主管單位：江蘇省昆山市千燈鎮(zhèn)人民

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4.77GloTraderandFuturesOptionsTradingFuturesOptions期貨期權(quán)交易Tradingoptionsinvolvessubstantialrisksoflossandisnotappropriateforeveryone.Therefore,ONLYRISKCAPITALSHOULDBEUSEDFORTRADING.Riskcapitalisdefinedasthemoneythatapersoncanaffordtolose.Wecannotguaranteeperformanceanddonotguaranteeagainstanylossofprincipleorcapital.Youassumetheentirecostandriskofanytradingyouchoosetoundertake.Youaresolelyresponsibleformakingyourowninvestmentdecisions.期權(quán)交易涉及重大損失風險，不適合所有人。適合用風險資本來做期權(quán)交易。風險資本定義是“您能全部輸?shù)闷鸬腻X”。我們不能保證您將總是盈利，也不能保證您沒有資本損失。假設您選擇采用全部資本的風險交易。你將為使自己的投資決定負全部負責。JasonMather,CTAArxAssetManagement,LLC蒼穹龍騎

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4.69OnlySource/FootnotesbelowthislineDISCLAIMERFuturesandoptionstradinginvolvessubstantialriskoflossandisnotsuitableforeveryinvestor.Thevaluationoffuturesandoptionsmayfluctuate,and,asaresult,clientsmaylosemorethantheiroriginalinvestment.Theimpactofseasonalandgeopoliticaleventsisalreadyfactoredintomarketprices.Thehighlyleveragednatureoffuturestradingmeansthatsmallmarketmovementswillhaveagreatimpactonyourtradingaccountandthiscanworkagainstyou,leadingtolargelossesorcanworkforyou,leadingtolargegains.Ifthemarketmovesagainstyou,youmaysustainatotallossgreaterthantheamountyoudepositedintoyouraccount.Youareresponsibleforalltherisksandfinancialresourcesyouuseandforthechosentradingsystem.Youshouldnotengageintradingunlessyoufullyunderstandthenatureofthetransactionsyouareenteringintoandtheextentofyourexposuretoloss.Ifyoudonotfullyunderstandtheserisksyoumustseekindependentadvicefromyourfinancialadvisor.?

Alltradingstrategiesareusedatyourownrisk.Thissoftwareshouldnotberelieduponasadviceorconstruedasprovidingrecommendationsofanykind.Itisyourresponsibilitytoconfirmanddecidewhichtradestomake.Tradeonlywithriskcapital;thatis,tradewithmoneythat,iflost,willnotadverselyimpactyourlifestyleandyourabilitytomeetyourfinancialobligations.Pastresultsarenoindicationoffutureperformance.Innoeventshouldthecontentofthiscorrespondencebeconstruedasanexpressorimpliedpromise,guaranteeorimplicationfromTradersEducationLLCthatyouwillprofitorthatlossescanorwillbelimitedinanymannerwhatsoever.TradersEducationLLCisnotresponsibleforanylossesincurredasaresultofusinganyofourtradingstrategiesandsoftware.TheAutoTradershouldneverbeleftunattendedduetothepossibilityofeventsoutofyourcontrol,suchascomputerordatafailure,poweroutages,positionmismatches,and/ornetworkproblems.Loss-limitingstrategiessuchasstoplossordersmaynotbeeffectivebecausemarketconditionsortechnologicalissuesmaymakeitimpossibletoexecutesuchorders.Likewise,strategiesusingcombinationsofoptionsand/orfuturespositionssuchas"spread"or"straddle"tradesmaybejustasriskyassimplelongandshortpositions.Informationprovidedinthiscorrespondenceisintendedsolelyforinformationalpurposesandisobtainedfromsourcesbelievedtobereliable.Informationisinnowayguaranteed.Noguaranteeofanykindisimpliedorpossiblewhereprojectionsoffutureconditionsareattempted.3OnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineArxAssetManagement,LLCCopyright2012,AllrightsreservedJasonMather,杰勝

