期货期权

什么是期权？它由哪些要素构成？

什么是期权？它由哪些要素构成？　

　　期权分买入期权和卖出期权。买入期权是指它给予期权的持有者在给定时间或在此时间以前的任一时刻按规定的价格买入一定数量某种资产或期货合约的权利的一种法律合同。卖出期权给予其持有者在给定时间或在此时间以前的任一时刻，按规定的价格卖出一定数量某种资产或期货合约的权利。期权的持有者拥有该项期权规定的权利，他可以实施该权利，也可以放弃该权利，期权的出卖者则
只负有期权合约规定的义务。
　　期权的要素包括，1、敲定价，即敲定价格，期权合同规定的购入或售出某种资产的价格；2．到期日，期权合同规定的期权的最后有效日期为期权的到期日，3．标的资产，期权合同规定的双方买入或卖出的资产为期权的标的资产；4．权利金，买卖双方购买或出售期权的价格称为权利金或期权的价格。

简述期权交易的发展历程

简述期权交易的发展历程　

　　在美国，期权交易始于十八世纪后期，但由于制度不健全，加上其它因素的影响，期权交易的发展一直受到抑制。直到1973年，芝加哥期权交易所正式成立，进行统一化和标准化的期权合约的买卖，期权交易才开始走向繁荣。芝加哥期权交易所先后推出了股票的看涨（买入）期权和看跌（卖出）期权都取得了成功。之后，美国商品期货交易委员会放松了对期权交易的限制，有意识地推出商品期权交易和金融期权交易。1983年1月，芝加哥商业交易所提出了S&P 500股票指数期权，纽约期货交易所也推出了纽约股票交易所股票指数期货期权交易，随着股票指数期货期权交易的成功，各交易所将期权交易迅速扩展至其它金融期货上。目前，外汇期货期权交易主要集中在国际货币市场；短期利率期货期权交易集中在芝加哥商业交易所，中长期利率期货期权交易集中在芝加哥商品交易所。

期权交易有什么功能？

期权交易有什么功能？

　　期权交易不论采用哪一种具体方式，都存在买方和卖方。对于期权的买方而言，其特点是收益不确定，损失确定，即期权的购买者最大的损失不超过权利金。对于期权的卖方而言，收益确定，损失不确定，其最大收益为权利金。期权交易主要有保值功能和投机功能。
　　保值者买入看涨期权，意味着他预测该项金融资产将有可能上涨，但如果他实际买入该项资产，则又要承受预测失败，金融资产价格下跌的风险。在支付期权金，取得看涨期权后，如果价格走势确如所料，他就执行期权，以事先确定的较低的价格买入该项金融资产获取收益；如果价格下跌，他就放弃执行期权，损失了权利金，但避免了更大的金融资产价格下跌的风险。国此，期权具有保值功能。
　　投资者预测某项金融资产在近期将下跌，他就可以出售看跌期权，赚取权利金。如果价格走势确如所料，在期权到期日，该期权的买方将不得不放弃执行该期权，从而使该投资者最终赚取权利金。如果价格上扬，期权的买方就会执行期权，则该期权的卖方就必须承担预测失败带来的损失。这项交易体现了期权的投机功能。
　　期权的投机功能和保值功能是相辅相成、互为基础的。

期权交易的风险与收益关系和期货交易的风险与收益关系有什么

期权交易的风险与收益关系和期货交易的风险与收益关系有什么

　　对于期货交易者而言，他在建立了期货交易头寸后，如果期货市场价格上升，那么多头持有者就去赚钱，空头持有者就会赔钱；如果期货市场价格下跌，多头就会赔钱，而空头就会赚钱。因此，在期货交易中，风险与收益是同时并存于交易双方，而且，双方的收益和损失是对等的。因此，这是一场零和竞赛，交易双方面临的潜在收益和
潜在风险是无限的。
　　与期货交易不同，期权交易的双方在达成交易后，风险与收益并非对称存在，一方有限，一方无限。例如，投资者预测某项金融资产的价值将上升，但为了避免预测失败，他买入看涨期权。如果价格走势确如所料，他就会执行看涨期权。而且，价格越高，潜在收益就越大。因此，在期权有效期内，潜在收益是无限的，但如果价格下跌，投资者可以放弃执行该期权，无论价格如何下跌，他最大的损失只是付出的权利金。因此，该投资者承担的风险是有限的。对于该期权的卖方而言，他所能获取的潜在收益是有限的，最大收益是权利金，而承担的风险是无限的，无论价格涨到什么程度，只要买方依照期权合约的规定要求执行，卖方就要以事先约定的敲定价格相应地建立与买方相对应的空头交易头寸。

