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期权知识

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  • Give Me Options - Risk Profiles of Call Options


    Overview of Markets

    US stock market lags Chinese market by one day (it is still Sunday in the US, markets are closed). US stock market stays in a correction mode. So, no news here. We do not attempt to buy stocks when the general market is in a correction, becasue our risk of being stopped out is significantly increased. For each of my position, we pre-define the risk by putting in a stop loss. But, we do not want our stop loss to be hit too frequently. If we kept trading in a corrective market, our stop losses would tend to be hit rather frequently. So, we stay mainly in cash to avoid this excessive whipsaw environment. We play defense!

    Chinese stock market goes down HUGE today, which is not unexpected after it has gone up non-stop for so much, for so long. So, Chinese stock market is now officially in a correction/consolidation. We stop buying any new stocks as the risk of being whipsawed (i.e., losing money) is significantly higher now. We wait until the storm goes by, then we start to pick the best stocks to buy. The Chinese stock market is very like the US market in the early 1900s, in that the stocks are highly correlated. They tend to go up togehter and go down together. Which makes trading the index much easier than trading the US indices, which goes back and forth, back and forth. In other words, the Chinese indices trend much better than the US indices.



    今日中国股指爆跌,沪指与深成指均大幅下挫,蓝筹股出现大面积跌停,券商、银行、保险三金融权重板块个股全部跌停,沪指创出2008年6月11日以来最大跌幅,之前最近一次为2008年6月10日,沪指跌幅为7.73%,截至收盘,沪指跌7.70%,报3116.35点,深成指跌6.61%,报10770.93点,创业板跌0.58%,报1630.06点。行业板块方面,银行、煤炭、券商、运输、保险、石油、船舶、建筑、电力、钢铁等权重板块领跌,仅互联网、医疗、文教休闲三板块上涨。

    Dr. Zhu assessment: 中国股指过去半年里不停顿地涨了很多。这次修正完全是意料之中 (即,这不是网上所说的”黑天鹅“事件)。我们认为这是牛市中正常的中期调整,大市可能会盘整几个月,然后继续向上。投资者这时应该立即调整策略:
    1. 暂时不要再买入新的股票,开新的仓位。
    2. 可考虑卖出已经亏损的股票。
    3. 只留下盈利最大的几只股票。也可考虑卖出这些股票的一部分,减少风险,然后保留其余部分,看这些股票是否继续向上走。
    4. 其实风险控制做好了,今天就是普通的一天。风险控制要天天讲,月月讲,年年讲。
    5. 控制风险的方法主要是三点:
      a, 每只股票上投入资金不超过总资金10%
      b, 收到信号后,第二天开盘即买入,从买入点,如果股票跌10%, 立马割肉止损,如果涨,抓住不放
      c, 如果连续三支股票都割肉了,下支股票投入资金减半
    6. 股市里几乎所有的正确方法都违反正常人的正常心理。我的老师之一,William O'Neil,亲口对我说过,“If you are normal, you can't make money in the stock market”. (如果你是正常人,你就别指望在股市里赚钱)。

    Hong Kong stock market: nothing new. The Hang Seng index remains in a big trading range, which is a terrible environment for our style of investment. So, we stay clear of this environment, waiting for a better day to get in.


    A股新期权时代不亚于全流通

    2015-01-19 来源:理财周报

    期权的到来,波动率这个变量变成可交易,A股配齐了投资中各个基础基因对应的交易工具,包括多、空、杠杆、收益、波动率等,A股变成四肢齐全的市场,这是一个全新的时代,它的重要意义不亚于全流通。

    2015年2月9日,上证50ETF期权将正式启航。

    股票期权与融资融券、股指期货,都是资本市场做空和做多的金融衍生品,用以增加对冲流动性。

    对冲交易靠制造市场的波动性赚钱,操作的重点不在于个股和行业,整个股票市场对其而言只是一个标的。

    期权的到来,波动率这个变量变成可交易,A股配齐了投资中各个基础基因对应的交易工具,包括多、空、杠杆、收益、波动率等,A股变成四肢齐全的市场,这是一个全新的时代,它的重要意义不亚于全流通。

    俗话说:“华尔街一头挨着河,另一头挨着坟墓。”在A股“新期权”时代到来之际,要做风险的搬运工,而不是承担风险的人。

    1月9日,证监会宣布同意上交所试点股票期权业务,批复品种为上证50ETF期权,正式上市交易日为2月9日。

    根据文件,通过交易所专项检查的15家券商分别为:中信证券(600030,)、海通证券(600837)、光大证券(601788)、广发证券(000776)、国泰君安证券、申银万国证券、国信证券(002736)、华泰证券(601688)、中信建投证券、招商证券(600999)、长江证券(000783)、东方证券、齐鲁证券、西南证券(600369)和西部证券(002673)。

    此前进行的仿真交易中有两只ETF期权合约,分别为上证50ETF期权和上证180ETF,但相对于上证180ETF,上证50ETF的规模更大,流动性更好,所以优先推出的可能性大。

    “上证50ETF具有较大的规模、较高的流动性以及高效的申赎套利机制,操纵这只ETF的难度与操纵大盘无异。对于上交所来说,在过去的几年时间里,由于蓝筹股的低迷对他们的创新业务造成了一定压力,所以他们希望和市场联系更加紧密一些,推行的动力也更大一些。推出期权之后可能对蓝筹股的交易活跃性有一个推动作用。可能从这些方面综合考虑,ETF期权率先推出了。”金元惠理方面对理财周报记者如此解释道。

    此次上证50ETF期权的受益者将是谁?