美瑟

CTA,ManagingPartnerofArxAssetManagementMemberofPhiladelphiaStockExchange濱州股票交易所成員UPenn,BSEconomics2000美國長春藤濱州大學，經(jīng)濟學畢業(yè)MemberofNewYorkMercantileExchangeComexDivision,2004,tradingmetalfuturesandoptions2004年紐約商品交易所，交易金屬期貨期權(quán)

MemberofNewYorkBoardofTrade,ICE,FINEX,andCBOE交易所成員Sr.OptionsAnalystandtrainerforManagedCapitalAdvisoryGroupandOmembers美國資產(chǎn)管理顧問集團高級期權(quán)分析師CTAofArxAssetManagement，CTA,ManagingPrincipal愛思資產(chǎn)管理商品交易經(jīng)理，項目主持人，董事長4ArxAssetManagement,LLCCopyright2012,AllrightsreservedGloTraderandRMMSoft北京風軟產(chǎn)品的主要技術優(yōu)勢包括：可以實現(xiàn)境內(nèi)、外主要交易所的直連、雙向交易（重點是外盤）中國境內(nèi)目前唯一可實現(xiàn)直連CME集團Globex交易系統(tǒng)期權(quán)風險的深度分析與期權(quán)交易的完整實現(xiàn)符合國際市場標準的實時風險管理與監(jiān)控提供內(nèi)、外盤同步交易、風控、結(jié)算、監(jiān)控的一攬子解決方案同時適應境內(nèi)、外交易的中、英文用戶界面及技術說明與商品交易經(jīng)理CTA聯(lián)合的期權(quán)培訓項目，受商品交易經(jīng)理，直接指導CTA理財項目操作國際化直接接軌RMMSoftplatformsadvantageSimultaneouslytradebothChinamarketsandInternationalmarketsdirectlyTheOnlyplatformthatdirectlyconnectstoCMEGlobexplatformCompleteOptionspricinganalysisandriskmanagementRealtimeinternationalstandardbackendriskmanagementandmonitoringsystemProvidestheultimateplatformsolutionforbothChinamarketsandInternationalmarketsforsimultaneoustrading,riskmanagement,clearingandmonitoringCTAinstructedoptionstrainingprogramsDirectconsultationfromCTA/traderswhoareformerNYMEX,COMEX,andCBOEfloortradersandmarketmakers.5ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineSlidePresentation3Parts分3部分講解

OptionsEssentialsTradingOptions-Risk/RewardOptionsTradingBasicStrategies構(gòu)成期權(quán)的基本原素期權(quán)交易－風險/回報期權(quán)基本交易策略6ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineSlidePresentationOverviewPart1第一部分OptionsEssentialsWhatareoptions?HowAreOptionsTraded?WhyTradeOptions?TheRightsofOptionsBuyersTheObligationsofOptionsSellersWhatIsThe'StrikePrice'?IntheMoneyvs.OutoftheMoney,AttheMoney（ITM,OTM,ATM)WhatIsAssignment?HowAreOptionsValued?Intrinsicvs.ExtrinsicValue期權(quán)基本原素

什么是期權(quán)

如何交易期權(quán)？

為什么交易期權(quán)？

期權(quán)認購方的權(quán)益？

期權(quán)認沽方的責任？

什么是期權(quán)執(zhí)行價？

價內(nèi)期權(quán),價外期權(quán),平價期權(quán)

如何執(zhí)行期權(quán)權(quán)益？

期權(quán)是如何定價的？

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4.69OnlySource/FootnotesbelowthislineWhatAreOptions?什么是期權(quán)？－BindingContractsThatTradeOnAnUnderlyingAsset是一個針對有標價的，可以交易商品或資產(chǎn)的合同－OptionsAreBoughtandSoldinPublicMarkets

這類合同在公開市場有標價出售，可以買，可以賣Stockoptions,股票權(quán)證futuresoptions,期貨期權(quán)indexoptions,股指期權(quán)ETFs集合基金期權(quán)－OptionsComeWithCertainObligations&RightsRightstobuy&obligationtosellunderlyingstockorfutures

