外汇投资课件Ch4外汇期权.ppt

1、INTERNATIONAL FINANCIAL MANAGEMENT,EUN / RESNICK,Fourth Edition,An investor at New York Stock Exchange watches as markets react to news from Euro countries,第四章 外汇期权交易,本章主要内容 了解期权的起源及发展状况 掌握外汇期权的概念和基本术语 了解外汇期权的种类 了解外汇期权市场交易的组织方式 掌握外汇期权定价的基本原理 掌握外汇期权交易策略,利率期权 现货期权 货币期权 股票指数期权 股票期权 金融期权 利率期货期权 期货期权 货币期

2、货期权 股票指数期货期权,第一节 外汇期权交易概述,一、期权的起源及发展 1.场外期权 18世纪，欧美相继出现了比较有组织的期权交易，现代期权市场发端于19世纪，在当时出现了建立在股票基础之上的看涨期权和看跌期权，但由于带有较厚的投机色彩不为大多数人所接受。20世纪初期，美国一些经纪商自发组织了“看涨和看跌期权经纪人与交易商协会”（put and call brokers and dealers association），该协会的产生促进了期权市场的孕育和发展。但由于缺乏严格的监管及交易成本的高昂，使得期权市场规模仍然很小，而且风险丛生。1934年，美国证券交易管理委员会（U.S. secur

3、ities and exchange commission）将期权交易纳入监管之中，但仍然未改变期权市场发展的颓弱局面，其中一个重要原因就是期权定价的困难。,2.场内期权 1973年，世界上第一家期权交易所芝加哥期权交易所（Chicago Board Options Exchange, CBOE）成立，并推出第一批场内股票交易期权，期权的场内标准化合约开始出现。此后不久，布莱克和斯克尔斯（Black 此外,高新科技在金融领域的广泛应用也推动了金融工程的发展,从而使得金融机构可以根据客户的不同需求设计不同的期权产品,这些期权产品就是奇异期权.奇异期权虽然出现较晚,但发展速度惊人.,五、外汇期权交

4、易的组织方式,外汇期权交易包括场内交易和场外交易，这里主要介绍场内交易的组织方式。 场内交易类似于期货交易。每一交易所都有一定数量的会员，会员在交易所中拥有席位，交易所会员有权进入场内，并与其他会员进行交易。 大多数交易所都采用做市商制度来进行交易。做市商实际上是撮合交易的中间人。当询价方向其问价时，其报出买入价和卖出价两个价格。做市商的存在能够确保买卖指令迅速执行，从而增加期权市场流动性。 当投资者确定期权交易策略后，可委托其经纪人购买或出售期权。该经纪人将买卖指令传递给本公司在期权交易所内的场内经纪人。由场内经纪人执行社会公众的交易指令。,原来购买期权的投资者也可以通过发出一个出售相同期权

5、的冲销指令（offsetting order）来结清原来的期权头寸，同样原来出售期权的投资者可通过发出一个购买相同期权的冲销指令来结清其原来的期权头寸。 投资者在购买期权时，必须支付全额期权费。不允许投资者用保证金方式购买期权。 而当投资者出售期权时，则可能需要在保证金账户保持一定数额的资金。因为在期权交易中，期权出售者只有履约的义务而无违约的权利。一旦期权购买者要求履约，期权出售者就必须无条件地履行。 在出售看涨期权时，期权出售者却未必实际拥有期权合约所规定的资产。当期权出售者在出售看涨期权时实际拥有该期权合约所规定的标的资产，并将其作为履约的保证存放于经纪人处时，称其所出售的看涨期权为有担

6、保的看涨期权（covered call ）。对于此类期权的出售者而言，其潜在的损失是有限的，这种损失只限于他购进的标的资产价格与期权合约的协定价格之间的差额。其履约是有保证的，因此此类期权的出售者不需要交纳保证金。而当期权出售者并不拥有该项期权合约所规定的标的资产，则他所出售的看涨期权被称为无担保的看涨期权（naked call）。该期权的出售者的潜在损失是无限的。当期权购买者要求执行该期权合约时，他必须以任何可能的市场价格购进标的资产，并以较低的协定价格出售给期权购买者。因此为确保此类期权的投资者不会违约，在出售无担保的看涨期权时，期权出售者必须交纳保证金。,保证金按形式一般可分为初始保证金