什么是期权价格？影响期权价格的因素有哪些？

什么是期权价格？影响期权价格的因素有哪些？

　　期权价格，即权利金，指的是期权买卖双方在达成期权交易时，由买方向卖方支付的购买该项期权的金额。期权价格通常是期权交易双方在交易所内通过竞价方式达成的。在同一品种的期权交易行市表中表现为不同的敲定价格对应不同的期权价格。影响期权价格的因素主要有五个：（l）期货价格。期货价格指的是期权合约所涉及的期货价格。在期权敲定价格一定的条件下，期权价格的高低很大程度上由期货价格决定。（2）敲定价格。对于看涨期权，敲定价格越低，则期权被执行的可能性越大，期权价格越高，反之，期权价格越低，但不可能为负值。而对于看跌期权，敲定价格越高，则期权被执行的可能性越大，期权价格也越高。（3）期权到期时间。到期时间越长，则无论是空头期权还是多头期权，执行的可能性越大，期权价格就越高，期权的时间价值就越大；反之，执行的可能性就越小，期权的时间价值就越小，（4）期货价格的波动性。无论是多头期权还是空头期权，期货价格的波动性越大，则执行的可能性就越大，期权价格也越高，反之，期权价格就越低，（5）市场短期利率。对于多头期权，利率越高，期权被执行的可能性也越大，期权价格也越高，反之，短期利率越低，期权价格也相对下降。

什么是期权的内涵价值和时间价值

什么是期权的内涵价值和时间价值？　

　　期权的内涵价值，指的是期权价格中反映期权敲定价格与现行期货价格之间的关系的那部分价值。就多头期权而言，其内涵价值是该现行期货价格高出期权敲定价格的那部分价值。如果期货价格低于或等于敲定价格，这时期权的内涵价值就为零，但不可能为负值；就空头期权而言，其内涵价值是该现行期货价格低于期权的敲定价格的那部分值。如果期货价格高于或等于敲定价格，这时，期权的内涵价值为零。空头期权的内涵价值同样不能为负值。期权的时间价值指的是期权的时间价值。例如，一笔多头期权的期权价格为9，敲定价格为78，当时的期货价格为75，那么，该笔期权的内涵价值为3，即78—75，而时间价值为6，即9—3。期权的时间价值既反映了期权交易期内的时间风险，也反映了市场价格变动程度的风险。在期权的有效期内，期权的时间价值的变化是一个从大到小、从有到无的过程．一般而言，期权的时间价值与期权有效期的时间长短成正比。

期货交易与期权交易的功能有什么区别？

期货交易与期权交易的功能有什么区别？　

　　期权交易与期货交易都有保值和投机的功能，但是，这两种功能发挥的程度由于受到各种因素的影响，在具体表现上有相当显著的差异。第一，杠杆作用程度不一样．所谓杠杆作用是指收益或亏损占投入资金的比率。购买期权合约的最高资金投入量是权利金，而在期货交易中，相同的收益所支付的投资多于期权交易的投资。因此，期权交易的杠杆作用大于期权交易的杠杆作用；第二，损失限定不一样。如果预期的价格走势出现相反的变化，期权投资的购买者最大的损失限定在期权支出上，而期货交易的头寸投资面临的直接损失远远大于权利金损失。

什么是外汇期权？如何阅读外汇期权行情表？

什么是外汇期权？如何阅读外汇期权行情表？

　　外汇期权是指根据合约条件，购买期权的一方在一定期限内，以协定汇率购买或出售一定数量外汇的选择权。场外外汇期权在70年代初已产生，而场内外汇期权交易则产生于1982年12月。参加外汇期权交易的主要有跨国公司、银行、进出口商等。外汇期权具有保值和投机的双重功能。下表为外汇期权交易的行情表。
Currency Options
Philadelphia Exchange
Option Strike
Underlying Price Calls-Last Puts-last
Mar June Sep 　 Mar June Sep
12500 British Pounds~cents per unit
B Pound 105 r r r 　 0．50 2．20 r
109．71 ．110 1．2 2．5 3．95 2．4 s r
109．71 ．115 ．31 1．10 1．80 6．00 7．40 r

　　Option Underlying表示交易对象为何种币种, 表中为英镑; strike Price为期权的协议价格； call—Last和 Put—Last分别表示看涨期权及其期权金和看跌期权及其权利金。左侧第一栏表示英镑当日以美元标价的收市价，即每100英镑109．71美元；第二栏表示英镑期权合约的敲定价格，分别为105，110，115。接下来是各月份的权利金，r 表示没有交易。例如，敲定价格为115，到期为六月的看涨期权的期权金为1．10，看跌期权的权利金为7．40。

什么是利率期货期权？

什么是利率期货期权？　

　　利率期货期权是在利率期货合约的基础上产生的。同其它期权一样，期权购买者要给期权出售者一笔期权金，以取得在未来某个时间或该时间以前，以某种价格水平（利率）买进或卖出某项利率商品的权利。影响利率期货期权价格的主要因素有：敲定利率同现行利率之间的差额，期权合约到期日，某一对照利率的易变性，也就是参照利率在期权合约未到期期间的有关变动情况。利率期权按运用可分为两大类：第一，交易最频繁的利率期货合约的期权；第二，银行同业市场之间提供的三种特殊期权：帽子期权、地面期权和领子期权。

