《期权基础知识》PPT课件

期权和波动率交易（一）期权简介-谨献给大商所期货学院美国罗杰欧期货公司赵鹏PhilZhao2012年7月28日,20042010年汇福粮油集团国际贸易公司期货部20102011年路易达夫北京油籽部2011至今RJO北京代表处,3,美国罗杰欧期货公司（R.J.OBrien&Associates,LLC.，简称RJO）创建于1914年，为O”Brien家族所有，是目前美国最大、历史最悠久的独立期货经纪机构；公司资本雄厚且稳定，客户管理资产过36亿美元，在非金融机构中名列前茅，与各大跨国金融机构或商业公司没有任何从属关系；RJO是CME的创始成员之一，拥有近百年的从业经验，是CME集团、ICE、NYSELIFFE和芝加哥气候交易所的全面清算会员；提供最新的下单系统和24小时交易，为八万多客户（其中不乏世界最大金融、工业和农业机构）进行全球任何期货产品的执行和/或清算；严格且富有经验的风控管理使公司历经各大金融危机后仍保持增长势头。公司资产严格用于保护客户利益，不进行任何形式的杠杆交易。利用任何客户资产进行自营业务的做法是被严格禁止的；受NFA和CFTC监管，并且是期货行业协会和资金管理协会的成员；曼氏破产之后，RJO被指定为过渡账户的主要接收方，再度证实了公司强大的管理能力及在业内的良好声望。,美国罗杰欧期货公司简介,OptionsClassification期权种类,AmericanOptions(Americancalls&puts)美式期权(美式看涨、看跌期权)canbeexercisedBeforeoptionsexpirationdate可在期权到期前执行EuropeanOptions(Europeancalls&puts)欧式期权(欧式看涨、看跌期权)canonlybeexercisedOnoptionsexpirationdate只在期权到期时执行,TypesofOptions期权种类,Call看涨期权Buy买入Righttobuyfutures购买期货的权利Sell卖出Obligationtosellfutures出售期货的义务,Put看跌期权Buy买入Righttosellfutures出售期货的权利Sell卖出Obligationtobuyfutures购买期货的义务,OptionsSpecification期权规定,ExpirationDates到期日StrikePrices执行价格SpecifiedbyCommodityExchange由商品交易所规定Terminology术语in-the-money(ITM)实值at-the-money(ATM)平值out-of-the-money(OTM)虚值,OptionsPremium期权贴水,Twoparts两部分IntrinsicValue/ExerciseValue内在价值/执行价值TimeValue时间价值,OptionsPremium(TotalValue)=IntrinsicValue+TimeValue期权贴水(总价值)=内在价值+时间价值,IntrinsicValue内在价值,Thepositivedifferencebetweenthestrikepriceandtheunderlyingfuturesprices.期货与期权执行价之间的价差,Equations公式:forputs:IntrinsicValue=PutstrikeFutures对看跌期权：内在价值=看跌执行价期货价forcalls:IntrinsicValue=FuturesCallstrike对看涨期权：内在价值=期货价看涨执行价,Call看涨期权,in-the-money(ITM)实值StrikePriceFuturesPrice执行价格期货价格,Put看跌期权,in-the-money(ITM)实值StrikePriceFuturesPrice执行价格期货价格at-the-money(ATM)平值StrikePrice=FuturesPrice执行价格=期货价格out-of-the-money(OTM)虚值StrikePriceFuturesPrice执行价格期货价格,TimeValue时间价值,FourfactorsaffectTimeValue四因素影响时间价值Volatility波动率Supply&Demand供应及需求Time时间Interestrates利率,OptionsLiquidation期权清算,OffsetExpireExpireExercise利用场地实值期权对冲期货头寸,TimeDecay时间衰退,$1,$2,90daystoexpire,0daystoexpire,TimeValueinanoption,FactorsaffectedOptionprices影响期权价格的因素,Optionsprofit期权的利润,Calls看涨期权,Profit,TerminalFutureprice,0,BuyaCall,Sellacall,X,X+Premium,Optionsprofit期权的利润,Puts看跌期权,Profit,TerminalFutureprice,0,Buyaput,SellaPut,X,X-Premium,SyntheticsusingPut-CallParity利用看跌-看涨期权等式合成期货或期权捡钱,LongFuture=LongCall+ShortPutShortFuture=ShortCall+LongPutLongCall=LongFuture+LongPutLongPut=ShortFuture+LongCallShortCall=ShortFuture+ShortPutShortPut=LongFuture+ShortCall,Strategiesinvolvingasingleoptionandafuture用单个期权或期货的交易策略,LongFuture,shortcall(payofflikesShortPut),Profit,FuturesPrice,X,Strategiesinvolvingasingleoptionandafuture用单个期权或期货的交易策略,ShortFuture,LongCall(PayofflikesLongPut),Strategiesinvolvingasingleoptionandafuture用单个期权或期货的交易策略,LongFuture,LongPut(PayofflikesLongCall),Strategiesinvolvingasingleoptionandafuture用单个期权或期货的交易策略,ShortFuture,ShortPut(PayofflikesLongCall),Spreads套利,Bullspreads看涨套利Buyacallwithx1,sellacallwithsameexpirationdaywithx2,whilex1x2,usedwhenmoderatelybullishandfairlycertainthatthemarketwillnotfall,Spreads套利,Callspreads看涨套利Buyacallwithx1,sellacallwithsameexpirationdaywithx2,whilex1x2,usedwhenmoderatelybullishandfairlycertainthatthemarketwillnotfall,Spreads套利,Butterflyspreads蝶式套利buyacallwithx1,sell2callswiththesameexpirationdaywithx2,andbuyacallwithsameexpirationdaywithx3,whilex1x3X1Thegoalbeingtoreducethetotalcostofthespreadwhilemaintainingareasonablerisk/rewardprofileTakeadvantageofhighimpliedvolatility,Combinations,StraddleBuyacallandaputwiththesameexpirationdayandstrikeprice,usedwhenthemarketwillbeveryvolatileintheshort-term.,Combinations,StranglesBuyacallandaputwiththesameexpirationdayandstrikeprice,usedwhenthemarketwillnotbevolatilewithinabroadishband.,x1,x2,Profit,Futures,小测验,1，longcall,shortput,