Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.1

Trading Strategies Involving Options

Chapter 10

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.2

選擇權的交易原理

買方─尋找____的________，以較低的成本建立買方部位

賣方─尋找____的________，目前權利金較高者交易

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.3

策略運用

時機 策略

看大漲 ______

看大跌 ______

看不漲 ______

看不跌 ______

看大漲或大跌 ______________

看不漲也不跌 ______________

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.4

選擇權操口訣(情境版1) 資料來源：台證證券

看大漲我買call, 看大跌我買put

看不漲我賣call, 看不跌我賣put

看小漲,作個多頭價差,

看小跌,作個空頭價差,

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.5

選擇權操口訣(情境版2)

看好大漲或大跌, 買個call再買個put,

看準不漲也不跌, 賣出call再賣出put,

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.6

Three Alternative Strategies

_________Take a position in the option and the underlying(___________)Take a position in 2 or more options of the same type (A spread _________) Combination: Take a position in a mixture of calls & puts (A combination _________)

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.7

避險策略—單一選擇權 + 單一股票

Profit

ST

K

(c)

___________________________, _____買入現貨, 擔心現貨價格持續下跌被套牢, 故買入賣權避險put-call parity, c = p + S0 － Ke –rT

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.8

避險策略—單一選擇權 + 單一股票

Profit

STK

(a)

________________________, _____持有標的現貨部位, 但是擔心現貨價格短期不漲, 故賣出買權獲利put-call parity, － p = － c + S0 － Ke –rT

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.9

避險策略—單一選擇權 + 單一股票(現 貨)

____________ (Reverse protective put )____, ____放空現貨部位, 但是擔心現貨價格短期不跌, 故賣出賣權獲利

____________(Reverse covered call)____, ____賣出現貨被套牢, 擔心現貨價格持續上漲,故買入買權避險

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.10

Positions in an Option & the Underlying (Figure 10.1, page 313)

Profit

STK

Profit

ST

K

Profit

ST

K

Profit

STK

(a) (b)

(c) (d)

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.11

價差策略

同時買賣兩個不同的買權, 或是買賣兩個不同的賣權 同類型的選擇權

操作方式:1. ____, _____2. ____, _____

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.12

價差策略型態

_______—相同執行價格, 不同到期日_______—不同執行價格, 相同到期日1. _______: call, put2. _______: call, put3. _______4. ______________—不同執行價格, 不同到期日

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.13

1. Bull Spread Using Calls買權多頭價差(Bull Call Spread)

____一個執行價格低的call, ____一個執行價格較高的call (相同標的物, 相同到期日, 不同執行價格) ______________買進一個執行價格低的call 付出權利金 c1賣出一個執行價格高的call 收到權利金 c2c1 > c2 ____________________________使用時機：預期小漲至K2附近(當看好市場但又認為短期大漲不易，屬於小漲格局但又擔心會大跌時)

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.14

1. Bull Spread Using Calls (Figure 10.2, page 314)

K1 K2

Profit

ST

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.15

例題：bull call spread 資料來源：廖四郎、王昭文，期貨與選擇權

5900點時，賣出6000Call賺90點，買進5900Call賠150點 -60點6000點時，賣出6000Call賺90點，買進5900Call賠50點 +40點

圖示

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.16

例題：bull call spread(續)

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.17

2. Bull Spread Using Puts賣權多頭價差(Bull Put Spread)

____一個執行價格低的put, ____一個執行價格較高的put (相同標的物, 相同到期日, 不同執行價格) _____________買進一個執行價格低的put 付出權利金 p1賣出一個執行價格高的put 收到權利金 p2p1 < p2 __________________________使用時機：預期小漲至K2附近(與買權多頭價差相同)