履行期權(quán)合同協(xié)議確定的價格標的權(quán)益和責任－Optionscreatedoutofthinair期權(quán)不是個實體－Zerosumprofitandloss,foreverydollarmade,someonehastoloseonedollar期權(quán)為零總數(shù)，有買家和賣家，有贏家就有輸家，8ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineAprilHousingPriceExample

四月房價舉例Need6monthstogetdownpayment需要六個月才拿得出定金GiveyoutherighttobuythehouseinOctoberfor$200K

權(quán)益合同允許你在十月分（6個月后）付相同的價格($200K)買這個房子Options

Contract

期權(quán)合同$5000premium5千美金inApril,2012該房價20萬美金9ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineRealWorldExampleOctober十月房價情況分析PurchasePrice賣價:

$200,000OptionPrice:

期權(quán)價

$5,000TotalCost:總計

$205,000HouseValue現(xiàn)價:

$300,000TotalCost:總計

$205,000TotalEquity(Profit)

$95,000盈利Exerciseourrighttobuythehouse，行使權(quán)益購買房子差價減去支付費用Donotwanttoexerciseouroptiontobuythehouse不會行使權(quán)益但可以用買價十五萬購買房子您損失5千元Notsoobvioushere,theoptionisacoinflip買主損失5千元賣主獲取5千元PurchasePrice: $200,000OptionPrice: $5,000TotalCost: $205,000HouseValue: $200,000TotalCost: $205,000TotalEquity(Profit) -$5,000PurchasePrice: $200,000OptionPrice: $5,000TotalCost: $205,000HouseValue: $150,000TotalCost: $205,000TotalEquity(Profit)-$55,00010ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineHowAreOptionsTraded?期權(quán)是如何買賣的？OptionsTradingisSimilartoStockorFuturesQuotedlikestocksorfutureswithbid-askpricesMosttradedelectronicallybyretailtradersPremiumispricepaid(buying)orreceived(selling)Typicallybuyerspaytheaskpriceandsellersreceivethebidprice

期權(quán)交易與股票或期權(quán)相似報價與股票或期貨一樣買方出價和賣方報價現(xiàn)代交易方式絕大部分為電子交易溢價為買方付出的價和賣方獲取的價買方付出賣方的價（ask),賣方獲取買方的出價（bid)Options

Contract

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4.69OnlySource/FootnotesbelowthislineRealworldexample2舉例XYZistrading$94ashareWebuyanXYZNov100callinSeptemberandpay$2.00ashareforthisoptionOuroptionexpiresin45daysTheCallgivesustherightbutnottheobligationinNovembertobuyXYZfor$100NovemberScenarioScenario1:XYZgoesto$120ashareScenario2:XYZgoesto$80ashareScenario3:XYZstaysat$100ashareXYZ股票或期貨價位$94，在9月分時我們認購1個合同XYZ,11月看漲期權(quán)出價$2美元－這個期權(quán)在45天后過期－給我們的權(quán)利（沒有責任和義務）在11月以$100美元買XYZ實際情況在11月時的分析：1.XYZ漲價到$120美元2.XYZ跌價到$80美元3.XYZ停留在$100美元12ArxAssetManagement,LLCCopyright2012,AllrightsreservedScenario1Analysis實際情況1分析XYZgoesto120BuyXYZfor

$100.00CostofOption

$2.00TotalPurchasePrice

$102.00SellXYZ@

$120.00BuyXYZfor

$102.00TotalProfit

$18.00ObviousExercise行使權(quán)益購買XYZ漲價到$120買XYZ $100.00期權(quán)溢價 $2.00總費用 $102.00賣掉XYZ@ $120.00買XYZfor $102.00總利潤 $18.0013ArxAssetManagement,LLCCopyright2012,AllrightsreservedScenario2Analysis實際情況2分析XYZgoesto$80BuyXYZfor

