期权应用教程(四).pdfVIP

MSc in Finance, Term 3 2014 - 2015 C U H K Fundamentals of Derivatives Trading Applying Options Theory in the Marketplace Tobias Hekster -Senior Strategist, True Partner Fund -Adjunct Associate Professor, CUHK -Adjunct Professor, National Taiwan University 1 © True Partner Education Ltd 2012 C U H K FINA6250: Fundamentals of Derivatives Trading Strategies Lecture 4 Vega Volatility Final Aspects Assignment 1 2 © True Partner Education Ltd 2012 The concept of volatility When Premium Long, we crave for movement When Premium Short, we fear it How do we express it? Annualized Volatility: 67% of observations fall within 1 standard deviation of the mean. If we assume share prices to be normally distributed*, we would have 67% of the possible share prices one year from now to be within one standard deviation of the future. Normal Distribution One Standard Deviation Mean * Over and over again, we learn the hard way not to make this assumption! More later… 3 © True Partner Education Ltd 2012 The concept of volatility From Annualized volatility to Daily volatility: Assume there are 256 trading days in one year (the square root of 256 conveniently equals 16)