7、和维持保证金。投资者在最初开仓交易时必须存入的资金数量称为初始保证金（）。初始保证金由经纪人来决定。维持保证金是指在整个合约期间，销售者在期权清算公司账户上必须保留的最低金额。 外汇期权保证金的计算方法： 保证金=外汇期权价格+外汇市场价值4%-虚值金额 例：某投资者卖出一份6月份的执行价格为1671/2的英镑看涨期权，价格为2.20%.若成交时即期汇率为GBP1=USD1.65,则需交纳的保证金为: 31250 0.022+312501.65 4%-(1.675-1.65) 31250=1968.75美元 例:某投资者卖出一份6月份的执行价格为164的英镑看涨期权,价格为2.50%,若成交时

8、即期汇率为GBP1=USD1.65,则需交纳的保证金为: 31250 0.025+312501.65 4%=2483.75美元 因为此时期权是实值期权,所以不再有第三项的虚值金额.期权的保证金与期货一样,也要逐日结算. 期权市场中期权清算公司()的功能与期货市场中期货清算所的功能类似,它确保期权出售方按合约履行其义务.,第二节 外汇期权交易策略与运用范例,一、外汇期权的基本交易策略与运用范例 外汇期权的基本交易策略是指持有单一的外汇看涨期权或看跌期权。下面通过范例来分析其运用。 例1 买入看涨期权的运用范例 5月中旬，美国某进口商签订了从瑞士一家公司进口货物的协议。协议中规定美国进口商应在1个

9、月后支付62500瑞士法郎，此时即期汇率为USD1=CHF1.529.为了规避瑞士法郎升值的风险,该进口商购买一份瑞士法郎欧式看涨期权,合约情况如下: 执行价格:USD1=CHF1.538 有效期:1个月 期权价格:1USD0.0096/CHF 期权费支出:625000.0096=600美元 交易金额:40876.39美元(62500瑞士法郎) 假设1个月后出现三种情况,分别进行分析,(1)在到期日,瑞士法郎即期汇价为USD1=CHF1.65,进口商不需行使期权,因为在现汇市场购买瑞士法郎更为有利.整个交易过程的成本包括两部分: A在现汇市场上购买瑞士法郎的成本:37878.79美元(6250

10、0/1.65) B期权费支出: 600美元 总成本:37878.79+600=38478.79美元. (2)到期日,瑞士法郎汇价为USD1=CHF1.60.进口商不需行使期权,因为在现汇市场购买瑞士法郎更为有利.交易成本为: A在现汇市场上购买瑞士法郎的成本:39062.5美元(62500/1.60) B期权费支出: 600美元 总成本:39062.5+600=39662.5美元. (3)到期日,瑞士法郎汇价为USD1=CHF1.40.进口商行使期权,因为此时行使期权较在现汇市场更有利.交易成本为: A行使期权购买瑞士法郎的成本为:40637.19美元(62500/1.538) B期权费支出:

11、 600美元 总成本:40637.19+600=41237.19美元.,例2： 一美国进口商要在90天后向英国出口商支付英镑100万的货款，市场上的即期汇率GBP1=USD1.52，为避免英镑汇率上升的风险，该进口商可以利用远期或期货保值，但英镑贬值时，他却无法从中得益。不如利用期权买入英镑100万的看涨期权，既可以在英镑升值时获益，又可以在英镑贬值时起保护作用。相关交易情况如下: 期权费为0.0200USD/GBP 协定汇率GBP1=USD1.5200。 美国进口商支付2万美元购买一项权利，允许他在今后3个月内，随时以协定汇率购买100万英镑。 3个月后，市场汇率可能会出现3种情况， 英镑升

12、值，GBP1=USD1.6200； 英镑贬值，GBP1=USD1.4200； 汇率不变。,第一种情况：英镑升值。 若市场汇率大于等于1.5200，则该进口商执行期权，因为购入1英镑只需付1.52美元，该货款所支付的成本为152万美元。加上期权费总成本:154万美元.若不做期权，按市场汇率必须付162万美元。 第二种情况：英镑贬值。 若GBP1=USD1.4200，期权买方可放弃英镑买权，直接去银行以较低的市价购买英镑，只需付142万美元 ，加上期权费2万美元，总成本144万美元。 第三种情况，汇率不变。该进口商可以执行期权合约，也可以放弃，仅损失2万美元的期权费。,总结:看涨期权的买方何时应执

