期權價差交易與套利交易

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1、期權價差交易期權套利策略張嘉成1講題總攬:?期權價差交易?期權價差交易策略拓展?期權套利策略?波動率策略2預測價格的到期落點是期權復式策略的交易主軸3虛擬白糖期權報價:201309合約波動率25%2013/6/6白糖13095118利率:3%距離到期天數(shù):55買權=Call=看漲期權賣權=Put=看跌期權VegaThetaGammaδ值時間價值內涵價值理論價履約價理論價內涵價值時間價值δ值GammaThetaVega5.6545-1.25850.00060.790759.15368.0427.1492475060.46550.0060.47-0.20600.0006-1.28175.65956

2、.1405-1.37150.00060.758671.90318.0389.8995480073.0510.0073.05-0.23810.0006-1.39166.14366.5860-1.47530.00070.724286.42268.0354.4232485087.40320.0087.40-0.27230.0007-1.49236.58786.9796-1.56730.00070.6881102.81218.0320.80814900103.61160.00103.61-0.30840.0007-1.58116.98057.3115-1.64510.00070.6503121.121

3、68.0289.12434950121.74720.00121.75-0.34600.0007-1.65587.31197.5735-1.70690.00080.6115141.42118.0259.42215000141.86150.00141.86-0.38490.0008-1.71447.57367.7598-1.75120.00080.5718163.7368.0231.73095050163.98480.00163.98-0.42450.0008-1.75567.75987.8671-1.77740.00080.5318188.118206.05935100188.12660.001

4、88.127-0.46440.0008-1.77867.86717.8946-1.78510.00080.4919182.390.0182.39495150214.275332.00182.28-0.50440.0008-1.78317.89467.8436-1.77480.00080.4524160.710.0160.70535200242.399382.00160.40-0.54390.0008-1.76967.84357.7179-1.74720.00080.4137140.940.0140.94025250272.4491132.00140.45-0.58260.0008-1.7388

5、7.71777.5232-1.70370.00080.3762123.030.0123.03255300304.3582182.00122.36-0.62010.0008-1.69227.52287.2668-1.64600.00070.3402106.900.0106.90115350338.0465232.00106.05-0.65620.0007-1.63137.26586.9572-1.57600.00070.305992.450.092.45345400373.422282.0091.42-0.69060.0007-1.55816.95536.6036-1.49580.00070.2

6、73579.5880.079.58775450410.3839332.0078.38-0.72310.0007-1.47486.60054虛擬白糖期權報價:201301合約5看漲期權多頭價差:基本解說?適用時機:研判區(qū)間盤漲,或上檔壓力明顯操作潛能開發(fā)中心不易越過,同時波動率偏低?策略特性:到期日之前,風險有限,但獲利也有限程序策略開發(fā)中心6看漲期權多頭價差:預期盤漲支出296點買進5400看漲期權545400價格水平5500-46收入250點賣出損益5500看漲期權7看漲期權多頭價差:到期損益狀況?1.價格<5400:最大虧損操作潛能開發(fā)中心?2.損益平衡點=5446?3.價格>損益平衡點:

7、獲利?4.指數(shù)>5500:最大獲利?5.程序策略開發(fā)中心最大獲利/最大虧損=54/468看漲期權多頭價差到期損益圖*max.profit:K2-K1-(C1-C2)LongaCallatK1+ShortaCallatK2,K1