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.18

2.Bull Spread Using Puts Figure 10.3, page 316

K1 K2

Profit

ST

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.19

3. Bear Spread Using Calls買權空頭價差(Bear Call Spread)

____一個執行價格低的call, ____一個執行價格較高的call (相同標的物, 相同到期日, 不同執行價格), 為買權多頭價差交易之相對人

賣出一個執行價格低的call 權利金 c1買入一個執行價格高的call 權利金 c2c1 > c2______________________

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.20

Bear Spread Using Calls Figure 10.5, page 318

K1 K2

Profit

ST

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.21

4. Bear Spread Using Puts賣權空頭價差(Bear Put Spread)

____一個執行價格低的put,___一個執行價格較高的put (相同標的物, 相同到期日, 不同執行價格), 為賣權多頭價差交易之相對人賣出一個執行價格低的put 權利金 p1買進一個執行價格高的put 權利金 p2p1 < p2_________________________

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.22

4.Bear Spread Using Puts Figure 10.4, page 317

K1 K2

Profit

ST

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.23

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.24

Box Spread(_________)

A combination of a bull call spread and a bear put spreadIf all options are European a box spread is worth the present value of the difference between the strike pricesIf they are American this is not necessarily so (see Business Snapshot 10.1)

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.25

Box Spread(盒型價差)

__________________，故性質上屬於混合部位a.買5000之二月期指call ； b.賣5100二月期指call ________合為一個買權看多價差交易（bull call spread）c.買5100之二月期指put ； d.賣5000之二月期指put

________合為一個賣權看空價差交易（bear put spread）

但是：______又可合為一個買入勒式部位(long strangle)；而______又可合為一個賣出勒式部位(short strangle)

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.26

Butterfly Spread

蝶狀價差交易為多頭價差交易 + 空頭價差交易之組合

條件: 1. _________ 2. __________ 3. __________蝶狀價差交易可以全部由買權或是賣權來組合

使用時機：買進蝴蝶價差：預期標的資產價格盤整，但又怕

大漲大跌

賣出蝴蝶價差：預期市場小漲或小跌

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.27

Example—Long Butterfly Spread

買一個3月英鎊期貨買權, 執行價格 $92買一個3月英鎊期貨買權, 執行價格 $96賣兩個3月英鎊期貨買權, 執行價格 $94

= 英鎊期貨買權多頭價差 + 英鎊期貨買權空頭價 差

T: 3月

3月

3月K: 92 94 96

+1 －2 +1

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.28

Example—Short Butterfly Spread

同上題題目

=英鎊期貨買權空頭價差 + 英鎊期貨買權多 頭價差

T: 3月

3月 3月

X: 92 94 96－1 +2 －1

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.29

買進蝶狀價差策略（以買權為例）

各買進1單位買權

K1ST

損

益

蝶狀價差策略

K3K2

賣出2單位買權

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.30

Butterfly Spread Using Calls Figure 10.6, page 320

K1 K3

Profit

STK2

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.31

買進蝶狀價差策略（以賣權為例）

K1ST

損

益

蝶狀價差策略

K3K2

賣出2單位賣權

各買進1單位賣權

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.32

Butterfly Spread Using Puts Figure 10.7, page 233

K1 K3

Profit

STK2

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.33

兀鷹價差兀鷹價差

同蝴蝶價差，主要由__________與

____________所組成，且每一組價差策略且每一組價差策略

的履約價格的履約價格____________，，兩組價差部位全部由

買權或全部由賣權來組成稱之。

買進兀鷹價差

賣出兀鷹價差

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.34

Condor spread為多頭價差交易 + 空頭價差交易條件: 1. 相同到期日, 2.相同標的物, 3.四個不同的執行價格

多頭兀鷹價差:T: 3月

3月

3月

3月

X: 92 94 96 98+1 －1 －1 +1

空頭兀鷹價差:T: 3月

3月

3月

3月

X: 92 94 96 98－ 1 +1 + 1 －1

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.35

Calendar Spread Using Calls

日曆價差, 水平價差, 時間價差條件: 1._________, 2.__________, 3.__________組合方式:賣出一個特定執行價格的買權, 同時買進一個有相同執行價格, 但到期日較晚的買權