$100.00CostofOption$2.00TotalPurchasePrice$102.00SellXYZ@

$80.00BuyXYZfor

$102.00TotalLoss

$22.00Donotwanttoexerciseouroption絕對不行使權(quán)益XYZ跌價到$80買XYZ花費 $100.00期權(quán)溢價 $2.00總花費 $102.00賣掉XYZ@ $80.00買XYZ花費 $102.00總損失 $22.00Donotexercisetheoption,weareabletobuyXYZat$80,youloseonly$2,priceoftheoptionYouonlylose$2.00不行使權(quán)益購買$100元XYZ你可以買$80XYZ。你只損失$2美元期權(quán)溢價費用14ArxAssetManagement,LLCCopyright2012,AllrightsreservedScenario3Analysis實際情況3分析XYZstaysat$100BuyXYZfor

$100.00CostofOption

$2.00TotalPurchasePrice

$102.00SellXYZ@$100.00BuyXYZfor

$102.00TotalLoss

$2.00Itisthecoinflipsituation.行使權(quán)益買或不買都是損失$2美元Exerciseofnot,youloseonly$2,XYZ停留在$100BuyXYZfor $100.00CostofOption $2.00TotalPurchasePrice $102.00SellXYZ@$100.00BuyXYZfor $102.00TotalLoss $2.0015ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineWhatRightsDoOptionsBuyersAcquire?

期權(quán)買者獲取什么權(quán)益？CallOptionsGivesthebuyertherightto

buystockorfuturesataspecifiedprice(strikeprice)Therighttobuystockorfuturesislimitedtothelifeoftheoptioncontract(expiration)PutOptionsGivesthebuyertherightto

sellstockorfuturesataspecifiedprice(strikeprice)Therighttosellstockorfuturesislimitedtothelifeoftheoptioncontract(expiration)看漲期權(quán)期權(quán)合同認購方有權(quán)利在特定價格（執(zhí)行價）購買標的股票或期貨認購方購買股票或期貨期限被限定在期權(quán)過期之前

看跌期權(quán)認購方有權(quán)利在特定價格看跌標的股票或期貨認購方看跌股票或期貨期限被限定在期權(quán)過期之前16BuyCallScenario認購范例17BuyPutScenario認沽范例18ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineWhatObligationsDoOptionsSellersFace?期權(quán)做空者面對什么責任？CallOptionsSellermustsellstockorfuturesataspecifiedprice(strikeprice)ifassigned.Obligationremainsforthelifeoftheoptioncontract.

PutOptionsSellermustbuystockorfuturesataspecifiedprice(strikeprice)ifassigned.Obligationremainsforthelifeoftheoptioncontract.看漲期權(quán)如果認購方?jīng)Q定認購看漲期權(quán)，賣主必須以執(zhí)行價格出售期貨或期權(quán)這項責任在期權(quán)過期前有效

看跌期權(quán)如果買方?jīng)Q定認購看跌期權(quán)，做空方必須按執(zhí)行價買回股票或期貨這項義務在期權(quán)過期前有效19OnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineSellaCall認沽看漲期權(quán)20SellaPut認沽看跌期權(quán)21ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineWhatIsAssignment?期權(quán)到期分配？CallOptionsCalloptionsellersmustsellstockorfuturesataspecifiedprice(strikeprice)whenassigned.Example:Ifstrikepriceis$100,andstockpriceis$105,mustsellstockat$100.

PutOptionsPutoptionsellermustbuystockorfuturesataspecifiedprice(strikeprice)whenassigned.Example:Ifstrikepriceis$100,andstockpriceis$95,mustbuystockat$100.看漲期權(quán)執(zhí)行期權(quán)權(quán)益時，看漲期權(quán)認沽方必須以執(zhí)行價看（Strike)跌股票或期貨例如：協(xié)議價為100元，股票現(xiàn)價為105元，則必須以100元看跌價賣出

看跌期權(quán)執(zhí)行期權(quán)權(quán)益時，看跌期權(quán)認沽方必須以執(zhí)行價看（Strike)看漲股票或期貨例如：協(xié)議價為100元，股票現(xiàn)價為95元，則必須以100元看漲股票

