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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
2、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Options Classification 期权种类 American Options (A
3、merican 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 options expiration date 只在期权到期时执行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 t
4、o 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Op
5、tions Premium 期权贴水 Two parts 两部分 Intrinsic Value/Exercise 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
6、式:for puts: Intrinsic 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Call 看涨期权 in-the-money (ITM) 实值 Strike Price Futures Price执行价格 期货价格 Put 看跌期权 in-the-money (ITM) 实值 Strike Price Futures Price执行价格 期货价格 at-the-money (ATM) 平值 Stri
7、ke Price = Futures Price执行价格 = 期货价格 out-of-the-money (OTM)虚值 Strike Price X1 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
8、strike price, used when the market will be very volatile in the short-term. xProfitFuturesCombinations 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. x1x2ProfitFutures小测验 1，long call, short put, which is
9、 more bullish? 2, long put, short call, which is more bearish?Options Series Two Options valuation and the Greeks系列二: 期权定价及期权中希腊字母简介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
10、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: continuously 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Implied Volatilities 隐含波动率 Implied Volatilit
11、ies: volatility implied by an option price observed in the marketCURRENT IMPLIED VOLATILITY_ Daily published by RJOSeasonality 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 peri
12、ods 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
13、. 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The Greek letters Delta 希腊字母 DeltaThe 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 w
14、ill 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 directionThe Greek letters Delta Futur
15、es have a delta of 1 Long futures = Long Delta Short Futures = Short DeltaThe Greek letters Delta Call/Put delta between 0-1 Long Call = Long delta Short Call = Short delta Long Put = Short delta Short Put = Long deltaThe Greek letters DeltaThe 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
