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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2004~2010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3•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=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Call看涨期权•in-the-money(ITM)实值•StrikePriceFutures’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•StrikePriceFutures’Price执行价格期货价格Put看跌期权•in-the-money(ITM)实值•StrikePriceFutures’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•StrikePriceFutures’Price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•OffsetExpire•Expire•Exercise•利用场地实值期权对冲期货头寸TimeDecay时间衰退$1$290daystoexpire0daystoexpireTimeValueinanoptionFactorsaffectedOptionprices影响期权价格的因素Variable变量Call看涨期权Put看跌期权Currentfuturespriceincrease现行期货价格增加+-Strikepriceincrease执行价格增加-+Timetoexpirationincrease距离到期时间增加++Volatilityincrease波动率增加++Risk-freerate增加无风险利率增加+-Options’profit期权的利润•Calls看涨期权ProfitTerminalFutureprice0BuyaCallSellacallXX+PremiumOptions’profit期权的利润•Puts看跌期权ProfitTerminalFutureprice0BuyaputSellaPutXX-PremiumSyntheticsusingPut-CallParity利用看跌-看涨期权等式合成期货或期权捡钱•LongFuture=LongCall+ShortPut•ShortFuture=ShortCall+LongPut•LongCall=LongFuture+LongPut•LongPut=ShortFuture+LongCall•ShortCall=ShortFuture+ShortPut•ShortPut=LongFuture+ShortCallStrategiesinvolvingasingleoptionandafuture用单个期权或期货的交易策略•LongFuture,shortcall(payofflikesShortPut)ProfitFuturesPriceXStrategiesinvolvingasingleoptionandafuture用单个期权或期货的交易策略•ShortFuture,LongCall(PayofflikesLongPut)ProfitFuturesXStrategiesinvolvingasingleoptionandafuture用单个期权或期货的交易策略•LongFuture,LongPut(PayofflikesLongCall)ProfitFuturesXStrategiesinvolvingasingleoptionandafuture用单个期权或期货的交易策略•ShortFuture,ShortPut(PayofflikesLongCall)XProfitFuturesSpreads套利•Bullspreads看涨套利–Buyacallwithx1,sellacallwithsameexpirationdaywithx2,whilex1x2,usedwhenmoderatelybullishandfairlycertainthatthemarketwillnotfallProfitFuturesx1x2PayofffromabullspreadFuturespricerangePayofffromlongcalloptionPayofffromshortcalloptionTotalpayoffFT=x2FT-x1x2-FTx2-x1x1FTx2FT-x10FT-x1FT=x1000Spreads套利•Callspreads看涨套利–Buyacallwithx1,sellacallwithsameexpirationdaywithx2,whilex1x2,usedwhenmoderatelybullishandfairlycertainthatthemarketwillnotfallProfitFuturesx1x2PayofffromabullspreadFuturespricerangePayofffromlongcalloptionPayofffromshortcalloptionTotalpayoffFT=x2FT-x1x2-FTx2-x1x1FTx2FT-x10FT-x1FT=x1000Spreads套利•Butterflyspreads蝶式套利–buyacallwithx1,sell2callswiththesameexpirationdaywithx2,andbuyacallwithsameexpirationdaywithx3,whilex1x3x2,usedwhenmoderatelycertainthatpriceswillnotfluctuatemuchProfitfuturesx1x2x3PayofffromabutterflyspreadFuturespricerangePayofffromfirstlongcalloptionPayofffromsecondlongshortcalloptionPayofffrom2shortcalloptionsTotalpayoffFT=x20000x1FTx2FT-x100FT-x1x2FTx3FT-x10-2(FT-X2)x3-FTFT=x3FT-x1FT-x3-2(FT-X2)0*Thesepayoffsarecalculatedusingtherelationshipx2=0.5(x1+x2)Spreads套利•Diagonalspreads对角线套利–Anear-datedcalloptionissold,andalonger-dated,furtherout-of-the-moneycalloptionisbought,usedwhentheinvestorthinksthatthemarketwillbeweakintheshort-term,butthenrallylater.Spreads套利•RatioSpread比例套利–BuysomecallsofstrikepriceX1,andsellamultiplenumberofcallsofstrikeX2withthesameexpirationdays,whereX2X1–Thegoalbeingtoreducethetotalcostofthespreadwhilemaintainingareasonablerisk/rewardprofile–TakeadvantageofhighimpliedvolatilityCombinations•Straddle–Buyacallandaputwiththesameexpirationdayandstrikeprice,usedwhenthemarketwillbeveryvolatileintheshort-term.xProfitFuturesPayofffromastraddleFuturespricerangePayofffromcallPayofffromputoptionsTotalpayoffFT=x0x-FTx-FTFT