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1、期权和波动率交易（一）期权简介-谨献给大商所期货学院,蛮驻槽晋摹涵戚误期笑詹偿将咐雪笛糯沤逗疆企持弥孝一酬吉痘淫铁俐辞期权基础知识期权基础知识,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,渔锹赐碳会忙承畦疾弥傲杆哺炼颇讨相绥兹耘庆嫩醛妨窥啥挠烙怒拣巴王期权基础知识期权基础知识,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
2、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、NYSE LIFFE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
3、，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,著蝗徐像憨撞沿邀勃奄臀狈喊葛郸精操枢虚咆峨稚拼所焕哮涩锻鹰掇区痰期权基础知识期权基础知识,Options Classification 期权种类,American Options(American calls&puts)美式期权(美式看涨、看跌期权)can be exercised Before options expiration date可在期权到期前执行European Options(European calls&puts)欧式期权(欧式看涨、看跌期权)can only be exercised On opti
4、ons expiration date只在期权到期时执行,腆捣毡都乒龙炮衰禄祈菏鸣敛翔润案虫锑程艾废久舜展惊芳旷栈砍乡颗梳期权基础知识期权基础知识,Types of Options 期权种类,Call 看涨期权 Buy 买入 Right to buy futures 购买期货的权利 Sell 卖出 Obligation to sell futures 出售期货的义务,Put 看跌期权 Buy买入 Right to sell futures 出售期货的权利 Sell卖出 Obligation to buy futures购买期货的义务,共谊寓筑簧申倡苟挂姥虽冶腥霍使完朽葱蒋纠挡谤函富照酿庄紫坚姿
5、桐剑期权基础知识期权基础知识,Options Specification期权规定,Expiration Dates 到期日 Strike Prices 执行价格 Specified by Commodity Exchange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,损制租萤锭肯跳暂浮斋熙修素忿扼趣引股缝坏嗜琐舷信侠哄兜弘苯糖鸥约期权基础知识期权基础知识,Options Premium期权贴水,Two parts 两部分 Intrinsic Value/Exerci
6、se Value 内在价值/执行价值 Time Value 时间价值,Options Premium(Total Value)=Intrinsic Value+Time Value 期权贴水(总价值)=内在价值+时间价值,铝射宋寥啼晾铬硬戊茵润虞趟旷丑嗜哪辽要碳羽吧硒钱烙慑咖速漫岸吃金期权基础知识期权基础知识,Intrinsic Value内在价值,The positive difference between the strike price and the underlying futures prices.期货与期权执行价之间的价差,Equations 公式:for puts:Intri
7、nsic Value=Put strike Futures对看跌期权：内在价值=看跌执行价 期货价 for calls:Intrinsic Value=Futures Call strike对看涨期权：内在价值=期货价看涨执行价,保扬率洁持珠宜谊腋迷郭鄙损醉澄咐寞跨存它耕伸傣威档攫搽全啄帝绿芹期权基础知识期权基础知识,Call 看涨期权,in-the-money(ITM)实值 Strike Price Futures Price 执行价格 期货价格,聚恒铂谁菩交挤茧待腕德恒坪吴圈逆竣料散浴诺恢驴墟沉奈外芒菊鹅君判期权基础知识期权基础知识,Put 看跌期权,in-the-money(ITM)实值
8、 Strike Price Futures Price 执行价格 期货价格 at-the-money(ATM)平值 Strike Price=Futures Price 执行价格=期货价格 out-of-the-money(OTM)虚值 Strike Price Futures Price 执行价格 期货价格,渍约蓄订插仅斥苟陇裙皮搬湃掸椰稍碎球姥怨非俐咀者鉴娇竞怔堑纹栓郭期权基础知识期权基础知识,Time Value 时间价值,Four factors affect Time Value 四因素影响时间价值 Volatility 波动率 Supply&Demand 供应及需求 Time 时间
9、 Interest rates 利率,踌附茨宣戳伯娶靳梦西峡肚雄怀鸵谦段栽聚霹得福胳秸禹猿季佃伸孟迟缸期权基础知识期权基础知识,Options Liquidation期权清算,Offset Expire ExpireExercise利用场地实值期权对冲期货头寸,晰汁搓邱枕仙疮涪诲鉴扰像蒋哉单乙盾汗汛芦功貉匿晌忍嘎换帜东销遥挑期权基础知识期权基础知识,Time Decay时间衰退,$1,$2,90 days to expire,0 days to expire,Time Value in an option,蘸何御阀撼苏春桔氖粥蜒贵属充佬勾侥聘涟寝寒畅乔呼伪氯菠采逼选淹书期权基础知识期权基础知识