什么是股票指数期权？

什么是股票指数期权？　

　　股票指数期权是在股票指数期货合约的基础上产生的。期权购买者付给期权的出售方一笔期权费，以取得在未来某个时间或该时间之前，以某种价格水平，即股指水平买进或卖出某种股票指数合约的选择权。第一份普通股指期权合约于1983年3月在芝加哥期权交易所出现。该期权的标的物是标准·普尔100种股票指数。随后，美国证券交易所和纽约证券交易所迅速引进了指数期权交易。指数期权以普通股股价指数作为标的，其价值决定于作为标的的股价指数的价值及其变化。股指期权必须用现金交割。清算的现金额度等于指数现值与敲定价格之差与该期权的乘数之积。

CBOT期权交易规则

CBOT期权交易规则　

3101
31章
Ch 31交易规则………………………………………………3102
3101.00 权限………………………………………………3102
3101.01 规则的实施………………………………………3102
3102.01 小麦看跌期权的定义……………………………3102
3102.02 小麦看涨期权的定义……………………………3102
3103.01 交易单位…………………………………………3102
3104.01 敲定价格…………………………………………3102
3105.01 期权权利金的支付………………………………3103
3106.01 期权权利金的定价………………………………3103
3107.01 期权的履约………………………………………3103
3107.02 自动履约…………………………………………3103
3108.01 期权到期…………………………………………3103
3109.01 交易月份…………………………………………3103
3110.01 交易时间…………………………………………3104
3111.01 关寸限制…………………………………………3104
3112.01 保证金需求………………………………………3104
3113.01 最后交易日………………………………………3104
3114.01 期权权利金波动限制…………………………3104.3102

