《期權(quán)基礎(chǔ)知識》PPT課件.ppt

期權(quán)和波動(dòng)率交易 （一）期權(quán)簡介 -謹(jǐn)獻(xiàn)給 大商所期貨學(xué)院 美國羅杰歐期貨公司 趙鵬 Phil Zhao 2012年7月28日,20042010年 匯福糧油集團(tuán) 國際貿(mào)易公司 期貨部 20102011年 路易達(dá)夫北京 油籽部 2011至今 RJO北京代表處,3,美國羅杰歐期貨公司（R. J. OBrien & Associates, LLC.，簡稱RJO）創(chuàng)建于1914年，為O”Brien 家族所有，是目前美國最大、歷史最悠久的獨(dú)立期貨經(jīng)紀(jì)機(jī)構(gòu)； 公司資本雄厚且穩(wěn)定，客戶管理資產(chǎn)過36億美元，在非金融機(jī)構(gòu)中名列前茅，與各大跨國金融機(jī)構(gòu)或商業(yè)公司沒有任何從屬關(guān)系； RJO是CME的創(chuàng)始成員之一，擁有近百年的從業(yè)經(jīng)驗(yàn)，是CME集團(tuán)、ICE、NYSE LIFFE和芝加哥氣候交易所的全面清算會員； 提供最新的下單系統(tǒng)和24小時(shí)交易，為八萬多客戶（其中不乏世界最大金融、工業(yè)和農(nóng)業(yè)機(jī)構(gòu)）進(jìn)行全球任何期貨產(chǎn)品的執(zhí)行和/或清算； 嚴(yán)格且富有經(jīng)驗(yàn)的風(fēng)控管理使公司歷經(jīng)各大金融危機(jī)后仍保持增長勢頭。公司資產(chǎn)嚴(yán)格用于保護(hù)客戶利益，不進(jìn)行任何形式的杠桿交易。利用任何客戶資產(chǎn)進(jìn)行自營業(yè)務(wù)的做法是被嚴(yán)格禁止的； 受NFA 和 CFTC 監(jiān)管，并且是期貨行業(yè)協(xié)會和資金管理協(xié)會的成員； 曼氏破產(chǎn)之后，RJO被指定為過渡賬戶的主要接收方，再度證實(shí)了公司強(qiáng)大的管理能力及在業(yè)內(nèi)的良好聲望。,美國羅杰歐期貨公司簡介,Options Classification 期權(quán)種類,American Options (American calls & puts) 美式期權(quán) (美式看漲、看跌期權(quán)) can be exercised Before options expiration date 可在期權(quán)到期前執(zhí)行 European Options (European calls & puts) 歐式期權(quán) (歐式看漲、看跌期權(quán)) can only be exercised On options expiration date 只在期權(quán)到期時(shí)執(zhí)行,Types of Options 期權(quán)種類,Call 看漲期權(quán) Buy 買入 Right to buy futures 購買期貨的權(quán)利 Sell 賣出 Obligation to sell futures 出售期貨的義務(wù),Put 看跌期權(quán) Buy買入 Right to sell futures 出售期貨的權(quán)利 Sell賣出 Obligation to buy futures購買期貨的義務(wù),Options Specification 期權(quán)規(guī)定,Expiration Dates 到期日 Strike Prices 執(zhí)行價(jià)格 Specified by Commodity Exchange由商品交易所規(guī)定 Terminology術(shù)語 in-the-money (ITM) 實(shí)值 at-the-money (ATM) 平值 out-of-the-money (OTM) 虛值,Options Premium 期權(quán)貼水,Two parts 兩部分 Intrinsic Value/Exercise Value 內(nèi)在價(jià)值/執(zhí)行價(jià)值 Time Value 時(shí)間價(jià)值,Options Premium (Total Value) = Intrinsic Value + Time Value 期權(quán)貼水 (總價(jià)值) =內(nèi)在價(jià)值 +時(shí)間價(jià)值,Intrinsic Value 內(nèi)在價(jià)值,The positive difference between the strike price and the underlying futures prices. 期貨與期權(quán)執(zhí)行價(jià)之間的價(jià)差,Equations 公式: for puts: Intrinsic Value = Put strike Futures 對看跌期權(quán)：內(nèi)在價(jià)值 =看跌執(zhí)行價(jià) 期貨價(jià) for calls: Intrinsic Value = Futures Call strike 對看漲期權(quán)：內(nèi)在價(jià)值 =期貨價(jià)看漲執(zhí)行價(jià),Call 看漲期權(quán),in-the-money (ITM) 實(shí)值 Strike Price Futures Price 執(zhí)行價(jià)格 期貨價(jià)格,Put 看跌期權(quán),in-the-money (ITM) 實(shí)值 Strike Price Futures Price 執(zhí)行價(jià)格 期貨價(jià)格 at-the-money (ATM) 平值 Strike Price = Futures Price 執(zhí)行價(jià)格 = 期貨價(jià)格 out-of-the-money (OTM)虛值 Strike Price Futures Price 執(zhí)行價(jià)格 期貨價(jià)格,Time Value 時(shí)間價(jià)值,Four factors affect Time Value 四因素影響時(shí)間價(jià)值 Volatility 波動(dòng)率 Supply & Demand 供應(yīng)及需求 Time 時(shí)間 Interest rates 利率,Options Liquidation 期權(quán)清算,Offset Expire Expire Exercise 利用場地實(shí)值期權(quán)對沖期貨頭寸,Time Decay 時(shí)間衰退,$1,$2,90 days to expire,0 days to expire,Time Value in an option,Factors affected Option prices 影響期權(quán)價(jià)格的因素,Options profit 期權(quán)的利潤,Calls 看漲期權(quán),Profit,Terminal Future price,0,Buy a Call,Sell a call,X,X+Premium,Options profit 期權(quán)的利潤,Puts 看跌期權(quán),Profit,Terminal Future price,0,Buy a put,Sell a Put,X,X - Premium,Synthetics using Put-Call Parity 利用看跌-看漲期權(quán)等式合成期貨或期權(quán) 撿錢,Long Future = Long Call + Short Put Short Future = Short Call + Long Put Long