13、行合约而何时应放弃执行呢？归纳如下： 1现汇汇率=协定汇率 客户执行或不执行合约没有区别，都将损失期权费。 2协定汇率现汇汇率（协定汇率+期权费） 这时执行合约的获利小于期权费，损失小于期权费，而不执行合约则损失期权费，其损失大于执行合约造成的损失，因此应执行合约以减少损失。 3现汇汇率=（协定汇率+期权费） 这时执行合约将不亏不盈，换言之，执行合约所赚得的利差刚好付期权费，不执行合约则损失期权费，因此应执行合约。 4现汇汇率（协定汇率+期权费） 购买者执行合约将获利。执行合约所赚得的收益除了弥补期权费外，还有剩余。 5协定汇率现汇汇率 执行合约损失将大于期权费总额，应放弃其权利而不执行合约。

14、,举例3： 假定A为一看涨期权的买方，A以0.5850美元/瑞士法郎的成交价格和用.0050美元/瑞士法郎的期权费购入一以瑞士法郎为面值的8月看涨期权.纵轴表示的是在七个不同的瑞士法郎即期汇率下,期权买方到期时的利润或损失. 在即期汇率低于成交价格58.5美分/瑞士法郎时,A将选择放弃执行该期权。如，当即期汇率为58.0美分/瑞士法郎时,A将宁愿在外汇市场上以58.0美分/瑞士法郎的汇率购买,而不会以58.5美分/瑞士法郎的汇率执行其期权.如果当8月到期时即期汇率仍然低于58.0美分/瑞士法郎,A将会放弃执行期权,此时他的总损失将不会超过他购买期权时所支付的金额-0.0050美元/瑞士法郎.,

15、相反,当即期汇率高于58.5美分/瑞士法郎时,A将执行该期权合约,购买瑞士法郎仅需支付成交价格.如,若到期时即期汇率为59.5美分/瑞士法郎,他将执行其买入选择权,以0.5850美元/瑞士法郎的价格买入瑞士法郎,而不是以0.5950美元/瑞士法郎的价格在即期市场上去购买.若A再将这些瑞士法郎在即期市场上以0.5950美元/瑞士法郎的汇率卖出,他就能获得0.0100美元/瑞士法郎的利润.除去购买时支付的0.0050美元/瑞士法郎的成本,他可以获得0.0050美元/瑞士法郎的净利润. 计算公式如下: 利润=即期汇率-(成交价格+期权费) =0.5950-(0.5850+0.0050) =0.005

16、0美元/瑞士法郎 由此可见,看涨期权有一个很诱人的特性:有限的损失和无限的利润.,瑞士法郎看涨期权的买方利润损失图,0,-0.50,-1.00,+0.50,+1.00,57.5,58.0,58.5,59.0,59.5,60.0,利润 (美分/瑞士法郎),即期汇率 (美分/瑞士法郎),无限利润,有限损失,损失,价外期权,平价期权,价内期权,0,+0.50,+1.00,-0.50,-1.00,利润 (美分/瑞士法郎),损失,57.5,58.0,58.5,59.0,59.5,60.0,损益平衡点价格,有限利润,无限损失,瑞士法郎看涨期权的卖方利润损失图,例2 买入看跌期权策略的运用范例 某日本出口商

17、3个月后收到一笔美元货款.预期美元对日元会贬值,因此买入一项美元看跌期权,金额为1000万美元,执行价格为USD1=JPY110.00,有效期1个月,期权价格为1.7%,简单分析一下该交易: (1)关于盈亏平衡点的计算:期权费支出=USD1000万0.017=USD17万.设盈亏平衡点的汇率水平为X,则在X点执行期权所产生的收益应同期权费支出正好相抵,即 (110.00-X) 1000/X=17,则X=108.16 (2)期权最大亏损:期权费支出=17万美元 (3)期权最大收益:无限 (4)到期日盈亏分析 A美元汇率高于协定价格110.00,该出口商不会执行期权,其亏损即期权费17万美元.,B

