期权基础知识.pptVIP

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 Volatilities: volatility implied by an option price observed in the market CURRENT IMPLIED VOLATILITY__ Daily published by RJO Seasonality 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 periods 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. 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 – Delta The measurement of movement in an options premium relative to a move in the price of the underlying futures. A call’s delta is quoted as positive and a put’s as negative As the underlying futures price moves, so will 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 direction The Greek letters – Delta Futures have a