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4.69OnlySource/FootnotesbelowthislineWhyTradeOptions(1)?為什么交易期權(quán)？Speculation:Usingoptionstobenefitonpricemovements市場投機者盈利機會利用期權(quán)通過價格漲和跌來盈利Hedging（protection):Insurancepolicy(preservationofassets)對沖（保護）期權(quán)作為保險合同（財產(chǎn)保護）23ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineWhyTradeOptions(2)?為什么交易期權(quán)？Leverage(Buyers)CancontroltheUnderlyingWithMuchLessCapitalCalls(LongFutures)Puts(ShortFutures)LimitedRisk(Buyers)CanDefineandLimitRiskRiskislimitedtothepricepaidforoption(premium)利用杠桿（認購方）利用杠桿對于買方來說可以利用少量資金控制期貨看漲期權(quán)合約替代看漲期貨看跌期權(quán)合約替代看跌期貨

控制風險（認購方）可以量化和限制風險風險可以被限制在付出的溢價范圍內(nèi)

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4.69OnlySource/FootnotesbelowthislineWhyTradeOptions(3)?為什么交易期權(quán)？UnlimitedProfitPotential(CallBuyers)LimitedRiskwithUnlimitedProfitPotentialCalls:Unlimitedupsidepotential(nolimitonpricerise)Profitatexpiration(Ifinthemoney)=

Pricepaidforoption(ex.$500)*

-Amountinthemoney(ex.$1,500)

=+$1,000($1,500-$500)=200%Profit

無上限的獲利可能性（認購看漲期權(quán)）可控風險和無限的獲利可能性看漲期權(quán):無上限獲利可能性的原因在于價格提升沒有上限期權(quán)合約過期前的價格(價內(nèi)期權(quán))

看漲期權(quán)合約價格(ex.$500)*

-價內(nèi)價差(ex.$1,500)

=+$1,000($1,500-$500)+200%

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4.69OnlySource/FootnotesbelowthislineWhyTradeOptions(4)?為什么交易期權(quán)？UnlimitedProfitPotential(PutBuyers)LimitedRiskwithUnlimitedProfitPotentialPuts:Unlimiteddownsidepotential(nolimitonpricedecline)Profitatexpiration(Ifinthemoney)=

Pricepaidforoption(ex.$500)*

-Amountinthemoney(ex.$1,500)

=+$1,000($1,500-$500)=200%Profit

無上限的獲利可能性（認購看跌期權(quán)）可控風險和無限的獲利可能性看跌期權(quán):無上限獲利可能性（價格下降沒有下限）期權(quán)合約過期前的價格(價內(nèi)期權(quán))

看漲期權(quán)合約價格(ex.$500)*

-價內(nèi)價差(ex.$1,500)

=+$1,000($1,500-$500)+200%

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4.69OnlySource/FootnotesbelowthislineWhyTradeOptions?為什么交易期權(quán)？增加收入減小風險減少資本和保證金保護已或利潤分散持有股份分散控制涉及市場范圍跟蹤買入或賣出標的價IncreaseIncomeReduceRiskReduceCostandMarginProtectProfitDiversifyHoldingsCustomizeMarketExposureTargetBuyorSellPrices期權(quán)作為商品的保險工具的潛在好處

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4.69OnlySource/FootnotesbelowthislineWhatisThe'Strike'Price？

什么期權(quán)執(zhí)行價？StrikePricePriceSpecifiedByOptionsContractAlsoknownasexercisepricePriceatwhichoptionsbuyerscansell(puts)futuresPriceatwhichoptionsbuyerscanbuy(calls)futures

期權(quán)執(zhí)行價期權(quán)合同指定價格也稱執(zhí)行價看跌期權(quán)執(zhí)行價為期權(quán)買主可以賣的價格看漲期權(quán)執(zhí)行價為期權(quán)買主可以買的價格questionforJay:howthesestrikepriceswereissuedanddetermined28ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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期權(quán)價格是如何確定的？ValuationDependsonTwoVariablesExtrinsicValueAmountthevalueisoutofthemoneyTimevalueImpliedvolatilityInstrinicValueAmountthevalueisinthemoney

