一次搞懂Put和Call Options
買買權(long call): 看大漲；買賣權(long 一次搞懂Put和Call Options put): 看大跌。
賣買權(short call): 看小跌；賣賣權(short put): 看小漲。
- a. 享受權利者即為選擇權之買方，或稱作持有人。有權利但無義務履約，所以必定在履約可獲利時執行權利。
- b. 負擔或有義務者即為賣方，先收取買方所支付之權利金，當買方要求履約時，有義務依約履行。為防止有違約之虞，故賣方需繳交保證金。
- 選擇權的一大特色即為權利和義務的不對稱職務。
權利金代表選擇權的價格，影響選擇權價格的因素包括了標的市價S、履約價格K、無風險利率i、權利期限t、標的波動性 σ ；而選擇權的價值可以分為兩部分：一是內含價值(INTRINSIC VALUE)，二是時間價值(一次搞懂Put和Call Options TIME VALUE)。內含價值係指立即履約可獲得的利潤，時間價值則是隱含的期望價值，隨時間縮短遞減。買方在進場時即支付權利金予賣方以取得權利。
| 買權 (Call) | 賣權 (Put) | |
|---|---|---|
| 價內(獲利) | S>K | S |
| 價平 | S=K | S=K |
| 價外(損失) | S | S>K |
| 內含價值 | 時間價值 |
|---|---|
| 價內選擇權立即履約所獲得之利潤。時間價值說明說明內含價值，需要將買權與賣權分開來說。對買權而言，內含價值是指「現貨指數高於履約價的部份」，若用數學式表示即"MAX（大盤-履約價，0）"，上式是指取「大盤-履約價」與「0」之間較大值的意思；對賣權而言，剛好相反，即「履約價高於現貨指數的部份」，用數學式 Max(S-K,0) 及 Max(K-S,0)， 表示即"MAX（履約價-大盤，0）"。 | 選擇權的價值可分為兩部分：一是內含價值；二是時間價值。 所謂的內含價值，就是價內選擇權立即履約所獲得之利潤。 而時間價值就是買方對價平或價外選擇權進入價內或已為價內但更深入價內的一種期望，所願意支付的權利金，這種期望會隨著時間的消逝而機會愈來愈少，直至到期日為零，所以稱作時間價值。 |
| 影響因素 | 1目前價格S | 2履約價格K | 3無風險利率R+ | 4權利期限T | 5波動性σ |
|---|---|---|---|---|---|
| 買權CALL | + | - | + | + | + |
| 賣權PUT | - | + | - | + | + |
-
a. 獲利無限，風險有限
| 看大漲: Buy Call | 看大跌: Buy Put |
| 盤整看漲: Sell Put | 價差: Bull Call(Put) spread、Bear Call(Put) Spread |
| 盤整: Straddles、Strangles | 避險: Buy Protective Put、Buy Protective Call |
| 盤整看跌: Sell Call | 其他組合運用 |
- (1) 若以買權來組合，則買入履約價較低之Call，並賣出履約價較高之Call
- (2) 若以賣權來組合，則買入履約價較低之Put，並賣出履約價較高之Put
- (1) 若以買權來組合，則買入履約價較高之Call，並賣出履約價較低之Call
- (2) 若以賣權來組合，則買入履約價較高低之Put，並賣出履約價較低之Put
混合部位指的是同時買進或賣出權利期間相同的Call或 Put，若履約價相同，則形成跨式(Straddle) ，若履約價不同則組合成垂直混合式(Strangle)。
- a. 買進履約價相同的Call 和Put，形成下跨式，當期貨大漲或大跌時獲利。
- b. 賣出履約價相同的Call 一次搞懂Put和Call Options 和Put，形成上跨式，當期貨在損益兩平區間盤整時獲利。
在預期行情沒有明顯趨勢情況下, 可於選擇權到期前四週進場,同時賣出相同或不同strike price的買權及賣權。而交易商品的篩選條件首要符合風險報酬比，且當時價位未在新高或新低。
| 是計算指數現貨在過去一段時間（通常為一個月）內的歷史波動率，依這個歷史波動率，計算出選擇權在理論上的價格，做為評斷選擇權實際在市場成的現價是否合理的基準，這種評價如同無視市場波動程度的現況，一味照事先的認定作出評斷，其結論較不適合做為主要的參考依據； | 則是計算選擇權的隱含波動率。所謂的隱含波動率，是依選擇權實際在市場上成交的價格，取得該價格所反映出的指數波動程度，也可以解釋為市場對指數未來波動程度的看法；一般認為，追蹤隱含波動率的改變，較能合理地解釋選擇權價格的變化。故我們皆以隱含波動率代表指數波動率，來解釋選擇權價格，另以歷史波動率為輔。 |
用賣權除以買權之比例；"Ratio"：中文為「比例」的意思，我們在使用Put/Call Ratio的時，都會指出是哪一種Put/Call Ratio；例如成交量的Put/Call Ratio、未平倉量的Put/Call Ratio…等等。若是指「成交量的Put/Call Ratio」，用整句用中文表達即「用Put的成交量除以Call的成交量之比例」，若是指「未平倉量的Put/Call Ratio」，即「用Put的未平倉量除以Call的未平倉量之比例」的意思。上述兩者也是最常用的Put/Call Ratio。另外，所謂的「Put的成交量」或「Put的未平倉量」皆是指Put的所有履約價之總合量，在Call的方面亦然，若另有所指，則會另加註明。
在成交量的Put/Call Ratio方面，若成交量的Put/Call Ratio越大，代表Put的交易越較Call的交易活絡，市場偏空的氣氛越濃；反之亦然。在未平倉量的Put/Call Ratio方面，若未平倉量的Put/Call Ratio越大，代表Put的未平倉量越大於Call的未平倉量，亦代表市場偏空的氣氛越濃，反之亦然。三、範例91/6/10成交量的Put/Call Ratio約為0.4，直至91/6/26約上升至0.6，亦即選擇擇市場透露出偏空的預期，而此期間大盤指數也由5499點跌至5123點，印證了這個看法。
p = f ( v . t . i . p .s. ….)