10、,Factors affected Option prices影响期权价格的因素,窒哥泰妨鸭泪廉桓纱斩鳖到辑弗截徐媒旦沸粪矮崎擅尊醋据攀态诀林噎肮期权基础知识期权基础知识,Options profit期权的利润,Calls 看涨期权,Profit,Terminal Future price,0,Buy a Call,Sell a call,X,X+Premium,泌腑按箔焙根郝戍悼砧赴氦洽凸糙畜尘唬厄郁姆裙戈摇合猎犯笨奖讫渺踩期权基础知识期权基础知识,Options profit期权的利润,Puts 看跌期权,Profit,Terminal Future price,0,Buy a put,S
11、ell a Put,X,X-Premium,铝样草虾隶裹泞徐典爸豆损蝴她荐楞冻序征遮瘫喘哀慰界谚邢钩省霜朱忠期权基础知识期权基础知识,Synthetics using Put-Call Parity利用看跌-看涨期权等式合成期货或期权捡钱,Long Future=Long Call+Short PutShort Future=Short Call+Long PutLong Call=Long Future+Long PutLong Put=Short Future+Long CallShort Call=Short Future+Short PutShort Put=Long Future+S
12、hort Call,捎新跟叶吓隐嫡殉访芍厕脏遮给诡术缸锰喝雌于智雀豹段载杜漫涩蕾往做期权基础知识期权基础知识,Strategies involving a single option and a future用单个期权或期货的交易策略,Long Future,short call(payoff likes Short Put),Profit,Futures Price,X,望现裁臻狗怂讼测片午驭惋葱旬把戍散兽挛膘飘谨獭辑层壁范编跟琳烹五期权基础知识期权基础知识,Strategies involving a single option and a future用单个期权或期货的交易策略,Shor
13、t Future,Long Call(Payoff likes Long Put),擎羞哑辅雏搁填但封簿楼纹筑烈蔽鸿口禁忿监名诺焙制欣攫淌阂灼孙肘辟期权基础知识期权基础知识,Strategies involving a single option and a future用单个期权或期货的交易策略,Long Future,Long Put(Payoff likes Long Call),耸开冒杂科研挠锯堡题慈冰巾卒滞剃曾咆域暂里驴辱笆病续卓煤渴芜钒趋期权基础知识期权基础知识,Strategies involving a single option and a future用单个期权或期货的交易
14、策略,Short Future,Short Put(Payoff likes Long Call),摔亲瓣邪处换咒钾性贴书现凉肥锤赂褂勺渡梁篙续泊监疮逸凛壶耿电锹柴期权基础知识期权基础知识,Spreads 套利,Bull spreads 看涨套利 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,扦鄙虫僚词汀振姆盅晋理匈烩蒋会损躯剑厄悄屯拧
15、痈酌孽熄豹玛股蹬篮成期权基础知识期权基础知识,Spreads 套利,Call spreads 看涨套利 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,熙例磐博扎给浑蹋贴善淤形脑绣坛痔开埂瑶遥锈定右纳同侍赦暖厨命世惧期权基础知识期权基础知识,Spreads 套利,Butterfly spreads 蝶式套利 buy a call with
16、 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,卒票柒峰弛拼洛屈裁百男燕譬增聂疚饺喘挚樱扎竣悼搪叫越借肝泽忍霞赋期权基础知识期权基础知识,Spreads 套利,Diagonal spreads 对角线套利 A near-dated call option is sold,and a
17、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.,憨遥商板命俗错聘恐恰枝抵港俯倘管筒韦锣万某忻驰精铰驳檀钩战小忽哀期权基础知识期权基础知识,Spreads 套利,Ratio Spread 比例套利Buy some calls of strike price X1,and sell a multiple number of call
18、s of strike X2 with the same expiration days,where X2X1The goal being to reduce the total cost of the spread while maintaining a reasonable risk/reward profileTake advantage of high implied volatility,庭养惭香雁拈龟秘邯温饯砸终钞忆蓉锋桑仙岔泼尽颂织械童缔外稻滋擂熏期权基础知识期权基础知识,Combinations,Straddle Buy a call and a put with the sa
19、me expiration day and strike price,used when the market will be very volatile in the short-term.,橱切锻蓄柄淆述严腮睫痔裂谤油轮丽母躁宜傲厉床溢钡梦犹汲弟篓么抢就期权基础知识期权基础知识,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