    业内人士分析,首当其冲的是券商板块。除经纪业务外,券商还可从事股票期权的做市商、自营业务,可以在衍生品基础上推出更多结构性产品,收入渠道得以拓宽,经营利润有望增厚。

    金元惠理方面也解释道,ETF期权上市可能会增加券商佣金收入。“虽然ETF期权交易佣金占比非常低(较股指期货略高),但参考先前权证交易的日换手率能达到100%,估计一段时间后期权也能达到较高的换手率,并能带给券商可观的佣金收入。”

    金元百利产品规划部总经理杨渭文认为,除了做市收益,套利收益、增强收益、波动率交易策略、杠杆复制策略、管理尾部风险以及其他期权组合策略也是会对券商带来收益的方面。“金元百利投研部门对套利策略进行了测试,我们预计股票期权刚推出时,套利收益可观。可以说如果股指期货是券商和机构武器库中的炸弹的话,那么期权就给券商和机构武器库提供了导弹。期权将大大推进券商和机构的资产管理业务的发展。”


    So, options are coming to the Chinese market, and it is a big deal. In the previous articles in this series, we introduced the history of options, the types of options (calls and puts), and how options are priced (the Nobel-Prize winning B-S model). Now, it is time to get into details on how options can be used as a strategic investment vehicle.

    Risk Profile Charts

    Do you know what buying an asset such as a stock or a future looks like? To find out, we need to learn how to draw a Risk Profile Chart. This is the cornerstone on which we build far more complex options strategies, so it’s important to understand this right now.

    Consider a stock XYZ Inc. You buy the stock for $25.

    1 The X-axis is the stock price, with the price rising as the line moves right.

    2 The Y-axis is your profit for the trade.

    3 The 45° diagonal line is your risk profile for the trade. As the price of the stock (or underlying asset) rises, so does your profit in this example. So when the asset price rises to $50, you make $25 of profit:

    Buying (Long) a stock risk profile (almost unlimited downside [i.e., you COULD lose all your money on this investment if the stock goes to zero], and unlimited upside)



    Now that you know what buying an asset looks like, we can move straight onto what shorting an asset looks like. Shorting simply means selling something that you don’t already own. Shorting is an accepted concept in some stock markets such as the USA, but is not currently allowed in some other stock markets such as the Chinese stock market, although shorting is perfectly fine when you trade Chinese futures, including its stock index futures.

    Remember that when you short you COULD lose an unlimited amount as the stock price rises (if the stock keeps going up, AND if you do not cut losses on it, i.e., instead of cutting losses short, you ride them), and your maximum profit is the shorted price. To make maximum profit from a short stock position, the stock would have to fall to zero, which is not uncommon in the stock market - it happens all the time!

    Selling short (Shorting) a stock risk profile (unlimited downside and 100% upside at best [i.e., if the stock goes to zero])



    Why Trade Options?

    The main reason for trading options is that for a smaller amount of money you can control a large amount of stock, particularly with call options. Call options are always cheaper than the underlying asset and put options usually are. Options are generally more volatile than their underlying instruments, therefore investors get “more bang for their buck” or more action. Clearly this can lead to danger, but as you’ll see, it also can lead to more safety and security. You’ll also see that it can mean much greater flexibility in your trading and even give you the ability to make profit when you don’t know the direction in which the stock will move.

    Those investors with portfolios can set up protective measures in the event of a market downturn. It is also quite possible to set up a position
    whereby you can only make profit. Perhaps not a hugely exciting profit in triple digits, but a certain profit nevertheless.

    In short, options give the investor added flexibility, potentially much greater gains for a given movement in the stock price, and protection against risk. On the flip side, used in the wrong way, options can lead people to serious losses. You will be learning safe strategies only and the simple rules governing those types of trade.

    Risk Profile Charts for Call Options

    Now, let’s look at the risk profile of a call option.

    Buying (Long) an call option risk profile (limited downside and unlimited upside)




    For every call that you buy, there is someone else on the other side of the trade. The seller of an option is called an option writer (another way of saying a person who shorted the call option). Logic and common sense tell us that the option seller’s risk profile must be different from that of the option buyer.

    Writing (Shorting) an call option risk profile (unlimited downside and limited upside)



    Conclusions:

    1. Most investment vehicles, such as stocks, bonds, ETFs, are linear instruments that are represented on a P/L graph as a straight line;
    2. Options are nonlinear instruments, represented on the P/L graph as curves;
    3. Long a call option gives you the right, but not the obligation to buy an asset at a fixed price before or on a predetermined date. Long a call gives you limited downside and unlimited upside. For this right and for the removal of the obligation (i.e., risk transfer/risk mitigation), you pay a price, which is called the premium of the call option.
    4. The Long call P/L looks like a hockey stick. This is where our company derives its name from. We desire a long call P/L profile, with limited downside, and unlimited upside.



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