whichismorebullish?2,longput,shortcall,whichismorebearish?,OptionsSeriesTwoOptionsvaluationandtheGreeks系列二:期权定价及期权中希腊字母简介,OptionsValuation期权价格分析,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看涨期权贴水p:putpremium看跌期权贴水S:currentfuturesprice现行期权价格e:exponentialfunction(2.7163)自然指数T:timetoexpiration距离到期日时间r:continuouslycompoundedriskfreeinterestrate:volatility波动率无风险连续复利N:normaldistribution正态分布ln:naturallogarithm自然对数,ImpliedVolatilities隐含波动率,ImpliedVolatilities:volatilityimpliedbyanoptionpriceobservedinthemarket,CURRENTIMPLIEDVOLATILITY_DailypublishedbyRJO,SeasonalityandScrewinImpliedVolatility,Grainsandoilseedsexhibitahighdegreeofseasonalityinimpliedvolatility.Thistypicallygoeshand-in-handwiththekeyproductionperiodsforeachcrop.,MakeprofitbyutilizingImpliedVolatility,SeasonalityandScrew,Treatskewthesameasimpliedvolatilityitselfwhenconstructingtradingstrategies,inthatwealwaysprefertoselloptionsathigherimpliedvolatilitylevelsandbuyoptionsatlowerimpliedvolatilitylevels.Example:1，资金流入做多波动率；资金流出做空波动率2，天气市之前做多波动率；天气市之后做空波动率,TheGreeklettersDelta希腊字母Delta,Themeasurementofmovementinanoptionspremiumrelativetoamoveinthepriceoftheunderlyingfutures.AcallsdeltaisquotedaspositiveandaputsasnegativeAstheunderlyingfuturespricemoves,sowillthedelta.An“at-the-money”optionwillmoveapproximatelyonehalfthevalueofafuturesmoveAn“deep-in-the-money”willhaveadeltanearorequalto1.00(-1.00)An“out-of-the-money”willhaveadeltaapproachingzeroasitcontinuoustomoveinthatdirection,TheGreeklettersDelta,Futureshaveadeltaof1Longfutures=LongDeltaShortFutures=ShortDelta,TheGreeklettersDelta,Call/Putdeltabetween0-1LongCall=LongdeltaShortCall=ShortdeltaLongPut=ShortdeltaShortPut=Longdelta,TheGreeklettersDelta,TheGreeklettersGamma,TherateatwhichanoptionsdeltachangesasthepriceoftheunderlyingfutureschangeGammaisgreatestwhenatthemoneyandmovestoward0asitmovesfurtherout-of-the-moneyForunderlyingassets,gammais0,TheGreeklettersGamma,Gammaishighestonclosesttoexpirationandclosesttoatthemoneystrikes,TheGreeklettersGamma,Longcall=LonggammaShortcall=ShortgammaLongput=LonggammaShortcall=Shortgamma,TheGreeklettersTheta,Therateatwhichanoptionpremiumlosesvaluesastimepasses,referredtoasthe“decayfactor”Overtime,anoptionpremiumlosesvalueatanacceleratedrate.Theclosertheoptiontoat-the-money,thegreaterthethetanearingexpiration,TheGreeklettersTheta,Longcall=longthetaShortcall=shortthetaLongput=longthetaShortput=Shorttheta,TheGreeklettersVega,VegaisgiveninpointchangeintheoriticalvalueforeachonepercentagepointchangeinvolatilityGivensametypeandsametime,anat-the-moneyoptionalwayshasgreatvegathanin-the-moneyorout-of-the-moneyoption.I.e,anat-the-moneyoptionismostsensitivetochangeinvolatility,RiskManagementusingtheGreeksDeltaneutral,Deltahedging保持风险受益的稳定性随着期货价格的变动，通过调整投资组合的delta值来控制总体头寸的风险/受益:Example:f0=49,own100,000calloptions,RiskManagementusingtheGreeksDeltaneutral应用最广,Deltahedging:NC/NF=-1/deltaTheinvestorownsaportfoliooffuturesand100,000calloptions,atWeek0,futurespriceat49,strikeprice50,soneed52,200futurestomaketheportfoliodeltaneutral.Atweek1,thefuturespricechangesto48.12,andthedeltachangesto0.458TheStrategyTheinvestornowonlyneed0.458x100,000=45,800futurescontracts,soheimmediatelysells52,20045,800=6,400futurescontracts,overthenextshortperiodoftime,thecallpricewilltendtochangeby45.8%ofthefuturespriceandthegain(loss)onthecallwillbeoffsetbytheloss(gain)onthefutures.Astimepasses,deltawillchangeandthepositioninthefutureswillhavetobeadjusted.Forexample,atweek2,thedeltadecreasefurtherto0.400,afurther5800contractsneedtobesold.,RiskManagementusingtheGreeksGammaNeutral,MakingaportfolioGammaneutralDelta用于平衡期货小幅波动下的风险受益Gamma中性用于平衡期货大幅波动下投资组合的风险收益,RiskManagementusingtheGreeksGammaNeutral去年首次应用，近期应用增多,MakingaportfolioGammane