18、美元汇率高于108.6,低于110.0,出口商将执行期权.其收入可部分弥补期权费支出.如市场汇率是USD1=JPY109.00,出口商行使期权获得收益为: 1000万 (110.00-109.0)=1000万日元 按即期汇率折美元为91743,整个交易过程亏损为: 170000-91743=78257美元. C当市场汇率低于108.16,出口商将执行期权,由于汇率水平是在盈亏平衡点以下,所以其交易收入扣除期权费支出后仍有盈余.如市场汇率为USD1=JPY107.00,出口商行使期权获得收益为 1000万 (110.00-107.0)=3000万日元 按即期汇率折美元为280374,整个交易过程

19、亏损为: 280374-170000=110374美元.,二、外汇期权的组合交易策略与运用,期权组合交易策略是指持有基于相同货币的两个或多个期权头寸。当持有的期权头寸为相同类型时（如均为看涨期权或看跌期权），称为差价期权（spreads）；当期权头寸类型不相同时，称为组合期权（combination）。下面分别介绍差价期权和组合期权的交易策略与运用范例。,(一)差价期权策略与运用,1.牛市差价期权 牛市差价期权是一种最常见的差价期权。这种期权策略可通过购买一个确定执行价格的外汇看涨期权和出售一个相同外汇的具有较高执行价格的外汇看涨期权来得到。这种策略如下图所示，两条虚线分别表示两个单个期权头寸

20、的损益状态。整个策略的损益为两条虚线表示的损益之和，在图中用实线表示。由于随着执行价格的上升，看涨期权的价格通常随之下降，售出的执行价格较高期权的价格总是小于购买执行价格较低期权的价格。所以，用看涨期权组成牛市差价期权时，购买该牛市差价期权需要初始投资。,图 利用看涨期权构造牛市差价期权,+,-,X1,X2,S（T）,盈利,假设X1购入看涨期权的执行价格，X2为出售看涨期权的执行价格（X2X1），S(T)为期权到期日外汇汇率。下表显示了在不同情况下，牛市差价期权将实现的整体盈利状态。如果外汇汇率上涨并高于较高的那个执行价格，则盈利为两个执行价格之差，即X2-X1；如果到期日汇率在两个执行价格之

21、间，盈利为S（T）-X1；如果到期日汇率低于较小的那个执行价格，则盈利为0。 表 牛市差价期权的损益,例 买入牛市差价期权策略的运用范例,某投资人预期美元相对于日元的汇率将上升，因此构造了牛市差价期权。其交易如下：买入3个月期的USD call/JPYput 期权，执行价格为USD1=JPY95，期权价格为5%；卖出3个月期USD call/JPYput 期权，执行价格为USD1=JPY105，期权价格为0.8%。其买卖总金额分别为100万美元。下面简单分析一下该牛市差价期权。 （1）以执行价格USD1=JPY95买入的期权的期权费为： 100万5%=5万美元 （2）以执行价格USD1=JPY

22、105卖出的期权的期权费为： 100万0.8%=0.8万美元 (3)交易策略最大损失:4.2万(5万美元-0.8万美元)美元,即期初净支出. (4)盈亏平衡点:98.91(=95+(5万95/100万-0.8万105/100万),即当汇率为USD1=JPY98.91时盈亏平衡。,（5）到期日盈亏分析： 在到期时，若即期汇率在95以下时，投资人不会执行执行价格为95的期权，相应的执行价格为105的期权也不会被要求执行，因此其损失为期初净支出； 若即期汇率在105以上时，投资人的两个期权均会执行，即投资人以USD1JPY105的价格卖出USD，买入JPY；并以USD1JPY95的价格买入USD，卖

23、出JPY。其盈利为95238.10美元=(105-95) 1000000/105,扣除期初净支出后,净盈利为53238.10美元.,图 利用看涨期权构造牛市差价期权,+,-,95,105,S（T）,盈利,An option is a contract giving the owner the right, but not the obligation, to buy or sell a given quantity of an asset at a specified price at some time in the future. Like a futures or forward con

24、tract, an option is a derivative, or contingent claim, security. Its value is derived from its definable relationship with the underlying assetin this chapter, foreign currency, or some claim on it.,Options Contracts: Preliminaries,An option to buy the underlying asset is a call, and an option to se