Call = Long Future + Long Put Long Put = Short Future + Long Call Short Call = Short Future + Short Put Short Put = Long Future + Short Call,Strategies involving a single option and a future 用單個(gè)期權(quán)或期貨的交易策略,Long Future, short call (payoff likes Short Put),Profit,Futures Price,X,Strategies involving a single option and a future 用單個(gè)期權(quán)或期貨的交易策略,Short Future, Long Call (Payoff likes Long Put),Strategies involving a single option and a future 用單個(gè)期權(quán)或期貨的交易策略,Long Future, Long Put (Payoff likes Long Call),Strategies involving a single option and a future 用單個(gè)期權(quán)或期貨的交易策略,Short Future, Short Put (Payoff likes Long Call),Spreads 套利,Bull spreads 看漲套利 Buy a call with x1, sell a call with same expiration day with x2, while x1 x2, used when moderately bullish and fairly certain that the market will not fall,Spreads 套利,Call spreads 看漲套利 Buy a call with x1, sell a call with same expiration day with x2, while x1 x2, used when moderately bullish and fairly certain that the market will not fall,Spreads 套利,Butterfly spreads 蝶式套利 buy a call with x1, sell 2 calls with the same expiration day with x2, and buy a call with same expiration day with x3, while x1 x3 x2, used when moderately certain that prices will not fluctuate much,Spreads 套利,Diagonal spreads 對角線套利 A near-dated call option is sold, and a longer-dated, further out-of-the-money call option is bought, used when the investor thinks that the market will be weak in the short-term, but then rally later.,Spreads 套利,Ratio Spread 比例套利 Buy some calls of strike price X1, and sell a multiple number of calls of strike X2 with the same expiration days, where X2X1 The goal being to reduce the total cost of the spread while maintaining a reasonable risk/reward profile Take advantage of high implied volatility,Combinations,Straddle Buy a call and a put with the same expiration day and strike price, used when the market will be very volatile in the short-term.,Combinations,Strangles Buy a call and a put with the same expiration day and strike price, used when the market will not be volatile within a broadish band.,x1,x2,Profit,Futures,小測驗(yàn),1，long call, short put, which is more bullish? 2, long put, short call, which is more bearish?,Options Series Two Options valuation and the Greeks 系列二: 期權(quán)定價(jià)及期權(quán)中希臘字母簡介,Options Valuation 期權(quán)價(jià)格分析,The Black-Scholes Model: c = SN(d1) Xe-rTN(d2) p = Xe-rTN(-d2) SN(-d1) Where d1 = ln(S0/X) + (r + 2/2)T *sqrt(T) d2 = d1 *sqrt(T) c: call premium 看漲期權(quán)貼水 p: put premium 看跌期權(quán)貼水 S: current futures price 現(xiàn)行期權(quán)價(jià)格 e: exponential function (2.7163) 自然指數(shù) T: time to expiration 距離到期日時(shí)間 r: continuously compounded risk free interest rate : volatility 波動(dòng)率 無風(fēng)險(xiǎn)連續(xù)復(fù)利 N: normal distribution 正態(tài)分布 ln: natural logarithm 自然對數(shù),Implied Volatilities 隱含波動(dòng)率,Implied Volatilities: volatility implied by an option price observed in the market,CURRENT IMPLIED VOLATILITY_ Daily published by RJO,Seasonality and Screw in Implied Volatility,Grains and oilseeds exhibit a high degree of seasonality in implied volatility. This typically goes hand-in-hand with the key production periods for each crop.,Make profit by utilizing Implied Volatility, Seasonality and Screw,Treat skew the same as implied volatility itself when constructing trading strategies, in that we always prefer to sell options at higher implied