31章
ch 交易规则
3101.0 权限——（见规则2801.00）
3101.0 规则的实施——进行小麦期货合约看跌与看涨期权的交易必须遵守协会的总则，必须遵守本章专门为进行小麦期货合约看跌与看涨期权交易而制定的规则（见规则490.00）.
3102.01 小麦期货看跌期权——小麦期货看跌期权的买方可以在到期日之前的任何时候履行期权合约（依照规则3107.01），以期权购买时确定的敲定价格承担某一具体合约月份小麦期货合约的空头部位。一旦看跌期权的买方履约，小麦期货看跌期权的卖方有义务以卖出期权时确定的敲定价格承担某一具体合约月份小麦期货合约的多头部位。
3102.02 小麦期货看涨期权——小麦期货看涨期权的买方可以在到期日之前的任何时候履行期权合约（依照规则3107.01），以期权购买时确定的敲定价格承担某一合约月份小麦期货合约的多头部位。一旦看涨期权的买方履约，小麦期货看涨期权的卖方有义务以卖出期权时确定的敲定价格承担某一具体合约月份小麦期货合约的空头部位。
3103.01 交易单位——一手芝加哥期货交易所某一具体合约月份小麦期货合约5000蒲式耳。
3104.01 敲定价格——看跌和看涨期权将以小麦期货合约每蒲式耳5美分的整倍数（也就是3.70，3.75，3.80等等），以小麦期货合约每蒲式耳10美分的整倍数（也就是3.70，3.80，3.90等等），以小麦期货合约每蒲式耳20美分的整倍数（也就是4.00，4.20，4.40等等）的敲定价格进行交易如下：
1.a. 在期权合约交易开始时，将以10美分的整倍数列出以下敲定价格：最接近相关小麦期货合约前一天结算价的敲定价格，以及高于此敲定价格的5个连续的敲定价格和低于此敲定价格的5个连续的敲定价格。如果前一天的结算价位于两个敲定价格之间，最接近的价格应是两者中较大的一个。（最初的一组）
b. 在期权合约开始交易时，将以20美分的整数列出以下敲定价格：高于最初的一组列出的敲定价格的4个连续的敲定价格。
c. 随着时间的推移，将以10美分的整倍数增加敲定价格，因为有必要确保列出相关期货合约前一天交易幅度的55美分以内的所有敲定价格。（最小的一组）
d. 随着时间的推移，将以20美分的整数增加敲定价格，因为有必要确保列出高于最小的一组的4个连续的敲定价格。
e. 期权到期合约月份将不通过以上这些步骤增加新的敲定价格。
2.a 开始进行不是小麦期货合约月份，而是期权合约月份的交易时，对于标准的期权月份，在第二个延期月份的营业日，将以5美分的整倍数列出以下敲定价格：最接近相关小麦期货合约前一天结算价的敲定价格，以及高于此敲定价格的5个连续的敲定价格和低于此敲定价格的5个连续的敲定价格。例如，将在6月26日给2000年9月合约加上5美分间隔敲定价格，6月26日是七月合约到期后的那个营业日。
3103
合约月份
b. 随着时间的推移，将增加新的5美分间隔的敲定价格以确保至少存在5个敲定价格高于或低于相关期货前一天交易幅度。
3.a 以20美分的整倍数列出连续两个营业日看跌或看涨期权的前一天的Delta系数（由交易所决定）是0.10或更大的所有敲定价格。然而，不可以通过这个步骤给期权月份增加新的敲定价格，除非那个合约月份有空盘量。
b. 在期权到期月份，以10美分的整倍数列出连续两个营业日看跌或看涨期权的前一天的Delta系数（由交易所决定）是0.10或更大的所有敲定价格。
4．在第二个营业日交易开始前，列出所有的敲定价格。根据市场状况，在交易所认为需要的时候，可以修改所采用的敲定价格的步骤。
3105.01 期权权利金的支付——在购买期权时，或在期权购买之后的一个合理时间内，每一结算会员必须全额支付期权权利金，每一期权客户必须支付全额权利金给佣金商。
3106.01 期权权利金的定价——小麦期货期权权利金应是一手5000蒲式耳小麦期货合约每蒲式耳1/8美分的倍数，一手合计＄6.25。然而，当交易双方将结束交易时，每手期权合约的期权权利金可以以＄1.00的变动价位增加，从＄1.00至＄6.00。
3107.01 小麦期货期权的买方可以在到期日之前的任何一个营业日下午6∶00点以前通知结算公司履约，或理事会指定的最后交易日的其他时间，尽管如此，但下面几种情况买方可以在到期日上午10∶00点以前履约：
Ⅰ）真诚地改错；
Ⅱ）由于与交易所期权交易不一致而采取合适的行为；
Ⅲ）客户未能将履约指令通知到会员公司或会员公司在最后交易日下午6∶00点以前没有收到此类指令等特殊情况。
3107.02 自动履约——虽然规则3107.01条款规定，在最后交易日结束后，所有的实值期权自动履约，除非通知结算公司取消自动履约。
在最后交易日下午6∶00点以前通知结算公司取消自动履约，或理事会指定的最后交易日的其他时间，但可以在下面几种情况在到期日上午10∶00点以前通知结算公司：
Ⅰ）真诚地改错；
Ⅱ）由于与交易所期权交易不一致而采取合适的行为；
Ⅲ）客户未能将履约指令通知到会员公司或会员公司在最后交易日下午6∶00点以前没有收到此类指令等特殊情况。
3108.01 到期期权——未履约的小麦期货期权将于最后交易日后的第一个星期六上午10∶00点到期。
3109.01 交易月份——进行接近小麦期货合约月份的小麦期货期权交易。
3104
交易所可以决定上市合约月份。对于小麦期货不交易而期权交易的期权交易月份，相关的期货合约是最接近期权到期日的期货合约月份。例如，二月期权合约的相关期货合约是三月期货合约。
3110.01 交易时间——由交易所决定小麦期货合约的交易时间。在到期期权的最后交易日，期权的收市时间与相关小麦期货合约通常的白天公开喊价交易节结束时间一致，与规则1007.00第二段的条款一致。在到期期权的最后交易日，到期小麦期货期权将以交易所管理委员会控制的敲定价格结束交易。在所有其他的交易日，将同时开、闭市所有小麦期货期权合约月份和敲定价格的交易。
3111.01 头寸限制——（见规则425.01）
3112.01 保证金需求——（见规则431.05）
3113.01 最后交易日——本月到期的小麦期货期权在至少两个营业日之前的最后一个星期五相关小麦期货合约通常的白天公开喊价交易节交易结束后不能再进行交易，也就是期权合约月份之前月份的最后一个营业日，最后交易日也就是这个星期五之前的那个营业日。
3114.01 期权权利金波动限制——除了结算公司规定的在最后交易日超过小麦期货合约价幅，权利金高于和低于前一天期权结算权利鸬男÷笃诨跗谌ń灰祝谷魏纬ɡ鸩ǘ拗频慕灰住Ｔ诘谝桓鼋灰兹眨ɡ鹣拗拼涌炭嫉淖畹腿ɡ鹂肌?br> 3101
Chapter 31
Wheat Futures Options
Ch31 Trading Conditions .......................................................................................................... 3102
3101.00 Authority.......................................................................................................... 3102
3101.01 Application of Regulations.............................................................................. 3102
3102.01 Nature of Wheat Futures Put Options ........................................................... 3102
3102.02 Nature of Wheat Futures Call Options .......................................................... 3102
3103.01 Trading Unit.................................................................................................... 3102
3104.01 Striking Prices ................................................................................................ 3102
3105.01 Payment of Option Premium.......................................................................... 3103
3106.01 Option Premium Basis ................................................................................... 3103
3107.01 Exercise of Option.......................................................................................... 3103
3107.02 Automatic Exercise ........................................................................................ 3103
3108.01 Expiration of Option........................................................................................ 3103
3109.01 Months Traded ............................................................................................... 3103
3110.01 Trading Hours................................................................................................. 3104
3111.01 Position Limits ................................................................................................ 3104
3112.01 Margin Requirements..................................................................................... 3104
3113.01 Last Day of Trading........................................................................................ 3104
3114.01 Option Premium Fluctuation Limits................................................................ 3104.3102
Chapter 31
Wheat Futures Options
Ch31 Trading Conditions
3101.00 Authority - (See Rule 2801.00). (10/01/94)
3101.01 Application of Regulations - Transactions in put and call options on Wheat futures contracts shall be subject to the general rules of the Association as far as applicable and shall also be subject to the regulations contained in this chapter which are exclusively applicable to trading in put and call options on Wheat futures contracts. (See Rule 490.00). (10/01/94)
3102.01 Nature of Wheat Futures Put Options - The buyer of one (1) Wheat futures put option may exercise his option at any time prior to expiration, (subject to Regulation 3107.01), to assume a short position in one (1) Wheat futures contract of a specified contract month at a striking price set at the time the option was purchased. The seller of one (1) Wheat futures put option incurs the obligation of assuming a long position in one (1) Wheat futures contract of a specified contract month at a striking price set at the time the option was sold, upon exercise by a put option buyer. (10/01/94)
3102.02 Nature of Wheat Futures Call Options - The buyer of one (1) Wheat futures call option may exercise his option at any time prior to expiration, (subject to Regulation 3107.01), to assume a long position in one (1) Wheat futures contract of a specified contract month at a striking price set at the time the option was purchased. The seller of one (1) Wheat futures call option incurs the obligation of assuming a short position in one (1) Wheat futures contract of a specified contract month at a striking price set at the time the option was sold, upon exercise by a call option buyer. (10/01/94)
3103.01 Trading Unit - One (1) 5,000 bushel Wheat futures contract of a specified contract month on the Chicago Board of Trade. (10/01/94)
3104.01 Striking Prices - Trading shall be conducted for put and call options with striking prices (the "strikes") in integral multiples of five (5) cents per bushel per Wheat futures contract (i.e. 3.70, 3.75, 3.80, etc.), in integral multiples of ten (10) cents per bushel per Wheat futures contract (i.e., 3.70, 3.80, 3.90, etc.) and in integral multiples of twenty (20) cents per bushel per Wheat futures contract (i.e., 4.00, 4.20, 4.40, etc.) as follows:
1. a. In integral multiples of ten cents, at the commencement of trading for an option contract, the following strikes shall be listed: one with a strike closest to the previous day's settlement price of the underlying Wheat futures contract, the next five consecutive higher and the next five consecutive lower strikes (the "initial band"). If the previous day's settlement price is midway between two strikes, the closest price shall be the larger of the two.
