《期权基础知识》

期权和波动率交易（一）期权简介---谨献给大商所期货学院

精选ppt2004~2010年汇福粮油集团国际贸易公司期货部2010~2011年路易达夫北京油籽部

2011~至今RJO北京代表处精选ppt美国罗杰欧期货公司（R.J.O’Brien&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3精选pptOptionsClassification

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精选pptTypesofOptions

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购买期货的义务精选pptOptionsSpecification

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)虚值精选pptOptionsPremium

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+时间价值精选pptIntrinsicValue

内在价值Thepositivedifferencebetweenthestrikepriceandtheunderlyingfuturesprices.期货与期权执行价之间的价差Equations公式:forputs:IntrinsicValue=Putstrike–Futures对看跌期权：内在价值=看跌执行价–期货价

forcalls:IntrinsicValue=Futures–Callstrike对看涨期权：内在价值=期货价–看涨执行价精选pptCall看涨期权in-the-money(ITM)实值

StrikePrice<Futures’Price执行价格<期货价格at-the-money(ATM)平值

StrikePrice=Futures’Price执行价格=期货价格out-of-the-money(OTM)虚值

StrikePrice>Futures’Price执行价格>期货价格精选pptPut看跌期权in-the-money(ITM)实值

StrikePrice>Futures’Price执行价格>期货价格at-the-money(ATM)平值

StrikePrice=Futures’Price执行价格=期货价格out-of-the-money(OTM)虚值StrikePrice<Futures’Price执行价格<期货价格精选pptTimeValue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利率精选pptOptionsLiquidation

期权清算OffsetExpireExpireExercise利用场地实值期权对冲期货头寸精选pptTimeDecay

时间衰退$1$290daystoexpire0daystoexpireTimeValueinanoption精选pptFactorsaffectedOptionprices

影响期权价格的因素精选pptOptions’profit

期权的利润Calls看涨期权

ProfitTerminalFutureprice0BuyaCallSellacallXX+Premium精选pptOptions’profit

期权的利润Puts看跌期权

ProfitTerminalFutureprice0BuyaputSellaPutXX-Premium精选pptSyntheticsusingPut-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精选pptStrategiesinvolvingasingleoptionandafuture

用单个期权或期货的交易策略

LongFuture,shortcall(payofflikesShortPut)ProfitFuturesPriceX精选pptStrategiesinvolvingasingleoptionandafuture

用单个期权或期货的交易策略ShortFuture,LongCall(PayofflikesLongPut)ProfitFuturesX精选pptStrategiesinvolvingasingleoptionandafuture

用单个期权或期货的交易策略LongFuture,LongPut(PayofflikesLongCall)ProfitFuturesX精选pptStrategiesinvolvingasingleoptionandafuture

用单个期权或期货的交易策略ShortFuture,ShortPut(PayofflikesLongCall)XProfitFutures精选pptSpreads套利Bullspreads看涨套利

–Buyacallwithx1,sellacallwithsameexpirationdaywithx2,whilex1<x2,usedwhenmoderatelybullishandfairlycertainthatthemarketwillnotfallProfitFuturesx1x2精选pptSpreads套利Callspreads看涨套利

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

–buyacallwithx1,sell2callswiththesameexpirationdaywithx2,andbuyacallwithsameexpirationdaywithx3,whilex1<x3<x2,usedwhenmoderatelycertainthatpriceswillnotfluctuatemuchProfitfuturesx1x2x3精选pptSpreads套利Diagonalspreads对角线套利