25、ll the underlying asset is a put. Buying or selling the underlying asset via the option is known as exercising the option. The stated price paid (or received) is known as the exercise or striking price. In options terminology, the buyer of an option is frequently referred to as the long and the sell

26、er of an option is referred to as the writer of the option, or the short.,Because the option owner does not have to exercise the option if it is to his disadvantage, the option has a price, or premium. There are two types of options, American and European. The names do not refer to the continents wh

27、ere they are traded, but rather to their exercise characteristics. A European option can be exercised only at the maturity or expiration date of the contract, whereas an American option can be exercised at any time during the contract. Thus, the American option allows the owner to do everything he c

28、an do with a European option, and more.,Options Contracts: Preliminaries,An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset in the future, at prices agreed upon today. Calls vs. Puts Call options gives the holder the right, but not the obligatio

29、n, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. Put options gives the holder the right, but not the obligation, to sell a given quantity of some asset at some time in the future, at prices agreed upon today.,Options Contracts: Preliminaries,European

30、vs. American options European options can only be exercised on the expiration date. American options can be exercised at any time up to and including the expiration date. Since this option to exercise early generally has value, American options are usually worth more than European options, other thi

31、ngs equal.,Options Contracts: Preliminaries,In-the-money The exercise price is less than the spot price of the underlying asset. At-the-money The exercise price is equal to the spot price of the underlying asset. Out-of-the-money The exercise price is more than the spot price of the underlying asset

32、.,Options Contracts: Preliminaries,Intrinsic Value The difference between the exercise price of the option and the spot price of the underlying asset. Speculative Value The difference between the option premium and the intrinsic value of the option.,Option Premium,=,Intrinsic Value,Speculative Value

33、,+,Currency Options Markets,PHLX HKFE 20-hour trading day. OTC volume is much bigger than exchange volume. Trading is in six major currencies against the U.S. dollar.,Prior to 1982, all option contracts were over-the-counter options written by international banks, investment banks, and brokerage hou

34、ses. Over-the-counter options are tailor-made according to the specifications of the buyer in terms of maturity length, exercise price, and the amount of the underlying currency. Generally, these contracts are written for large amounts, at least $1,000,000 of the currency serving as the underlying a

35、sset. Frequently, they are written for U.S. dollars, with the euro, British pound, Japanese yen, Canadian dollar, and Swiss franc serving as the underlying currency, though options are also available on the less actively traded currencies. Over-the-counter options are typically European style.,Curre

36、ncy Options Markets,Organized options market,Organized options markets share many features with the futures markets described in the previous chapter. First of all, contracts are standardized. On the Philadelphia Stock Exchange, for example, all currency options are American style and expire on the

37、third Wednesday of March, June, September or December. Early exercise is possible until the last Saturday of the options life. Each currency has a standard contract size (e.g. JPY 6,250,000), with strike prices conforming to prearranged formulas depending on the currency (e.g. multiples of 1 US cent

38、 for the GBP). Premiums are quoted in US cents per unit of foreign currency.,The Philadelphia Stock Exchange ,The Philadelphia Stock Exchange (PHLX) was founded in 1790 as the first organized stock exchange in the United States. As one of North Americas primary marketplaces for the trading of stocks

39、, equity options, index options and currency options, the PHLX continues to be a leader in the development and introduction of innovative new products and services. The PHLX trades more than 7,000 stocks, more than 2,600 equity options, 18 index options, and U.S. dollar-settled options on major curr

40、encies.,Organized options exchanges also utilize a clearing house that records transactions concluded by members. Each member also has an obligation to keep records of its clients accounts. Just as in the futures markets, the role of the clearing house and contract standardization facilitate trading

41、 and make the market more liquid as the exchanges continually write new options and close out ongoing positions. An investor who has written an option can close out his position by buying an equivalent option, while an investor who has bought an option can close out his position by selling an equiva

42、lent option. Because the contracts are standardized and the clearing house is the counterparty to both sides of the contract, all options in the same series are equivalent no matter who the end buyers and sellers are.,In December 1982, the Philadelphia Stock Exchange (PKLX) began trading European-an

