期权市场机制

作者: pdnbplus | 发布时间: 2024/06/17 | 阅读量: 139

期权市场机制--潘登同学的期权、期货及其他衍生品学习笔记

  • 期权
  • 股息和股票分股 Dividends and stock splits

    • 期权

    • 期权 Option
      • 给持有者某种权利执行，但期权持有者不一定必须行使权利 Gives the holder a certain right to exercise, but the option holder does not necessarily have to exercise the right
      • 交易者需要支付费用 Traders need to pay fees
    • 远期和期货合约 Forward & Futures Contracts
      • 双方均有义务执行条约 Both parties are obliged to enforce the treaty
      • 持有者不需要付费 Holders do not need to pay

    期权类型 Types of Options

    • 看涨期权 Call Option
      • 赋予持有者未来以一定价格购买某种资产的权利 Gives the holder the right to purchase a certain asset at a certain price in the future
    • 看跌期权 Put Option
      • 赋予持有者未来以一定价格卖出某种资产的权利 Gives the holder the right to sell a certain asset at a certain price in the future
    • 欧式期权 European Option
      • 只能在到期日行使 Can only be exercised on the maturity date
      • 应用少，相对易分析 Few applications, relatively easy to analyze
    • 美式期权 American Option
      • 可在到期日之前任何时刻行使 Can be exercised at any time before the maturity date
      • 应用多，相对复杂，很多性质由欧式期权推衍 Many applications, relatively complex, many properties derived from European options

    看涨期权多头 Long Position in Call Option

    买入一份欧式看涨期权 Buying an European call option

    • 期权价格： \$5 Option Price: \$5
    • 执行价格： \$100 Strike Price: \$100
    • 期权到期日： 4个月 Expiry date: 4 months

    看涨期权空头 Short Position in Call Option

    卖出一份欧式看涨期权 Selling an European call option

    • 期权价格： \$5 Option Price: \$5
    • 执行价格： \$100 Strike Price: \$100
    • 期权到期日：4个月 Expiry date: 4 months

    看跌期权多头 Long Position in Put Option

    买入一份欧式看跌期权 Buying an European put option

    • 期权价格： \$7 Option Price: \$7
    • 执行价格： \$70 Strike Price: \$70
    • 期权到期日： 2个月 Expiry date: 2 months

    看跌期权空头 Short Position in Put Option

    卖出一份欧式看跌期权 Selling an European put option

    • 期权价格： \$7 Option Price: \$7
    • 执行价格： \$70 Strike Price: \$70
    • 期权到期日： 2个月 Expiry date: 2 months

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    标的资产 Underlying Assets

    • 股票/Stock Options
    • 货币/Foreign Currency Options
    • 股票指数/Index Options
    • 期货/Future Options
    • ETP (Exchange-Traded Products)
      • ETF (Exchange-Traded Funds)
      • 其他 ETP

    期权到期日与执行价格

    到期日 Expiry date

    • 1月循环期: 1, 4, 7, 10月; 2月循环期: 2, 5, 8, 11月; 3月循环期: 3, 6, 9, 12月 January cycle: January, April, July, October; February cycle: February, May, August, November; March cycle: March, June, September, December
    • 可交易期权/Tradable options
    • 到期日未到/Before the due date：t, t+1, (T+3 and T+6)
    • 到期日已过/Expiry date passed：t+1, t+2, (T+3 and T+6)

    Apple的股票期权在2月循环期，在2月初和2月末的可交易期权到期日是什么？ Apple's stock options are in the February cycle, what are the tradable option expiration dates at the beginning of February and the end of February?