例如: 賣出 2006/03 6500 call買進 2006/04 6500 call

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.36

Calendar Spread Using Calls Figure 10.8, page 234

Profit

STK

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.37

Calendar Spread Using Puts Figure 10.9, page 235

Profit

STK

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.38

組合交易

跨式組合與價差相同，都必須以兩個選擇權組

合而成，但不同的是價差的兩個選擇權為同種

類，只是履約價不同，而跨式組合剛好相反，

同時買賣不同種類但履約價卻相同的選擇權

型態:

1. ____________bottom straddle（多頭跨式、下跨式 ）:

______________________________________

top straddle（空頭跨式、上跨式 ）:

______________________________________

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.39

組合交易

2. __________Long strangle（買入勒式 ）：__________ ,

_______________________

Kcall > Kput

Short strangle（賣出勒式 ）： __________ ,

_______________________

Kcall > Kput

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.40

A Straddle Combination Figure 10.10, page 236

Profit

STK

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.41

Short Straddle

Index level

Payoff

Short a call + Short a put at the same strike

*max. profit: c+p*max. loss: unlimited*initial investment: credit*breakeven point: K±(c+p)

cp

K

Refresh

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.42

Bottom Strangle Figure 10.12, page 238

K1 K2

Profit

ST

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.43

Top Strangle

Payoff

Short a call + Short a put at different strikes

Index level

*max. profit: c+p*max. loss: unlimited*initial investment: credit*breakeven point: K1-(c+p) & K2+(c+p)

cp

K1 K2

Refresh

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.44

Strip 偏空跨式

_______________________相同的執行價格, 相同到期日時機: 預期股價有重大變動, ________________________________

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.45

Strap 偏多跨式

_________________________相同的執行價格, 相同到期日時機: 預期股價有重大變動, ________________________________

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.46

Strip & Strap Figure 10.11, page 237

Profit

K ST

Profit

K ST

Strip Strap

Fundamentals of Futures and Options Markets, 5th Edition, Copyright © John C. Hull 2004 10.47

Trading Strategies Involving Options選擇權的交易原理策略運用選擇權操口訣(情境版1)�資料來源：台證證券選擇權操口訣(情境版2)Three Alternative Strategies避險策略—單一選擇權 + 單一股票避險策略—單一選擇權 + 單一股票避險策略—單一選擇權 + 單一股票(現貨)Positions in an Option & the Underlying (Figure 10.1, page 313)價差策略價差策略型態Bull Spread Using Calls�買權多頭價差(Bull Call Spread)1. Bull Spread Using Calls�(Figure 10.2, page 314)例題：bull call spread�資料來源：廖四郎、王昭文，期貨與選擇權例題：bull call spread(續)2. Bull Spread Using Puts�賣權多頭價差(Bull Put Spread)2.Bull Spread Using Puts�Figure 10.3, page 3163. Bear Spread Using Calls�買權空頭價差(Bear Call Spread) Bear Spread Using Calls�Figure 10.5, page 3184. Bear Spread Using Puts�賣權空頭價差(Bear Put Spread)4.Bear Spread Using Puts�Figure 10.4, page 317�Box Spread(_________)Box Spread(盒型價差)Butterfly SpreadExample—Long Butterfly SpreadExample—Short Butterfly Spread買進蝶狀價差策略（以買權為例）Butterfly Spread Using Calls�Figure 10.6, page 320買進蝶狀價差策略（以賣權為例）Butterfly Spread Using Puts�Figure 10.7, page 233兀鷹價差Condor spreadCalendar Spread Using CallsCalendar Spread Using Calls�Figure 10.8, page 234Calendar Spread Using Puts�Figure 10.9, page 235組合交易組合交易A Straddle Combination�Figure 10.10, page 236Short Straddle　Bottom Strangle �Figure 10.12, page 238Top StrangleStrip 偏空跨式Strap 偏多跨式Strip & Strap�Figure 10.11, page 237投影片編號 47