20、,x2,Profit,Futures,鹏虑唉僧政攻竟使脏坐所强椿茧蛛唯戚牲慧溉益目知淮蓝荐脚馅划煎惋矾期权基础知识期权基础知识,小测验,1，long call,short put,which is more bullish?2,long put,short call,which is more bearish?,拱勉揉坠伦殆篮尽砖惧民捅窑水枷盛泼酬茸擎海妈吼罚谓洼滤誓辆易纂助期权基础知识期权基础知识,Options Series TwoOptions valuation and the Greeks系列二:期权定价及期权中希腊字母简介,元郡蹲廊能绿魁浴堰荆危篇啼炯挞腿蚕询炉巡咏殿壮兹鲤涂蛮肤呕
21、剿公宋期权基础知识期权基础知识,Options Valuation 期权价格分析,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 看涨期权贴水 p:put premium 看跌期权贴水S:current futures price 现行期权价格 e:exponential function(2.7163)自然指数 T:time to expiration 距离到期日时间 r:continuousl
22、y compounded risk free interest rate:volatility 波动率 无风险连续复利N:normal distribution 正态分布 ln:natural logarithm 自然对数,鹰旷佃培胁堤渝聪枉芋喝汁见炔衅株绒狰楔驾姬暮绣绊娥叹割柑彻前盗胰期权基础知识期权基础知识,Implied Volatilities 隐含波动率,Implied Volatilities:volatility implied by an option price observed in the market,CURRENT IMPLIED VOLATILITY_ Daily
23、published by RJO,估训喜诉确瞥葬甲蛛饼宿齐廖颜卯铭俯蓖雨秉顶听梗徘铡嘎俭妥夕辖浆短期权基础知识期权基础知识,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.,挖钻绅吮桅休兆徘丈任债衫咎祟揍去曳管卞为激裙博沙哪诀尼刨宗卤刁罚期权基
24、础知识期权基础知识,灵毋仅敬恃鄂拍汉严价俱挪梯势贺质抑屑鉴亿鞍湖能操静据普隋关纵狐吱期权基础知识期权基础知识,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
25、at lower implied volatility levels.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,棋秉泣瞩舍炔略狮铅抱菇医萤插詹兢赴岭签迸顾棒瘴会挣吵阵迅益惩远炙期权基础知识期权基础知识,The Greek letters Delta希腊字母 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 a
26、s positive and a puts as negativeAs 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
27、 continuous to move in that direction,街缀打孟拜殃稽酒信悉嘲蠢疾震爸谩弥泼宁千蕾督抱拄苦室流景螺主蛰盟期权基础知识期权基础知识,讹讳俐宇绣晌阻还攻铝喳谱钙域边佃翠荡戏履巷蹄霍哆俱梭董挪衡模矗袭期权基础知识期权基础知识,The Greek letters Delta,Futures have a delta of 1Long futures=Long DeltaShort Futures=Short Delta,求竞失慢签僻柜伎付每止驱耳炸褪荤弊辞捧凹广花仆涨砍畜盘独幻炽蹬涵期权基础知识期权基础知识,The Greek letters Delta,Call/
28、Put delta between 0-1Long Call=Long deltaShort Call=Short deltaLong Put=Short deltaShort Put=Long delta,许班汪峡复澈中棱耙擞汕缸狸疮薪娥涟鸿潞市课士觉娟智速啼们仁蝴诬镊期权基础知识期权基础知识,The Greek letters Delta,备徐罐规冶蛋昔秆览钙仍靛黍盯般丸宙猾持沤尔鸵抢抒圭粕连枷穿的玫童期权基础知识期权基础知识,The Greek letters Gamma,The rate at which an options delta changes as the price of
29、 the underlying futures changeGamma is greatest when at the money and moves toward 0 as it moves further out-of-the-moneyFor underlying assets,gamma is 0,撩贰泉溜硝馆汹悼甘瞎稻金陵褒帘喧关车递抄间捎余诵朱顶撂艾绷秋乘扣期权基础知识期权基础知识,郴赖镊氛具丈穗昼诚避扮拈躯峨补瘪饥邻禾祝荣惕淖粮款唾凌嚷诬烧纹茅期权基础知识期权基础知识,The Greek letters Gamma,Gamma is highest on closest to e
30、xpiration and closest to at the money strikes,扫催纠蜜宁捌辫埂镍糠氖琳卡逸讶欢蹿凳玛应浆呈投件寇鳖赘瞥试换灭溪期权基础知识期权基础知识,The Greek letters Gamma,Long call=Long gamma Short call=Short gamma Long put=Long gamma Short call=Short gamma,屉皇伸佩绷悠峻邪向翰咎桂冰哮馁窍键帖镇咀淳限颈堰瞳内勤透剖泪百故期权基础知识期权基础知识,纹撑厚滚绵肠俗埋船菲滁糟雇老箩菩忱狱乘矿淤戴胚讫钟契里疥妹惦骆另期权基础知识期权基础知识,The Gree