    • 2月初 2月循环期未到，可交易期权到期日为2月、3月、5月、8月
    • 2月末 2月循环期已过，可交易期权到期日为3月、4月、5月、8月

    执行价格 Strike price

    • 股票价格位于\$5 ~ \$25,行权价间隔\$2.5;
    • 股票价格位于\$25 ~ \$200,行权价间隔\$5;
    • 股票价格大于\$200,行权价间隔\$10;

    实值期权与虚值期权

    实值期权 In-The-Money Option (立即执行能获利)

    • 对于看涨期权， 当$S>K$时为实值期权;
    • 对于看跌期权， 当$S

    平值期权 At-The-Money Option

    • 对于看涨期权， 当$S=K$时为平值期权;
    • 对于看跌期权， 当$S=K$时为平值期权;

    虚值期权 Out-Of-The-Money Option

    • 对于看涨期权， 当$S
    • 对于看跌期权， 当$S>K$时为虚值期权;

    内在价值/Intrinsic Value： 如果期权立即执行所具有的价值 The value an option would have if it were exercised immediately

    • 看涨期权 $max(S-K,0)$
    • 看跌期权 $max(K-S,0)$

    期权的整体价值等于内含价值（Intrinsic Value）与时间价值（Time Value）之和

    其他非标准产品 Other Non-standard Products

    • 灵活期权 FLEX Option
      • 具备一些非标准条款 with some non-standard clauses
    • 其他非标准产品 Other non-standard products
      • 单周期权 Weeklys
        • 每周四发行，下周五到期 Published every Thursday, due next Friday
      • 两值期权 Binary Option
        • 当达到执行价格时，回报为固定数额 When the strike price is reached, the return is a fixed amount
      • 信用事件两值期权 Credit Event Binary Option (CEBO)
        • 出现信用事件时，支付收益 (CDS) Payment proceeds (CDS) in the event of a credit event
      • 末日期权 DOOM Option
        • 深度虚值看跌期权 deep-out-of-the-money put option
        • 行使价格很低，价格非常便宜 (崩盘) The exercise price is very low, the price is very cheap (crash)

    交易 Trading

    • 芝加哥期权交易所：95%由电子系统完成， 其余为数量巨大或结构复杂的机构间交易，由交易员完成 Chicago Board Options Exchange: 95% of the orders are handled electronically, and the remainder are mostly large or complex institutional orders completed by traders
    • 做市商 Market Maker
      • 同时报出买入价和卖出价（做市商买入和卖出的价格） Simultaneously quote bid and ask prices (prices at which market makers buy and sell)
      • 保证了交易可以在某一价格上立即执行，从而增加市场流动性 Guarantees that transactions can be executed immediately at a certain price, thereby increases market liquidity
    • 冲销指令 Offsetting order
      • 购买期权的投资者通过发出出售相同期权的冲销指令结清头寸 An investor who buys an option closes out the position by issuing an offsetting order to sell the same option
      • 承接期权的投资者通过发出购买相同期权的冲销指令结清头寸 The investor who took the option closes out the position by issuing an offsetting order to purchase the same option

    佣金 Commissions

    • 折扣经纪人 Discount Broker
      • 固定费用 + 交易额的百分比
    • 全面服务经纪人 Full Service Broker

    • 当冲销头寸时，须支付佣金 When offsetting a position, a commission is payable
    • 当期权行权时，须支付佣金 When an option is exercised, a commission is payable
    • 投资者同时还需要承担买卖价差造成的成本 Investors also need to bear the cost caused by the bid-ask spread
    • 投资者买卖股票仍需支付佣金

    认股权证 、员工股票期权与可转换债券

    • 认股权证/Warrants
      • 由公司或金融机构发行的期权 Options issued by companies or financial institutions
      • 认股权证数量由原始发行规模决定，仅在行使或到期时发生变化 The number of warrants is determined by the original issue size and changes only upon exercise or expiration
      • 当认股权证被行使时，发行人与持有人结算 When a warrant is exercised, the issuer settles with the holder
      • 当公司就自己的股票发行认购权证时，行使通常会导致发行新的库存股票 When a company issues warrants for its own stock, exercise usually results in the issuance of new treasury shares
    • 员工股票期权 Employee Stock Options
      • 公司发给其雇员的看涨期权 Call options issued by a company to its employees
      • 发行时它们通常是平值 The options are usually at-the-money when issued
      • 公司需要发行更多股票并以行使价将其出售给期权持有人 The company needs to issue more shares and sell them to option holders at the strike price
      • 在利润表上通过费用支出 Listed as expenses on the income statement
    • 可转换债券 Convertible Bond
      • 由公司发行的一类债券，可以在未来一定时间按照预定的兑换比例兑换成股权 A type of bond issued by the company, which can be converted into equity according to a predetermined conversion ratio at a certain time in the future
      • 通常是可赎回的 Usually callable
      • 赎回条款 Redemption terms
        • 发行人可以在持有人可能选择的时间之前强制转换的一种方式 A way in which the issuer can force conversion by a time the holder may choose

