期权基础知识.pptVIP

* Spreads 套利 Ratio Spread 比例套利 Buy some calls of strike price X1, and sell a multiple number of calls of strike X2 with the same expiration days, where X2X1 The goal being to reduce the total cost of the spread while maintaining a reasonable risk/reward profile Take advantage of high implied volatility 期权基础知识全文共57页，当前为第26页。 Combinations Straddle – Buy a call and a put with the same expiration day and strike price, used when the market will be very volatile in the short-term. x Profit Futures 期权基础知识全文共57页，当前为第27页。 Combinations 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. x1 x2 Profit Futures 期权基础知识全文共57页，当前为第28页。 小测验 1，long call, short put, which is more bullish? 2, long put, short call, which is more bearish? 期权基础知识全文共57页，当前为第29页。 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 期权基础知识全文共57页，当前为第30页。 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 期权基础知识全文共57页，当前为第31页。 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 期权基础知识全文共57页，当前为第32页。 Seasonality and Screw in Implied Volatility Grains and oilseeds exhibit a high degree of seasonality in impl