b. In integral multiples of twenty cents, at the commencement of trading for an option contract, the following strikes shall be listed: the next four consecutive strikes above the initial band.
c. In integral multiples of ten cents, over time, strikes shall be added as necessary to ensure that all strikes within 55 cents of the previous day's trading range of the underlying futures contract are listed (the "minimum band").
d. In integral multiples of twenty cents, over time, strikes shall be added as necessary to ensure that the next four consecutive strikes above the minimum band are listed.
e. No new strikes may be added by these procedures in the month in which an option expires.
2. a. In integral multiples of five cents, at the commencement of trading for options that are traded in months in which Wheat futures are not traded, and for standard option months, the business day they become the second deferred month, the following strike prices shall be listed: one with a strike closest to the previous day's settlement price of the underlying
Wheat futures contract and the next five consecutive higher and the next five consecutive lower strikes. For example, five-cent strike price intervals for the September 2000 contract month would be added on June 26, which is the business day after the expiration of the July.Ch31 Trading Conditions
3103
contract month.
b. Over time, new five-cent strike prices will be added to ensure that at least five strike prices exist above and below the previous day's trading range in the underlying futures.
3. a. In integral multiples of twenty cents, all strikes in which the previous day's delta factors (as determined by the Board of Trade) for both the put and call options are 0.10 or greater for two consecutive business days will be listed for trading. However, no new strikes may be added by this procedure to an option month unless open positions exist in that contract month.
b. In integral multiples of ten cents, during the month in which an option expires, all strikes in which the previous day's delta factors (as determined by the Board of Trade) for both the put and call options are 0.10 or greater for two consecutive business days will be listed for trading.
4. All strikes will be listed prior to the opening of trading on the following business day. The Exchange may modify the procedures for the introduction of strikes as it deems appropriate in order to respond to market conditions. (09/01/00)
3105.01 Payment of Option Premium - The option premium must be paid in full by each clearing member to the Clearing House and by each option customer to his commission merchant at the time that the option is purchased, or within a reasonable time after the option is purchased. (10/01/94)
3106.01 Option Premium Basis - The premium for Wheat futures options shall be in multiples of one-eighth (1/8) of one cent per bushel of a 5,000 bushel Wheat futures contract which shall equal $6.25 per contract.
However, when both sides of the trade are closing transactions, the option premium may range from $1.00 to $6.00 in $1.00 increments per option contract. (10/01/94)
3107.01 Exercise of Option - The buyer of a Wheat futures option may exercise the option on any business day prior to expiration by giving notice of exercise to the Clearing Corporation by 6:00 p.m., or by such other time designated by the Board of Directors, on such day. Notwithstanding the foregoing, the buyer may exercise the option prior to 10:00 a.m. on expiration date:
i) to correct errors or mistakes made in good faith;
ii) to take appropriate action as the result of unreconciled Exchange option transactions;
iii) in exceptional cases involving a customer's inability to communicate to the member firm exercise instructions or the member firm's inability to receive such instructions prior to 6:00 p.m. on the last day of trading. (12/01/99)
3107.02 Automatic Exercise - Notwithstanding the provisions of Regulation 3107.01, after the close on the last day of trading, all in-the-money options shall be automatically exercised, unless notice to cancel automatic exercise is given to the Clearing Corporation.
Notice to cancel automatic exercise shall be given to the Clearing Corporation by 6:00 p.m., or by such other time designated by the Board of Directors, on the last day of trading, except that such notice may be given to the Clearing Corporation prior to 10:00 a.m. on the expiration date:
i) to correct errors or mistakes made in good faith;
ii) to take appropriate action as the result of unreconciled Exchange option transactions;
iii) in exceptional cases involving a customer's inability to communicate to the member firm exercise instructions or the member firm's inability to receive such instructions prior to 6:00 p.m. on the last day of trading. (12/01/99)
3108.01 Expiration of Option - Unexercised Wheat futures options shall expire at 10:00 a.m. on the first Saturday following the last day of trading. (10/01/94)
3109.01 Months Traded - Trading may be conducted in the nearby Wheat futures options.Ch31 Trading Conditions
3104
contract month plus any succeeding months, provided however, that the Exchange may determine not to list a contract month. For options that are traded in months in which Wheat futures are not traded, the underlying futures contract is the next futures contract that is nearest to the expiration of the option.
For example, the underlying futures contract for the February option contract is the March futures contract. (09/01/00)
3110.01 Trading Hours - The hours of trading of options on Wheat futures contracts shall be determined by the Board. On the last day of trading in an expiring option, the closing time for such options shall be the same as the close of trading of the Regular Daytime open outcry trading session for the corresponding Wheat futures contract, subject to the provisions of the second paragraph of Rule 1007.00. On the last day of trading in an expiring option, the expiring Wheat futures options shall be closed with a public call made striking price by striking price, conducted by such persons as the Regulatory Compliance Committee shall direct. On all other days, Wheat futures options shall be opened and closed for all months and striking prices simultaneously or in such a manner as the Regulatory Compliance Committee shall direct. (03/01/00)
3111.01 Position Limits - (See Regulation 425.01) (10/01/00)
3112.01 Margin Requirements - (See Regulation 431.05) (10/01/94)
3113.01 Last Day of Trading - No trades in Wheat futures options expiring in the current month shall be made after the close of trading of the Regular Daytime open outcry trading session for the corresponding Wheat futures contract on the last Friday which precedes by at least two business days, the last business day of the month preceding the option month. If such Friday is not a business day, the last day of trading shall be the business day prior to such Friday. (07/01/01)
3114.01 Option Premium Fluctuation Limits - Trading is prohibited during any day except for thelast day of trading in a Wheat futures option at a premium of more than the trading limit for the Wheat futures contract above and below the previous day's settlement premium for that option as determined by the Clearing Corporation. On the first day of trading, limits shall be set from the lowest premium of the opening range. (10/01/94)

