第二章 選擇權交易策略介紹 - nccur.lib.nccu.edu.tw

1 11 Option Strike Price Exercise Price) (Underlying) Option (Buyer) ( premium) (Seller Writer) (Expiration Date) ( Strike Price Exercise Price) (Underlying) (Call) (Put) (Long) (Short) Long Call (Short Call) 12 (Long Put) (Short Put) (1) (2) (Exotic Option ) 2001 12 24 13 A ( ) (In-the-Money) (1)

2 ( ) (2) ( ) (At-the-Money) ( ) ( ) (Out-the-Money) (1) ( ) (2) ( ) (Intrinsic Value) (Time Value) ( ) 14 Greeks ( ) Delta Delta 0 Delta 0 Delta Delta 1 ( ) Gamma Delta Delta Gamma Gamma Gamma ( )

3 Ve g a Ve g a 15 Gamma Ve g a Ve g a ( ) Rho Rho Rho Rho ( ) Theta (Wasting Asset) Theta Theta Theta Theta 2-2-1 16 17 (Short Straddle) (Short Strangle)

4 (Naked Position ) (Spread Position) (Combination Position) (Hedge Position) (Synthetic Position) 18 (Naked Position) 19 ( ) (Long Call) (1) A (2) (3) Delta Delta Delta Gamma Gamma Gamma Theta Theta Ve g a Ve g a 2-3-1 20 (4) C A+C 2-3-1 21 ( ) (Short Call) + (1) A (2) (3) Delta Delta Delta -1 Gamma Gamma Gamma Theta Theta Ve g a Ve g a 2-3-2 22(4) C A+C 2-3-2 23 ( ) (Long Put)

5 (1) A (2) (3) Delta Delta Delta -1 Gamma Gamma Gamma Theta Theta Ve g a Ve g a 2-3-3 24(4) A P P A P 2-3-3 25 ( ) (Short Put) (1) A (2) (3) Delta Delta Delta 1 Gamma Gamma Gamma Theta Theta Ve g a Ve g a 2-3-4 26(4) P A P A P 2-3-4 27 (Spread Position) (Horizontal Spread) (Calendar Spread) (Vertical Spread) (Price Spread) 28 ( ) (Long Call Spread) (1) A B (2) (3)

6 Delta Delta A B Delta 0 Gamma A Gamma B Gamma Gamma Theta A Theta B Theta Theta Ve g a A Ve g a B Ve g a Ve g a 2-3-5 29 (4) (B-A)-(CA+CB) (CA-CB) A+(CA-CB) 2-3-5 30 ( ) (Short Call Spread) call - call (1) B A (2) (3) Delta Delta A B Delta 0 Gamma A Gamma B Gamma Gamma Theta A Theta B Theta Theta Ve g a A Ve g a B Ve g a Ve g a 2-3-6 31 (4) (CA-CB) (B-A)-(CA+CB) A+(CA-CB) 2-3-6 32 ( ) (Long Put Spread) (1) A B (2) (3)

7 Delta Delta A B Delta 0 Gamma A Gamma B Gamma Gamma Theta A Theta B Theta Theta Ve g a A Ve g a B Ve g a Ve g a 2-3-7 33 (4) (PB PA) (B-A)- (PB PA) B-(PB PA) 2-3-7 34 ( ) (Short Put Spread) put - put (1) B A (2) (3) Delta Delta A B Delta 0 Gamma A Gamma B Gamma Gamma Theta A Theta B Theta Theta Ve g a A Ve g a B Ve g a Ve g a 2-3-8 35 (4) (B-A)- (PB PA) (PB PA) B-(PB PA) 2-3-8 36 ( ) (Long Butterfly) (1) + (2) (3)

8 Delta B Delta A Delta C Delta Gamma Gamma B Gamma A C Gamma Theta A C Theta Ve g a A C Ve g a 2-3-9 37(4) - - 2-3-9 38 ( ) (Short Butterfly) (1) + (2) (3) Delta B Delta A Delta C Delta Gamma Gamma B Gamma A C Gamma Theta A C Theta Ve g a A C Ve g a 2-3-10 39(4) - + - 2-3-10 40 ( ) (Long Condor) (1) + (2) (3)

9 Delta B C Delta A Delta D Delta Gamma Gamma B C Gamma A D Gamma Theta A D Theta B C Theta Ve g a A D Ve g a 2-3-11 41 (4) + - - + 2-3-11 42 ( ) (Short Condor) (1) + (2) (3) Delta B C Delta A Delta D Delta Gamma Gamma B C Gamma A D Gamma Theta A D Theta B C Theta Ve g a A D Ve g a 2-3-12 43(4) - + + 2-3-12 44