–Anear-datedcalloptionissold,andalonger-dated,furtherout-of-the-moneycalloptionisbought,usedwhentheinvestorthinksthatthemarketwillbeweakintheshort-term,butthenrallylater.精选pptSpreads套利RatioSpread比例套利BuysomecallsofstrikepriceX1,andsellamultiplenumberofcallsofstrikeX2withthesameexpirationdays,whereX2>X1Thegoalbeingtoreducethetotalcostofthespreadwhilemaintainingareasonablerisk/rewardprofileTakeadvantageofhighimpliedvolatility精选pptCombinationsStraddle–Buyacallandaputwiththesameexpirationdayandstrikeprice,usedwhenthemarketwillbeveryvolatileintheshort-term.xProfitFutures精选pptCombinationsStrangles–Buyacallandaputwiththesameexpirationdayandstrikeprice,usedwhenthemarketwillnotbevolatilewithinabroadishband.x1x2ProfitFutures精选ppt小测验1，longcall,shortput,whichismorebullish?2,longput,shortcall,whichismorebearish?精选pptOptionsSeriesTwoOptionsvaluationandtheGreeks系列二:期权定价及期权中希腊字母简介精选pptOptionsValuation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自然对数精选pptImpliedVolatilities隐含波动率ImpliedVolatilities:

volatilityimpliedbyanoptionpriceobservedinthemarketCURRENTIMPLIEDVOLATILITY__DailypublishedbyRJO精选pptSeasonalityandScrewinImpliedVolatilityGrainsandoilseedsexhibitahighdegreeofseasonalityinimpliedvolatility.Thistypicallygoeshand-in-handwiththekeyproductionperiodsforeachcrop.精选ppt精选pptMakeprofitbyutilizingImpliedVolatility,SeasonalityandScrewTreatskewthesameasimpliedvolatilityitselfwhenconstructingtradingstrategies,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精选pptTheGreekletters–Delta

希腊字母–DeltaThemeasurementofmovementinanoptionspremiumrelativetoamoveinthepriceoftheunderlyingfutures.Acall’sdeltaisquotedaspositiveandaput’sasnegativeAstheunderlyingfuturespricemoves,sowillthedelta.An“at-the-money”optionwillmoveapproximatelyonehalfthevalueofafuturesmoveAn“deep-in-the-money”willhaveadeltanearorequalto1.00(-1.00)An“out-of-the-money”willhaveadeltaapproachingzeroasitcontinuoustomoveinthatdirection精选ppt精选pptTheGreekletters–DeltaFutureshaveadeltaof1Longfutures=LongDeltaShortFutures=ShortDelta精选pptTheGreekletters–DeltaCall/Putdeltabetween0-1LongCall=LongdeltaShortCall=ShortdeltaLongPut=ShortdeltaShortPut=Longdelta精选pptTheGreekletters–Delta精选pptTheGreekletters–GammaTherateatwhichanoption’sdeltachangesasthepriceoftheunderlyingfutureschangeGammaisgreatestwhenatthemoneyandmovestoward0asitmovesfurtherout-of-the-moneyForunderlyingassets,gammais0精选ppt精选pptTheGreekletters–GammaGammaishighestonclosesttoexpirationandclosesttoatthemoneystrikes精选pptTheGreekletters–GammaLongcall=LonggammaShortcall=ShortgammaLongput=LonggammaShortcall=Shortgamma精选ppt精选pptTheGreekletters–ThetaTherateatwhichanoptionpremiumlosesvaluesastimepasses,referredtoasthe“decayfactor”Overtime,anoptionpremiumlosesvalueatanacceleratedrate.Theclosertheoptiontoat-the-money,thegreaterthethetanearingexpiration精选ppt精选pptTheGreekletters–ThetaLongcall=longthetaShortcall=shortthetaLongput=longthetaShortput=Shorttheta精选ppt精选pptTheGreekletters–VegaVegaisgiveninpointchangeintheoriticalvalueforeachonepercentagepointchangeinvolatilityGivensametypeandsametime,anat-the-moneyoptionalwayshasgreatvegathanin-the-moneyorout-of-the-moneyoption.I.e,anat-the-moneyoptionismostsensitivetochangeinvolatility精选ppt精选pptRiskManagementusingtheGreeks–DeltaneutralDeltahedging–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,own100,000calloptionsWeekfuturesPriceDeltano.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精选pptRiskManagementusingtheGreeks–Deltaneutral

应用最广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.

精选pptRiskManagementusingtheGreeks–GammaNeutralMakingaportfolioGa