OPTION TRADING EDUCATION

OPTION TRADING EDUCATION

　 Strategies

Now we get to the fun stuff. You have read through the basic and advanced options concepts pages and no doubt you started to see how options could benefit you and your investments. You saw how you could leverage options to limit your risk and still maintain enormous upside potential. Now let us show you a few of the strategies options traders use to make money under any market conditions.

At Optionetics, we teach a variety of risk management strategies, each of which can be implemented depending on current market conditions. The great thing is that whether the market moves up, down, or sideways, we have a strategy that will profit from that movement! After reading this section, you should have a basic knowledge of what a few of those strategies are.

Here is an overview of the topics that will be addressed:
Bullish Strategies
Bearish Strategies

Buying Calls:
Learn the basics of how to buy a simple call option.

Covered Calls:
Learn how to handle moderate price declines using covered calls.

Vertical Spread:
Introduction to the most basic limited risk strategy.

Bull Call Spread:
What to use in a moderately bullish market to provide high leverage over a limited range of stock prices.

Bull Put Spread:
Learn how to implement in a moderately bullish market.

Buying Puts:
Learn how to use when you anticipate a fall in the price of the underlying stock.

Covered Puts:
Learn how to protect a short position using puts.

Bear Call Spread:
Learn how to use options to limit your risk on bullish investments.

Bear Put Spread:
Learn how to implement in a moderately bearish market.