43、d American-style options on foreign currency, trading is in six major currencies against the U.S. dollar. These options trade in a March, June, September, and December expiration cycle with original maturities of 3,6,9,and 12 months, plus two near-term months so that there are always options with on

44、e-, two-, and three-month expirations. These options mature on the Friday before the third Wednesday of the expiration month. Exhibit 5.1 shows the currencies on which options are traded at the PHLX and the amount, or size, of underlying currency per contract. Note that the size of PHLX option contr

45、acts are half the corresponding futures contract size.,EXHIBIT 5.1 Philadelphia Stock Exchange Option Contract Specifications,Source: Philadelphia Stock Exchange, Standardized Currency Options, ,Over-the-counter markets,In the over-the-counter (OTC) market, options are written by financial instituti

46、ons. This market is similar to the forward market described in Chapter4. like forward contracts, OTC options can be made to order with the expiration date, contract size and strike price determined at the buyers discretion. OTC options, however, can be more liquid than forward contracts because the

47、institutions that write these contracts often quote regular bid-ask prices and stand ready to buy them back at any time. This is he case in the foreign currency options market, for example, but the increased liquidity has a cost in that bid-ask spreads are relatively high.,The value of OTC currency

48、options trading is much larger than that of organized-exchange option trading. According to the bank for International settlements, in 2004 the OTC volume was approximately $117 billion per day. By comparison exchange-traded currency option volume was approximately $2.5 billion per day, or about 5 m

49、illion contracts per year. Nevertheless, the market for exchange-traded options is very important, even to the OTC market.,Currency Futures Option,The Chicago Mercantile Exchange trades American options on the currency futures contracts it offers. With these options, the underlying asset is a future

50、s contract on the foreign currency instead of the physical currency. Options trade on the each of the currency futures contracts offered by the CME. One futures contract underlies one options contract.,Most CME futures options trade with expirations based on the most current month of the March, June

51、, September, December expiration cycle of the underlying futures contract and two noncycle months plus four weekly expirations. For example, in January, options with expirations in January, February, and March would trade on futures with a March expiration. Monthly options expire on the second Frida

52、y prior to the third Wednesday of the options contract month. Weekly options expire on Friday. Regular trading takes place each business day from 7:20 A.M. to 2:00 P.M. Chicago time. For most contracts, extended-hour trading on the GLOBEX system begins at 2:00 P.M. and continues until 7:05 A.M. Chic

53、ago time. On Sundays, GLOBEX trading begins at 5:00 P.M.,Options on currency futures behave very similarly to options on the physical currency since the futures price converges to the spot prices as the futures contract nears maturity. Exercise of a futures option results in a long futures position

54、for the call buyer or the put writer and s short futures position for the put buyer or call writer. If the futures position is not offset prior to the futures expiration date, receipt or delivery of the underlying currency will, respectively, result or be required. In addition to the PHLX and the CM

55、E, there is some limited exchange-traded currency options trading at the BM&F Exchange in Brazil, on Euronext, and at the Tel-Aviv Stock Exchange.,Table 5 Examples of options on financial futures contracts,Financial options Exchange Size Interest rates Treasury bonds CBT USD100,000 Treasury notes CB

56、T USD100,000 Five-year Treasury notes CBT USD100,000 MUNI Bond Index CBT USD1,000 times Bond Buyer MBI Eurodollar CME USD1mn Long gilt LIFFE GBP50,000 Euribor LIFFE EUR1mn Ten-year German euro-government bond Eurex EUR100,000,Currencies Japanese Yen CME JPY 12.5mn Deutschmark CME DEM 125,000 Canadia

57、n dollar CME CAD 100,000 British pound CME GBP 62,500 Swiss franc CME CHF 125,000 Mexican peso CME MXN 500,000 Indices FT-Se 100 Index LIFFE GBP10 per index point DJ Industrial Average CBT USD 100 times index S LIFFE=London International Financial Futures Exchange. Source: Wall Street Journal Europe

58、, 6, October 2000,Basic Option-pricing Relationship at Expiration,At expiration, a European option and an American option (which has not been previously exercised), both with the same exercise price, will have the same terminal value. For call options the time T expiration value per unit of foreign currency can be stated as:,Where denotes the value of the American call at expiration, is the value of the European call at expiration, E is the exercise price per unit of foreign currency, is th