期权价差交易与套利交易

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1、期权价差交易期权套利策略张嘉成1讲题总揽:•期权价差交易•期权价差交易策略拓展•期权套利策略•波动率策略2预测价格的到期落点是期权复式策略的交易主轴3虚拟白糖期权报价:201309合约波动率25%2013/6/6白糖13095118利率:3%距离到期天数:55买权=Call=看涨期权卖权=Put=看跌期权VegaThetaGammaδ值时间价值内涵价值理论价履约价理论价内涵价值时间价值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虚拟白糖期权报价:201301合约5看涨期权多头价差:基本解说•适用时机:研判区间盘涨,或上档压力明显操作潛能開發中心不易越过,同时波动率偏低•策略特性:到期日之前,风险有限,但获利也有限程序策略開發中心6看涨期权多头价差:预期盘涨支出296点买进5400看涨期权545400价格水平5500-46收入250点卖出损益5500看涨期权7看涨期权多头价差:到期损益状况•1.价格<5400:最大亏损操作潛能開發中心•2.损益平衡点=5446•3.价格>损益平衡点:

7、获利•4.指数>5500:最大获利•5.程序策略開發中心最大获利/最大亏损=54/468看涨期权多头价差到期损益图*max.profit:K2-K1-(C1-C2)LongaCallatK1+ShortaCallatK2,K1