGETDOWNSIDEPROTECTION投資組合保險ISSUESOFUSINGPROTECTIVEPUTDATE68SEANTSENG臺灣期貨商同業公會EX保本型基金PGFN連動標的NIKKIE225INDEXN方向看多N期限2YEARSN保本率100N參與率125N到期回收100PRINCIPAL125RETURNOFN225INDEXDATE69SEANTSENG臺灣期貨商同業公會THEBASICSTRUCTURE1009345655BUY05OPTIONTOENSUREFIXEDPARTICIPATIONRATEPVFV795FV8878PVBUY085OPTIONSANDGETHIGHERPARTICIPATIONRATE1122DATE70SEANTSENG臺灣期貨商同業公會INVESTORSPAYOFFWITHCALL基金到期價值（看跌型）投資指數起算日指數回收本金OPTIONVALUEOPTIONVALUEPRINCIPALDATE71SEANTSENG臺灣期貨商同業公會INVESTORSPAYOFFWITHPUT基金到期價值（看跌型）投資指數起算日指數回收本金OPTIONVALUEPRINCIPALDATE72SEANTSENG臺灣期貨商同業公會GUARANTEEDRATEVSPARTICIPATIONRATEN朝三暮四VS朝四暮三NHIGHERPRINCIPALGUARANTEEDRATE,LOWERPARTICIPATIONRATEN保本率GN到期時保證回收本金的比例N參與率PN參與市場漲（跌）幅而獲利的比例DATE73SEANTSENG臺灣期貨商同業公會CONSERVATIVEVSAGGRESSIVEAGGRESSIVECONSERVATIVEPRINCIPALGUARANTEERATEDATE74SEANTSENG臺灣期貨商同業公會保本商品種類TYPESOFPGIN組合性存款STRUCTUREDDEPOSITSDNINTERESTPAYMENTISLINKEDEXOTICSTRUCTUREN股價連動債票券EQUITYLINKEDNOTEELNNLONGOPTION/SHORTOPTIONN保本型票券PRINCIPALGUARANTEEDNOTEPGNNLINKEDTOANUNDERLINEDASSETN保本型基金PRINCIPALGUARANTEEDFUNDPGFNLINKEDTOANUNDERLINEDASSETDATE75SEANTSENG臺灣期貨商同業公會N天龍八部作自營N買進CALL出股票LONGCALL,SELLSTOCKN買進PUT抱股票LONGPUT,HOLDSTOCKN賣出CALL買抱股票SHORTCALL,BUY/LONGSTOCKN賣出PUT賣空股票SHORTPUT,SELL/SHORTSTOCKN同市場套利TX,TXON不同市場套利MSCI,TXN衝擊交易IMPACTTRADEN結構新商品STRUCTURENEWPRODUCTSQFII怎麼用DATE76SEANTSENG臺灣期貨商同業公會自營怎麼作N天龍八部作自營N買進CALL出股票LONGCALL,SELLSTOCKN買進PUT抱股票LONGPUT,HOLDSTOCKN賣出CALL買抱股票SHORTCALL,BUY/LONGSTOCKN賣出PUT賣空股票SHORTPUT,SELL/SHORTSTOCKN同市場套利TX,TXON衝擊交易IMPACTTRADEN結構新商品STRUCTURENEWPRODUCTSDATE77SEANTSENG臺灣期貨商同業公會造市者怎麼作N回覆詢價,N天龍八部作自營STRATEGYBASEDN見便宜就買IMPLIEDVOLATILITYVSFORECASTVOLATILITYN見高價就賣IMPLIEDVOLATILITYVSFORECASTVOLATILITYN用期貨及股票避險DYNAMICHEDGEDELTAN監控其他部位風險GREEKSPORTFOLION以避險參數作自營GREEKSBASEDTRADINGSTRATEGIESDATE78SEANTSENG臺灣期貨商同業公會MARKETMAKERSP/LDATE79SEANTSENG臺灣期貨商同業公會MARKETMAKERSDELTAPOSITIONDATE80SEANTSENG臺灣期貨商同業公會MARKETMAKERSGAMMAPOSITIONDATE81SEANTSENG臺灣期貨商同業公會造市者怎麼用N回覆詢價,多詢無妨N詢兩次好過詢一次N長天期一定要詢N大部位可找幾家議價N由於無法放空現股,造市者N願意SHORTCALL,LONGPUT,N不願LONGCALL,SHORTPUTNCALLLOWERTHANPUTDATE82SEANTSENG臺灣期貨商同業公會投信怎麼作N自營作的也可以作,但是額度較小N以避險為目的之交易居多N結構保本及避險基金DATE83SEANTSENG臺灣期貨商同業公會大股東怎麼作N看多賣股票,買CALLHIGHERLEVERAGEN看空抱股票,買PUTOFFSETDOWNSIDERISKN看不漲賣CALLPREMIUMINCOMEN看不跌賣PUT,PRE