Buying Calls
The long call strategy provides unlimited profit potential with limited risk. It is best used in a bullish market where a rise in the price of the underlying asset above the breakeven is anticipated. Zero margin borrowing is allowed. That means that you don't have to hold any margin in your account to place the trade. You only pay the option's premium-a fairly small investment depending on the market you choose to trade.

Let's create an example of a long call strategy by going long 1 October Apple Computers (AAPL) 42 ?call at 4 ? Apple is currently trading at 43 1/16. Figure 1-A reveals the risk graph of this basic option strategy. This example uses an ATM option worth +50 deltas.

Figure 1-A: Long 1 OCT AAPL 42 ?Call @ 4 ?/ AAPL @ 43 1/16

This trade costs a total of 4 ?or $450 (4 ?x 100 = $450) plus commissions. The maximum risk is the price of the option ($450). The maximum reward is unlimited to the upside as Apple Computer stock continues to rise. The breakeven is calculated by adding the strike price (42 ? to the premium of the call option (4 ?. In this example, the breakeven is 47 (42 ? + 4 ?= 47). This means that the trade starts to make money when Apple rises above 47.

In addition, notice that the risk graph's profit and loss line slopes up from left to right. This represents the trade at expiration. Look to where it crosses the breakeven point at 47 and continues to rise above this point.

To exit a long call, you have three options. You can let the call expire and lose the premium (not exactly my first choice). You can exercise the call to receive the underlying stock at the strike price of the option; or you can sell the call. By exercising the call option, you can make money by turning around and selling the stock at the current market price and pocketing the difference. By selling the call, you can make money when the price of the premium rises in value due to a rise in the underlying stock.

By choosing to purchase a long call options instead of 100 shares of Apple stock, you have increased your leverage and reduced the risk inherent in the trade. A long call option uses less initial outlay of cash to participate in the trade. In addition, the most you can lose by purchasing a call is the price of the premium or $450. The most you can lose if your purchase the stock outright is $4,306.25-the full amount paid for the stock. However, the $450 option still allows you to control $4,306.25 worth of Apple shares. This kind of leverage is what makes options so appealing.

LONG CALL EXAMPLE SPECIFICS

Long 1 OCT AAPL 42 ?Call @ 4 ?/b>
AAPL @ 43 1/16
Net Debit: 4 ?or $450 (4 ?x 100 = $450)
Maximum Risk: $450 (4 ?x 100 = $450)
Maximum Profit: Unlimited to the upside beyond the breakeven
Breakeven: 47 (42 ? + 4 ?= 47)
Margin: None
LONG CALL STRATEGY REVIEW

Strategy = Buy a call option
Market Opportunity = Look for a bullish market where a rise above the breakeven is anticipated
Maximum Risk= Limited to the amount paid for the call
Maximum Profit= Unlimited to the upside beyond the breakeven
Breakeven= Call strike price + call premium
Margin= None

Covered Calls
In a covered call trade, you are buying the underlying stock shares and selling call options against it. This strategy is best implemented in a bullish to neutral market where a slow rise in the market price of the underlying stock is anticipated. This technique allows traders to handle moderate price declines because the call premium reduces the position's breakeven. Since you are counting on the time decay of the short option to render the short call worthless, you do not want to sell a call more than 45 days out. However, since the profit on a covered call is limited to the premium received, the premium needs to be high enough to balance out the trade's risk. Table 5-1 illustrates the advantages a covered call offers in comparison to simply purchasing stock.
Covered Call Strategy vs. Long Stock Strategy

Market Scenario
Covered Call
Long Stock

Stock price increases: Call is exercised and the underlying stock shares are sold at the call's strike price
Profits are limited to the premium received on the short call plus the profit made from the difference between the stock's price at initiation and the call strike price
Profits may be garnered if the stock is sold at the higher price.

Stock price remains stable: Call expires worthless and the trader still owns the stock shares
Profits are limited to the premium received on the short call.
No profit is made.

Stock price decreases: Call expires worthless and the trader still owns the stock shares.
The breakeven on the stock is lowered by the premium received on the short call.
Losses accumulate as the stock price declines below the initial price paid for the stock.

Table 1-1: Covered Call Strategy vs. Long Stock Strategy

Unlike vertical spreads, there are a limited number of choices that depend on the available option premiums. As previously mentioned, the key to a successful covered call lies in finding a stable market with slightly OTM options with less than 45 days till expiration with enough premium to make the trade worthwhile. Using the values in Table 1-2, it's easy to see that the January 80 option is the only viable choice for a covered call strategy. Let's create a covered call by purchasing 100 shares of Wal-Mart Stores stock and selling 1 January WMT 80 call at 4 ? The risk graph for this trade is shown in Figure 1-B. The profit line on this trade slopes up from left to right. Conveying the trader's desire for the market price of the stock to rise slightly. It also shows the trade's limited protection. If Wal-Mart Stores declines beyond the breakeven, there is unlimited risk on the stock all the way to zero.
Price of WMT = 71 ?/div>

