期权应用教程(二)

• Combination of buying and selling options of the same type and maturity, but with different strike prices. There are 4 varieties:
- Long call spread: Long lower-strike call and short higher-strike call
The option premium exists of two components:
Intrinsic Value: the option value if one would exercise today. Only an in-themoney option has intrinsic value
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2. Long put: potential profit of the strike price minus premium paid, maximum loss of premium
- Short call spread : Long higher-strike call and short lower-strike call - Long put spread : Long higher-strike put and short lower-strike put - Short put spread : Long lower-strike put and short higher-strike put
What makes options interesting:
As an option is a right, it has an asymmetrical pay-off pattern (i.e. when the value of the proposition becomes negative, one is able to let the option lapse)
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Combining Options into positions:
Straddle: • Buying a call and a put of the same strike and maturity • Benefit from movement in any direction, but significant losses occur if no movement materializes Strangle: • Buying a call and a put of different strikes in the same maturity(with call strike > put strike) • Benefit from movement in any direction, but losses occur of no or limited movement materializes Both positions thus benefit from movement, without naming the direction The price for this non-directional bet is higher than for a directional bet (i.e. just buying calls or just buying puts)
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Combining Options into positions: (Cont.)
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Long Straddle
Time Value / Expectation value: due to the asymmetric pay off, potential movement of the share price has a positive expected value
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There are 4 building blocks of options positions:
1. Long call: potentially infinite profit, maximum loss of premium
There are numerous options available, differing in type (call, put), strike price and maturity
Investors are allowed to either have the right (‘long position’) or take the opposite position (‘short position’)
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Introduction to Options
- Options and their pay-off patterns - Combinations of options - Put Call Parity - Synthetics
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4. Short put: profit limited to premium, potential loss up to strike price minus premium paid
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With all the different strike prices available, the following crude classification is applied:
In-the-money option: the option right is valuable if exercised today. For call options, this means the strike price is lower than the share price
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Combining Options into positions: (Cont.)
Vertical Spreads:
Short Call
Short Put
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The asymmetrical pay-off pattern
Assume the following situation:
• We hold the call HKD 100 • Share price is at HKD 100 If share price rises, I can profitably exercise the option If share price declines, I forfeit the option Suppose we are in a world where we can either move up HKD 2.00 or down HKD 2.00. While I do not know which of the these outcomes will happen, the chance of each is 50 % Is there expected value in the HKD 100 call? If so, how much?
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3. Short call: profit limited to premium, potentially unlimited loss
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The asymmetrical pay-off pattern
Assume the following situation:
• We hold the call HKD 100 • Share price is at HKD 100 If share price rises, I can profitably exercise the option If share price declines, I forfeit the option Suppose we are in a world where we can either move up HKD 2.00 or down HKD 2.00. While I do not know which of the these outcomes will happen, the chance of each is 50 % Is there expected value in the HKD 100 call? Yes there is, we have a 50% chance of the option being worth HKD 2.00 and a 50% chance of the option being worth nothing. Thus I am prepared to pay HKD 1.00 for the option