金融衍生工具研究第6讲：期权与期权市场

Introduction to Options Markets
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股息与股票分拆Dividends & Stock Splits
• Suppose you own one option (size: N shares) with a strike price of X : – No adjustments are made to the option terms for cash dividends – Exchanged traded options are adjusted for stock splits. When there is an n-for-m stock split,
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Notation（符号）
• c : European call option • C : American Call option
• • • • • price p : European put option price S0 : Stock price today X : Strike price T : Life of option : Volatility of stock price price P : American Put option price ST :Stock price at option maturity D : Present value of dividends during option’s life r : Risk-free rate for maturity T with cont comp
X = Strike price, ST = Price of asset at maturity（资产在到期时的价格 ）
Payoff
Payoff
X
X Payoff X
ST
Payoff X ST
ST
ST
Introduction to Options Markets
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期权合约标的物（Assets Underlying Option Contracts）
Introduction to Options Markets
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Specification of Exchange-Traded Options（交易 所交易期权的合约）
• • • • Expiration date Strike price European or American Call or Put (option type)
Introduction to Options Markets
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欧式期权 vs 美式期权
• A European option（欧式期权） can be exercised only at the end of its life • An American option（美式期权）can be exercised at any time • European options are easier to analyze than American options. However, most exchange traded options are the American style.
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第6讲：期权与期权市场
Outline
• 期权种类与期权仓位 • 期权市场术语 • 股票期权价格上下限（Upper & Lower Bounds of Stock Option Prices） • 买权卖权价格等式
Introduction to Options Markets
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期权种类
• 看涨期权：A call option is an agreement that gives the holder the right to buy an asset by a certain date for a certain price • 看跌期权：A put option is an agreement that gives the holder the right to sell … • 期权期限：The date specified in the contract is the expiration date (maturity). • 执行价格：The price specified in the contract is the exercise price or strike price.
Introduction to Options Markets
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一张微软多头看涨期权（Long Call on Microsoft）
Profit from buying a Microsoft European call option: option price （期权 价格）= $5, strike price（执行价格） = $100, option life（期权期限）= 2 months
Introduction to Options Markets
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股息与股票分拆(例)
• Consider a call option to buy 100 shares for $30/share • How should terms be adjusted: – for a 2-for-1 stock split? – for a 25% stock dividend?
Introduction to Options Markets
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Option Quotes（期权的额度）
• Equity option (100 shares)
Introduction to Options Markets
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Option Quotes
• CBOE SPX
Introduction to Options Markets
Profit ($) 7 0 -10 -20 -30
Introduction to Options Markets
40
50
60 70 80
Terminal stock price ($) 90 100
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Payoffs from Options（期权的盈利）
What is the option position in each case?
• Stocks股票: over 500 stock options; American style; Size: 100 shares; CBOE, PHLX, AMEX, PSE. • Foreign Currency外汇: PHLX; American and European options. • Stock Indices股票指数: S&P 100 (American, CBOE) • Futures期货: T-Bond futures (CBOE); Eurodollar futures (CME); S&P 500 index futures (CME); Nikkei 225 index futures (OSE and SGX); gold (NYMEX) • Commodity实物商品: Gold (AMEX)
30 Profit ($) 20 10 0 -7 Terminal stock price ($)
40
50
60
70
80
90 100
Introduction to Options Markets
一张甲骨文空头看跌期权（Long Put on Oracle）
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Profit from writing an Oracle European put option: option price = $7, strike price = $70
•
• •
•
Introduction to Options Markets
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期权价值状态（Moneyness）
• Moneyness of an option is the amount of cash flow that could be obtained by exercising it immediately (assuming this is possible). • Moneyness is S0 –X for a call, X- S0 for a put • Positive moneyness: if an option is exercised, positive cash flows result (S0 >X for a call, S0 <X for a put)- the option is an in-the-money （实值状态）option. • Negative moneyness: if an option is exercised, negative cash flows result (S0 <X call, S0 >X for put) – option is out-of-the-money （虚值状态）. • If S0 =X, option is at-the-money（ 两平状态）.
the strike price is reduced to mX/n no. of shares covered by one option contract is increased to nN/m
– Stock dividends are handled in a manner similar to stock splits
Profit ($) 5 0 -10 -20 -30
Introduction to Options Markets
110 120 130 70 80 90 100 Terminal stock price ($)
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一张甲骨文多头看跌期权（Long Put on Oracle）
Profit from buying an Oracle European put option: option price = $7, strike price = $70
Long position
Short position
Introduction to Options Markets
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期权仓位
• The combination of two sides and two types of options gives – 多头买权（Long call） – 多头卖权（Long put） – 空头买权（Short call） – 空头卖权（Short put）
Introduction to Options Markets
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Hale Waihona Puke Baidu
真实价值Intrinsic Value
• Intrinsic value of an option is the maximum amount of zero and the value it would have if it were exercised immediately. • For a call option, this is max(S0 – X, 0); for a put option, it is max(X-S0, 0). • 期权价值大于或等于其真实价值（An option is worth at least as much as its intrinsic value）. • 期权价值=真实价值+时间价值（The value of an option = intrinsic value + time value）.
30 Profit ($) 20 10 70 0 -5
Introduction to Options Markets
80
90
100
Terminal stock price ($) 110 120 130
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一张微软空头看涨期权
Profit from writing a Microsoft European call option: option price （期权价 格）= $5, strike price（执行价格） = $100
Introduction to Options Markets
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期权仓位 • There are two sides to every option contract: 多头（the long position） and 空头（the short position，sold or written the option)