估值依靠兩個變量外部價值價外期權(quán)的數(shù)額時間價值隱含波動率內(nèi)部價值價內(nèi)期權(quán)的數(shù)額

30ArxAssetManagement,LLCCopyright2012,AllrightsreservedTimeValue時間溢價TimeValueValueArisingFromTimeRemainingonOptionMoretimevalueresultsfrommoretimeremaining Reflectsgreaterchancethatoptionwillpayoff

時間價值價值隨期權(quán)剩余時間長短而增加距離期權(quán)過期越多的時間產(chǎn)生更大的期權(quán)價值決定能夠從期權(quán)中獲利的更大機會31ArxAssetManagement,LLCCopyright2012,AllrightsreservedIntrinsicValue內(nèi)含價IntrinsicValueValueArisingFromAmountInTheMoney(ITM)Calls(Underlyingprice>strikeprice)Puts(Underlyingprice<strikeprice)

期權(quán)內(nèi)含價價值是由執(zhí)行價距離標的的價（目前市場價）差看漲期權(quán)價小于標的價看跌期權(quán)標的價小于執(zhí)行價

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4.69OnlySource/FootnotesbelowthislineArxAssetManagement,LLCCopyright2012,AllrightsreservedHowAreOptionsValued

期權(quán)價格是如何確定的？LongCallStrikePrice=1200IntrinsicValue(UnderlyingPrice>StrikePriceof1200)ProfitableZoneatExpiration(PriceIntheMoneybymorethan$600S&PE-miniExample:Buying11200CallOptionfor$12$1Dollarinoptioncost=$50inpremium33ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineArxAssetManagement,LLCCopyright2012,Allrightsreserved申明：交易期貨與期權(quán)存在風險.請用可承受風險的資產(chǎn)投入交易.期權(quán)和期貨交易不一定適用于所有人.過去成績不代表未來績效。

Thismaterialisintendedforthetrainingpurposesonly,notasolicitationofanyoffertobuyorsellanysecurityorotherfinancialinstrumentortoparticipateinanytradingstrategy.Pleaserefertoimportantinformationandqualificationsattheendofthismaterial.SlidePresentationOverviewPart2第二部分OptionsRisk/RewardMeasures(Greeks)DeltaGammaVegaTheta期權(quán)風險／回報衡量期權(quán)價格的工具（Greek)Delta寸頭／Delta寸頭值GammaVega寸頭/Vega寸頭值Theta寸頭/Theta寸頭值34ArxAssetManagement,LLCCopyright2012,AllrightsreservedDeltaRiskvs.RewardDelta風險與回報

Delta:Therateofchangeoftheoptionvaluewithrespecttochangesintheunderlyingfuturesproduct期權(quán)價值的變動率隨著標的價格的變動Percentchancethatanoptionexpiresinthemoney為衡量期權(quán)在過期時落入價內(nèi)的機會35ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69OnlySource/FootnotesbelowthislineDirectionalRisk/Reward

標的價方向變化風險/回報DeltaDeltaandLongPutsLongputoptionshavenegativedelta

Profitfromdownsidemoveoftheunderlying

DeltaandLongCallsLongcalloptionshavepositivedeltaProfitfromupsidemoveoftheunderlying

認購看漲期權(quán)－正Delta值，價格上升時盈利認購看跌期權(quán)－負Delta值，價格下降時盈利36ArxAssetManagement,LLCCopyright2012,AllrightsreservedAtthemoney(ATM)options