    股息和股票分股 Dividends and stock splits

    • 假设拥有对 N 股股票，行使价格为 K 的期权 Suppose you have an option on N shares with an exercise price of K
    • 现金分红 Cash dividend（无论是declear还是真正分红）
      • 期权条款未作任何调整 No adjustments to option terms
    • 当有 n 对 m 股票分股时 (m 股分成 n 股) When there are n-for-m stock splits (splitting m shares to n shares)
      • 新行使价 New strike price： $K\frac{m}{n}$
      • 新股票数量 Number of new shares : $N\frac{n}{m}$
    • 股票股息的处理方式与股票分割相同 Stock dividends are treated the same as stock splits

    考虑以每股 20 美元的价格购买 100 股的看涨期权 Consider buying a call option on 100 shares at \$20 per share

    条款应该如何调整？ How should the terms be adjusted?

    • 2 对 1 股票分股 2-for-1 stock split
      • 执行价格 Strike price：$20\frac{1}{2}=10$
      • 对应股票数量 Shares number ：$100\frac{2}{1}=200$
    • 公司支付 5% 的股票股息 The company pays a 5% stock dividend 等同于 105 对 100 股票分股 Equivalent to a 105-for-100 stock split
      • 执行价格 Strike price：$20\frac{100}{105}=19$
      • 对应股票数量 Shares number：$100\frac{105}{100}=105$

    保证金 Margin Requirements

    卖出期权方需要提供保证金 Selling options need to provide margin

    • 裸露期权 Naked Option
      • 期权不与对冲该期权头寸风险的标的资产并存 The option does not exist concurrently with the underlying asset that hedges the risk of the option position

    • 承约裸露看涨期权时，初始保证金和维持保证金是以下两者中的较大者 When contracting a naked call, the initial margin and maintenance margin is the greater of

      • 卖出期权所得金额的 100% + 20% 的标的股票价格 - 期权的虚值 100% of the amount sold for the option + 20% of the underlying stock price – the option’s out-of-the-money
      • 卖出期权所得金额的 100% + 10% 的标的股票价格 100% of the proceeds from selling options + 10% of the underlying stock price

    • 承约裸露看跌期权时，初始保证金和维持保证金是以下两者中的较大者 When contracting a naked put option, the initial margin and maintenance margin is the greater of the following two

      • 卖出期权所得金额的 100% + 20% 的标的股票价格 - 期权的虚值 100% of the amount sold for the option + 20% of the underlying stock price - the option's out-of-the-money
      • 卖出期权所得金额的 100% + 10% 的执行价格 100% of the proceeds from selling the option + 10% of the strike price

    一位投资者承接四份裸露看涨期权合约，期权价格为 5 美元，行使价为 40 美元，股票价格为 38 美元。计算最初保证金 An investor writes four naked call option contracts on a stock, the option price is \$5, the strike price is \$40, and the stock price is \$38. Calculate the initial margin $$ 第一种计算方法： 400(5+0.238-2)=4240 \ 第二种计算方法： 400(5+0.138)=3520 \ 保证金为： \max{4240,3520}=4240 $$ 假如该期权为看跌期权，计算最初保证金 If the option had been a put option, calculate the initial margin $$ 第一种计算方法： 400(5+0.238-0)=5040 \ 第二种计算方法： 400(5+0.140)=3600 \ 保证金为： \max{5040,3600}=5040 $$