optiontrading（巴克莱银行，ppt）课件

OP105 Option Trading Strategies,Mike Pawley,Aims,By the end of this module you should : Be able to create simple trading strategies Understand the risk and return from simple trading strategies,Long Forward,Long Call A, Short Put A When to Use : Bullish on the market and uncertain about volatility. This trade is not affected by changing volatility. There is no decay to this profile.,Short Forward,Long Put A, Short Call A When to Use : Bearish on the market and uncertain about volatility. The trade is not affected by changing volatility. No decay to this profile.,Bull Spread,Long Call A, Short Call B. Long Put A, Short Put B. Long Call A, Short Put B, Short Underlying. Long Put A, Short Call B, Long Underlying. When to Use : Believe the market may rise somewhat/market more likely to rise than fall. Most popular bullish trade. Conservative trade when unsure about bullish stance.,Bear Spread,Short Call A, Long Call B. Short Put A, Long Put B. Short Call A, Long Put B, Long Underlying. Short Put A, Long Call B, Short Underlying. When to Use : Expect the market to fall somewhat/market more likely to fall than rise. Conservative trade when uncertain about bearish stance.,Spreadsheet,Now go to spreadsheet OP105 Basic Option Trades to see the previous examples,Long Straddle,When to Use : When market has been quiet (near A) and then starts to zig-zag sharply, signalling potential break-out. Expect market to move but unsure of which way. Position seldom held to expiration because of increasing decay levels with time.,Long Call A, Long Put A. Long Calls A, Short Underlying. Long Puts A, Long Instrument.,Short Straddle,When to Use : Expect market stagnation (at or near A). Reap profits as options decay (as long as market stays near A).,Short Call A, Short Put A. Short Calls A, Long Underlying. Short Puts A, Short Underlying.,Long Strangle,Long Put A, Long Call B. Long Call A, Long Put B. Long Put A, Long Put B, Long Underlying. Long Call A, Long Call B, Short Underlying.,When to Use : If market is within or near A-B range and has been stagnant. If market explodes either way you make money. If market continues to stagnate, lose less than long straddle. Decay accelerates as options approach expiration but not as rapidly as with long straddle. Position normally taken off prior to expiration.,Short Strangle,When to Use : If market is within or near A-B range and, though active, is stagnating. Less risk than with a short straddle. Time value decay works in your favour (pick up time value at an increasing rate as expiration nears).,Short Put A, Short Call B. Short Call A, Short Put B. Short Put A, Short Put B, Short Underlying. Short Call A, Short Call B, Long Underlying.,Spreadsheet,Now go to spreadsheet OP105 Volatility Trades to see the previous examples,Ratio Call Spread,Long Call A, Short Calls B. Long Put A, Short Calls B, Long Underlying. When to Use : Usually entered when market is near A and user expects a slight rise in market but sees a potential for sell-off. One of the most common spreads, seldom done more than 1:3 (two excess shorts) because of risk.,Ratio Put Spread,Long Put B, Short Puts A. Long Call B, Short Puts A, Short Underlying. When to Use : Usually entered when market is near B and you expect market to fall slightly but see a potential for a rise. One of the most common spreads.,Call Ratio Backspread,When to Use : Normally entered when market is near B and shows signs of increasing activity, with greater probability to upside (for example, if last major move was down, followed by stagnation). If market is at B, loss from decay will accelerate the most rapidly. Therefore you may want to exit early if market is near B.,Short Call A, Long Calls B. Short Put A, Long Calls B, Short Underlying.,Put Ratio Backspread,Short Put B, Long Puts A. Short Call B, Long Puts A, Long Underlying.,When to Use : Normally entered when market is near A and shows signs of increasing activity, with greater probability to downside. If market is at A, loss from decay will accelerate the most rapidly. Therefore you may want to exit early if market is A as you approach expiry.,Spreadsheet,Now go to spreadsheet OP105 Option Spread Tr