p = Time Value + Intrinsic Value
pc= TV+IVc pp= TV+IVp
假設在市場上同時買進或賣出Call Option & Put Option 各一口，接近到期日時， 損益變化如下：
option
本人编辑
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期权交易的8种常见组合
举个例子，投资者认为股价将会在一个范围内横盘，计划多空双杀。例如股价目前是50元，在执行价为52元方向上卖空Call，期权价2元。在48元方向卖空Put，期权价4元。那么到期权截止时，只要最终股价在52到48元之间，那么52元的Call和48元的Put都会成为废纸，卖空投资者将实现多空双杀。但如果股价涨到62美金，那么投资者在卖空Put这边可以赚到400美金，但是在卖空Call这边因为要回补，导致付出了(62 – 52) * 100 = 1000美金，那么这个投资者的亏损是200 + 400 – 1000 = 400美金。
最大利润：(看涨期权价+看跌期权期权价)*手数*100（股价在锁定的看涨期权价 到 看跌期权价正中间）
收益点：（1）股价在锁定的看涨期权价 到 看跌期权价之间；（2）股价上涨的情况下，看跌期权价 – （当前股价 – 看涨期权价）> 0；（3）股价下跌的情况下，看涨期权价 – （看跌期权价-当前股价）> 0；
Exercise Price
The exercise price within an option is the price at which the holder is capable of purchasing the underlying asset. If the market price of the asset is above the exercise price, the holder is capable of purchasing the asset at a discount relative to what the market is offering; thereby, the investor profits 一次搞懂Put和Call Options on the difference.
The exercise price is often used within options trading. An option is also known as a derivative , where the most common types are puts and calls. A derivative is a financial instrument that fluctuates in value based on an underlying asset, such as a stock. Exercise prices can either be in-the-money 一次搞懂Put和Call Options or out-of-the-money.
Calls and Puts
A call option gives the holder the right, but not the obligation, to purchase a stock at a specific price in the future. Individuals tend to purchase calls if they believe the stock 一次搞懂Put和Call Options price will rise in the future. If the underlying equity goes up in the future, a call option hedges that scenario.
A put option gives the holder the right, but not the obligation, to sell a 一次搞懂Put和Call Options stock at a specific price in the future. Individuals who purchase the financial instruments tend to believe the stock price will be going down in the future. If the underlying stock goes down in the future, a put option hedges such an occurrence.
In-the-Money
An in-the-money exercise price is when the option is capable of being exercised to provide some level of financial benefit. For example:
- An in-the-money call option is when the market price is above the exercise price. Thus, the holder can purchase the security at the lower exercise price and book the profit between it and the market price.
For example, a call option with a strike 一次搞懂Put和Call Options price of $50 would be in-the-money if the market price is $55. The investor who is exercising the call option would have the opportunity to purchase the stock at $50 and therefore earn $5.
- An in-the-money put option is when the exercise price is above the market price. Thus, the holder is eligible to sell the security at a price higher than what is being offered. For example, a put option with a strike price of $60 would be in the money if the market price is $45. The holder of the option can then sell the stock for $60 and thus make $15.
Out-of-the-Money
An out-of-the-money option is when the derivative yields zero intrinsic value. For example:一次搞懂Put和Call Options
- An out-of-the-money call option is when the market price 一次搞懂Put和Call Options is below the exercise price. Therefore, the holder’s option contract is worthless, as they would not purchase the stock at a price higher than what is offered within the marketplace.
For example, if the exercise price on a call option is $65, but the market price of the stock is $50, the contract holder 一次搞懂Put和Call Options would, of course, rather purchase the stock at a cheaper price ($50), which means the call option would be viewed as zero value.
- An out-of-the-money put option 一次搞懂Put和Call Options is when the market price is higher than the exercise price. Here, the contract holder would not exercise the option because they would not sell the stock 一次搞懂Put和Call Options for a price less than what is offered to 一次搞懂Put和Call Options the marketplace.
For example, if the market price of the underlying asset is $70, but the put option exercise price is $40, the wisest decision would be for the put holder to sell the asset for $70, which thereby foregoes the put option contract in the first place.
Essentially, the further out-of-the-money an option is, the less valuable it becomes. The option would lose intrinsic value and instead only yield extrinsic value based on the possibility that the underlying asset’s price may potentially enter the in-the-money zone. Vice-versa, the further in-the-money 一次搞懂Put和Call Options the option is, the more intrinsic value the contract 一次搞懂Put和Call Options yields, as it has a higher likelihood of being exercised.
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