L09 期权:交易策略



同时交易期权与标的资产

同时交易期权与标的资产

Put-call parity: $c+Ke^{-rT}+D=p+S_0$


差价

差价

用看涨期权构造牛市差价



用看跌期权构造牛市差价



用看跌期权构造熊市差价



用看涨期权构造熊市差价



盒式差价(Box Spread)



蝶式差价(Butterfly Spread)

用看涨期权构造蝶式差价



用看跌期权构造蝶式差价



日历差价(Calendar Spread)

用看涨期权构造日历差价



用看跌期权构造日历差价




组合(Combinations)

跨式期权组合(Straddle Combination)

跨式期权组合(Straddle Combination)涉及到同时买入协议价格和到期时间相同的欧式看涨期权和欧式看跌期权



条式组合(Strips)与带式组合(Straps)



异价跨式期权(Strangle)

异价跨式期权 (亦被称作bottom vertical combination)涉及到同时买入协议价格相同但到期时间不同的欧式看涨期权和欧式看跌期权




课后练习

扫码做题

课堂练习

  1. Draw a diagram showing the variation of an investor's profit and loss with the terminal stock price for a portfolio consisting of :

    • (a) One share and a short position in one call option
    • (b) Two shares and a short position in one call option
    • (c) One share and a short position in two call options
    • (d) One share and a short position in four call options.

    In each case, assume that the call option has an exercise price equal to the current stock price.


  2. Suppose that put options on a stock with strike prices $30 and $35 cost $4 and $7, respectively. How can the options be used to create

    • (a) a bull spread
    • (b) a bear spread

    Construct a table that shows the profit and payoff for both spreads.


  3. Three put options on a stock have the same expiration date and strike prices of $55, $60, and $65. The market prices are $3, $5, and $8, respectively. Explain how a butterfly spread can be created. Construct a table showing the profit from the strategy. For what range of stock prices would the butterfly spread lead to a loss?


  4. A call option with a strike price of $50 costs $2. A put option with a strike price of $45 costs $3. Explain how a strangle can be created from these two options. What is the pattern of profits from the strangle?