volatility levels and buy options at lower implied volatility levels. Example: 1，資金流入做多波動(dòng)率；資金流出做空波動(dòng)率 2，天氣市之前做多波動(dòng)率；天氣市之后做空波動(dòng)率,The Greek letters Delta 希臘字母 Delta,The measurement of movement in an options premium relative to a move in the price of the underlying futures. A calls delta is quoted as positive and a puts as negative As the underlying futures price moves, so will the delta. An “at-the-money” option will move approximately one half the value of a futures move An “deep-in-the-money” will have a delta near or equal to 1.00 (-1.00) An “out-of-the-money” will have a delta approaching zero as it continuous to move in that direction,The Greek letters Delta,Futures have a delta of 1 Long futures = Long Delta Short Futures = Short Delta,The Greek letters Delta,Call/Put delta between 0-1 Long Call = Long delta Short Call = Short delta Long Put = Short delta Short Put = Long delta,The Greek letters Delta,The Greek letters Gamma,The rate at which an options delta changes as the price of the underlying futures change Gamma is greatest when at the money and moves toward 0 as it moves further out-of-the-money For underlying assets, gamma is 0,The Greek letters Gamma,Gamma is highest on closest to expiration and closest to at the money strikes,The Greek letters Gamma,Long call = Long gamma Short call = Short gamma Long put = Long gamma Short call = Short gamma,The Greek letters Theta,The rate at which an option premium loses values as time passes, referred to as the “decay factor” Over time, an option premium loses value at an accelerated rate. The closer the option to at-the-money, the greater the theta nearing expiration,The Greek letters Theta,Long call = long theta Short call = short theta Long put = long theta Short put = Short theta,The Greek letters Vega,Vega is given in point change in theoritical value for each one percentage point change in volatility Given same type and same time, an at-the-money option always has great vega than in-the-money or out-of-the-money option. I.e, an at-the-money option is most sensitive to change in volatility,Risk Management using the Greeks Delta neutral,Delta hedging 保持風(fēng)險(xiǎn)受益的穩(wěn)定性 隨著期貨價(jià)格的變動(dòng)，通過調(diào)整投資組合的delta值來控制總體頭寸的風(fēng)險(xiǎn)/受益: Example: f0=49,own 100,000 call options,Risk Management using the Greeks Delta neutral 應(yīng)用最廣,Delta hedging: NC/NF = -1/delta The investor owns a portfolio of futures and 100,000 call options, at Week 0, futures price at 49, strike price 50, so need 52,200 futures to make the portfolio delta neutral. At week 1, the futures price changes to 48.12, and the delta changes to 0.458 The Strategy The investor now only need 0.458 x 100,000 = 45,800 futures contracts, so he immediately sells 52,200 45,800 = 6,400 futures contracts, over the next short period of time, the call price will tend to change by 45.8% of the futures price and the gain (loss) on the call will be offset by the loss (gain) on the futures. As time passes, delta will change and the position in the futures will have to be adjusted. For example, at week 2, the delta decrease further to 0.400, a further 5800 contracts need to be sold.,Risk Management using the Greeks Gamma Neutral,Making a portfolio Gamma neutral Delta 用于平衡期貨小幅波動(dòng)下的風(fēng)險(xiǎn)受益 Gamma 中性用于平衡期貨大幅波動(dòng)下投資組合的風(fēng)險(xiǎn)收益,Risk Management using the Greeks Gamma Neutral 去年首次應(yīng)用，近期應(yīng)用增多,Making a p