09 期权：交易策略

保本债券（principal protected notes）

合成多头（空头）头寸

牛市差价与熊市差价

• 差价 策略涉及到两个或者更多的同一种类的期权的头寸

  • 牛市/熊市差价、盒式差价、蝶式差价、日历差价

• 牛市差价(Bull Spread)

  • 可以用欧式看涨期权或者欧式看跌期权构造
  • 当标的资产价格上涨时获利
  • 限制了投资者的收益，但同时也控制了损失的幅度

• 熊市差价(Bear Spread)

  • 可以用欧式看涨期权或者欧式看跌期权构造
  • 当标的资产价格下跌时获利
  • 限制了投资者的收益，但同时也控制了损失的幅度

用看涨期权构造牛市差价

Stock price range Payoff from long call option Payoff from short call option Total payoff 0 0 0 0

• 三种不同类型的牛市差价：
  • 两份看涨期权最初均为虚值期权。（激进）
  • 一份看涨期权最初为实值期权，另一份看涨期权为虚值期权。
  • 两份看涨期权最初均为实值期权。（保守）

用看跌期权构造牛市差价

用看跌期权构造熊市差价

Stock price range Payoff from long call option Payoff from short call option Total payoff 0 0 0 0 0

用看涨期权构造熊市差价

盒式差价（Box Spread）

• 由牛市差价和熊市差价组合而成
  • 牛市差价：看涨期权（）多头+看涨期权（）空头
  • 熊市差价：看跌期权（）空头+看跌期权（）多头
• 如果所有的期权都是欧式的，盒式差价的价值为协议价格之差的现值
  • 当差价市场价格时如何套利？
• 如果是由美式期权组成，则不一定

蝶式差价（Butterfly Spread）

• 蝶式差价涉及到三个拥有不同协议价格的期权的头寸
• 假设，蝶式差价可通过下面的方式构造： 买入一份协议价格为的欧式看涨期权，买入一份协议价格为的欧式看涨期权，同时卖出两份协议价格为的欧式看涨期权。此时，为和的中点。
• 与当前股票价格接近
• 蝶式差价可由看涨期权或者看跌期权构成

用看涨期权构造蝶式差价

Stock price range Payoff from 1st long call Payoff from 2nd long call Payoff from short calls Total payoff 0 0 0 0 0 0 0 0

用看跌期权构造蝶式差价

日历差价（Calendar Spread）

• 日历差价由协议价格相同但到期时间不同的期权构成
• 卖出到期时间短的欧式看涨期权同时买入协议价格相同到期时间更长的另一个欧式看涨期权

用看涨期权构造日历差价	用看跌期权构造日历差价

• 日历差价的分类：

  • 中性日历差价（neutral calendar spread）： 协议价格接近当前股票价格
  • 牛市日历差价（bullish calendar spread）： 协议价格高于当前股票价格
  • 熊市日历差价（bearish calendar）： 协议价格低于当前股票价格

• 反向日历差价（Reverse calendar spread）： 买入到期时间短的期权，卖出到期时间场的期权

对角差价(diagonal spread)

• 两份看涨期权的执行价格与到期日均不同

• 更多形式的盈利方式

• 进一步阅读：Natenberg, S. (2014). Option Volatility and Pricing: Advanced Trading Strategies and Techniques, 2nd Edition. McGraw-Hill Education. ISBN: 978-0071818773

跨式组合（Straddle Combination）

Stock price range Payoff from call Payoff from put Total payoff 0 0

• 底部跨式组合(bottom straddle)或买入跨式组合(straddle purchase)
• 顶部跨式组合(top straddle)或卖出跨式组合(straddle write)

序列组合（Strips）与带式组合（Straps）

• 序列组合（Strips）由协议价格和到期时间相同的一份欧式看涨期权的多头和两份欧式看跌期权的多头构成
• 带式组合（Straps）由协议价格和到期时间相同的两份欧式看涨期权的多头和一份欧式看跌期权的多头构成

异价跨式组合（Strangle）

异价跨式组合 (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

Stock price range Payoff from call Payoff from put Total payoff 0 0 0 0 0

异价跨式组合与跨式组合有何不同？

阅读与练习

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?

课后练习

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