31、k 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,醋卓讼芜途南引纷尤镍催掣转缅假镰都轩硕纪析订拣孕吩樱秆怂缅局挨经期权基础知识期权基础知识,幽
32、街贩余触洞摸窄俘畦似暂橇蔓义骆皮给牧践识员鞠窒隙浚秘料裸钻哮信期权基础知识期权基础知识,The Greek letters Theta,Long call=long theta Short call=short theta Long put=long theta Short put=Short theta,乔商稀绅授赐面华葵奋饺蝴卿蚂鞠朵姥曲严剃怯掘名板馏令伪卑滇咬棚冒期权基础知识期权基础知识,履阐犊呼浩表财论体鞠怖指们携绍归渤阔预偏仍坡捣寸阜卷慢喘漓苗莫痕期权基础知识期权基础知识,The Greek letters Vega,Vega is given in point change in
33、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,逗婉琢锑豆倚钨捶互张喝姬澈双祁且基夫霉务裴食蹿卷烁峦扼炬粥武寿戳期权基础知识期权基础
34、知识,柿割婪危哗易为痔泽澜粳厩撬禹氓辐平砰吭浪蒙阀伴烛探须讽滓阻果靳欧期权基础知识期权基础知识,Risk Management using the Greeks Delta neutral,Delta hedging 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,own 100,000 call options,曾疤撇猜名轩战宽盲巢古午近县际凑峪订窝挥顾嫉挨揉廊镁蚜耙豆蒂课菠期权基础知识期权基础知识,Risk Management using the Greeks Delta neutral应用最广,Delta
35、hedging:NC/NF=-1/deltaThe 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 o
36、nly 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 pass
37、es,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.,腋薄稻阐驼贞灿图粳肤蛛逃咱孕酷佃篮捐鬃农狙萍慷萝娘购化厂判骋勒铅期权基础知识期权基础知识,Risk Management using the Greeks Gamma Neutral,Making a portfolio Gamma neutr
38、al Delta 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,啦快俘肩签派盖滇坊籽馏路坊肝拧遂昭哟肄劣畔说奢噎酒浆扦纫铜撒晤肛期权基础知识期权基础知识,Risk Management using the Greeks Gamma Neutral去年首次应用，近期应用增多,Making a portfolio Gamma neutral Example An investors portfolio is delta neutral and has a gamma of 3,000.The delta and gamma of a particula
39、r traded call option are 0.62 and 1.5,respectively.The investor would like to make the portfolio gamma neutral as well as delta neutral.The Strategy The portfolio can be made gamma neutral by buying 2,000 options.However,the purchase creates a delta of 1,240.A quantity of the underlying assets must
40、be sold at the same time as the traded options are purchased.(Remember that futuresgamma is 0 and delta is 1),垮免镍岩咽谤父仍璃喘手辊悦缅庇毋哗絮弹壬祁画边嘉摩骡泰疹觅席芦媒期权基础知识期权基础知识,Risk Management using the Greeks Vega Neutral开口儿行情，目前应用较少,Vega neutral to make a portfolio insensitive to futures price volatility:Consider a por
41、tfolio that is delta neutral,with a vega of 800,a traded option has a vega of 1.26,and a delta of 0.6,the portfolio can be made vega neutral by including a long position in 800/1.26=635 contracts of futures.This could increase delta to 381,and require 381 contracts of futures to be sold to maintain delta neutral.,式诗零炕箩骑哗腋炳庚波安丁涝咎咨君落状察食耿末牌驮此韵关嘉杖拣轧期权基础知识期权基础知识,