Deltaof.50withATMoptionsOne-pointmoveofunderlyingproducesa

half-pointchangeinanoption'sprice

OutoftheMoney(OTM)options

Deltais<.50withOTMoptionsOne-pointmoveofunderlyingproducesa

lessthanhalf-pointchangeinanoption'sprice

IntheMoney(ITM)optionsDeltais>.50withOTMoptionsOne-pointmoveofunderlyingproducesa

morethanhalf-pointchangeinanoption'sprice

平價期權(quán)Delta值為0.50,標的價變動1.00時，期權(quán)價格變動等于＝0.50價外期權(quán)Delta值小于<0.50,在標的變動1.00時，期權(quán)價格變動小于0.50內(nèi)價期權(quán)Delta值大于>0.50,在標的變動1.00時，期權(quán)價格變動大于0.50深層內(nèi)價Delta值接近1.00,在標的變動1.00時期權(quán)價格變動接近1.00－用來取代實價購買（小部分資金取代大部分資金）DeepIntheMoney(ITM)optionsDeltais>.50withOTMoptionsOne-pointmoveofunderlyingproducesa

morethanhalf-pointchangeinanoption'sprice

DirectionalRisk/Reward2

標的價方向變化風險/回報Delta237ArxAssetManagement,LLCCopyright2012,AllrightsreservedGamma風險與回報Gamma:MeasurestherateofchangeoftheDeltaoftheoptionwithrespecttochangesintheunderlyingfuturesprice衡量期權(quán)Delta每變動一點期權(quán)價值隨著標的價格的變動變動率38ArxAssetManagement,LLCCopyright2012,AllrightsreservedVegaRiskvs.RewardVega風險和回報Vega:Measurestheoptionssensitivitytovolatilityoftheunderlyingfuturescontract為衡量期權(quán)對標的的波動率的靈敏度Theriskmeasureofexposuretochangesintheimpliedvolatilityoftheunderlyingfuturescontract3839ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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4.69prototypetemplate(5428278)\screenlibrary_new_final.ppt03/15/12OnlySource/FootnotesbelowthislineBearPutStrategyandProfitPotentialTheBearPut熊市看跌LongPosition(butshortdelta)買寸頭（負Delta值）Abetonbearishmoveintheunderlying預測標的下跌Purchaseputandpaypremium買看跌期權(quán)，支付期權(quán)溢價Unlimitedprofitpotentialwithlimitedrisk無限盈利機會，有限風險

BearPutStrategyProfitScenarios熊市看跌期權(quán)技巧盈利Buyputandthensellputforhigherprice買入看跌期權(quán)，做空更高執(zhí)行價看跌期權(quán)Buylow,sellhigh買低，賣高Buyputandholdtoexpiration買看跌，持倉到過期Expiresinthemoney(bymorethanpricepaid)過期時為價內(nèi)期權(quán)（或者價外但高于您支付的費用）

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4.69prototypetemplate(5428278)\screenlibrary_new_final.ppt03/15/12OnlySource/FootnotesbelowthislineArxAssetManagement,LLCCopyright2012,AllrightsreservedVolatilityRisk/Reward波動率風險/回報VegaVegaandLongOptionsLongcall/putoptionshavepositivevegaProfitfromincreaseinimpliedvolatility(ceterisparibus)VegaandShortOptionsShortcall/putoptionshavenegativevegaProfitfromdecreaseinimpliedvolatility(ceterisparibus)

VegaandOptionsStrikes/MonthsAttheMoneyOptionsHavelargestvegarisk/rewardVegagrowswithmoretimevalue(backmonths)

波動率方向變化與Vega寸頭／Vega寸頭值認購看漲/看跌期權(quán)－正Vega值，波動率上升時盈利認沽看漲/看跌期權(quán)－負Vega值，波動率下降時盈利Vega與執(zhí)行價（strikeprice)／月期(month)的關系平價期權(quán)具有最大Vega風險和回報，Vega后月分期權(quán)Vega增長帶有高時間價值

41ArxAssetManagement,LLCCopyright2012,AllrightsreservedThetaRiskvs.RewardTheta風險和回報Theta:MeasuresthesensitivityofthevalueoftheoptionwithrespecttotimeAlsoknownas“timevalue”衡量期權(quán)對時間的靈敏度時間值4142ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

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時間溢價貶值風險/回報ThetaThetaandLongOptionsLongoptionshavenegativetheta

Positiondeteriorates