Call Strike Price
December
January

65
11 ?/div>
12 ?/div>

70
7
8 7/8

75
3 ?/div>
6

80
1 15/16
4 ?/div>

85
?/div>
2 ?/div>

Table 1-2: Wal-Mart Call Option Premiums (12/2/98)

Let's create an example using Wal-Mart Stores, Inc. (WMT) by going long 100 shares of WMT @ 71 ?and short 1 January WMT 80 Call @ 4 ? The maximum profit for this trade is the premium received for the short call option plus the profit to be gained on the long stock. The maximum reward on the option side of this position is $425 (4 ?x 100 = $425). The maximum reward on the stock side of this position is $850 [(80 - 71 ? x 100 = $850]. The total profit on this particular covered call strategy is $1,275 (425 + 850 = $1,275). The maximum risk is limited to the downside as Wal-Mart drops in price beyond the breakeven all the way to zero. The option side of this trade does not require a margin deposit to place because the short call option is already covered by the long stock.

The breakeven on a covered call is calculated by subtracting the call option premium from the price of the underlying stock at initiation. In this example, the breakeven is 67 ? (71 ? - 4 ?= 67 ?. Wal-Mart must drop below 67 ?for the trade to begin to take a loss (not including commission costs). The maximum profit of $1,275 will be received if the stock rises to or above 80 and the call is exercised.

On December 24, Wal-Mart climbs above $80 per share. If the short 80 call is exercised, 100 shares of Wal-Mart will be sold to permit delivery to the assigned option holder. The $425 credit from the option and the additional profit from the sale of the Wal-Mart shares bring the total profit on the trade to $1,275.
Long 100 shares WMT @ 71 ? Short 1 January WMT 80 Call @ 4 ?/div>

Debit at Initiation
Stock Price at Exit
Days in Trade
Profit / Loss

$7,150 - $425 = $6,725
80
22
$1,275

Table 1-3: Covered Call Results

Covered calls are the most popular option strategy used in today's markets. If a trader wants to gain additional income on the same stock, he or she can sell a slightly OTM call every month. The risk lies in the strategy's limited ability to protect the underlying stock from major moves down and the potential loss of future profits on the stock above the strike price. To increase protection, covered calls can be combined with buying long-term puts (over 6 months). Calls can then be sold each month with the added protection of the long puts.
COVERED CALL STRATEGY REVIEW

Strategy = Buy the underlying security and sell an OTM call option
Market Opportunity = Look for a bullish to neutral market where a slow rise in the price of the underlying is anticipated with little risk of decline
Maximum Risk = Virtually unlimited to the downside below the breakeven all the way to zero
Maximum Profit = Limited to the credit received from the short call option + (short call strike price - price of long underlying asset) times value per point
Breakeven = Price of the underlying asset at initiation - short call premium received
Margin = Required. The amount is subject to your broker's discretion.

Vertical Spreads
Since all markets have the potential to fluctuate beyond their normal trend, it is essential to learn how to use strategies that limit your losses to a manageable amount. There are a variety of options strategies that can be employed to hedge risk and leverage capital. Each strategy has an optimal set of circumstances that trigger its application in a particular market. Vertical spreads are the most basic limited risk strategies and that's why they are often introduced relatively early. These simple hedging strategies enable traders to take advantage of the way options premiums change in relation to movement in the underlying asset.

Vertical spreads combine long and short options with different strike prices and the same expiration date to profit on a directional move in the price of the underlying asset. They offer limited potential profits as well as limited risks. One of the keys to understanding these managed risk spreads comes from grasping the concepts of intrinsic value and time value-variables that provide major contributions to the fluctuating price of an option. In order to understand these important concepts, let's take a closer look at the components that affect option pricing.
Bull Call Spread
A bull call spread is a debit spread created by purchasing a lower strike call and selling a higher strike call with the same expiration dates. This strategy is best implemented in a moderately bullish market to provide high leverage over a limited range of stock prices. The profit on this strategy can increase by as much as 1 point for each 1-point increase in the price of the underlying asset. However, the total investment is usually far less than that required to purchase the stock. The strategy has both limited profit potential and limited downside risk.

Steps to Using a Bull Call Spread
1. Look for a moderately bullish market where you anticipate a modest increase in the price of the underlying stock-not a large move.
2. Check to see if this stock has options.
3. Review call options premiums per expiration dates and strike prices.
4. Investigate implied volatility values to see if the options are overpriced or undervalued.
5. Explore past price trends and liquidity by reviewing price and volume charts over the last year.
6. Choose a lower strike call to buy and a higher strike call to sell with the same expiration date.
7. Calculate the maximum potential profit by multiplying the value per point by the difference in strike prices and subtracting the net debit paid.
8. Calculate the maximum potential risk by figuring out the net debit of the two option premiums.
9. Calculate the breakeven by adding the lower strike price to the net debit.
10. Create a risk profile for the trade to graphically determine the trade's feasibility.
11. Write down the trade in your trader's journal before placing the trade with your broker to minimize mistakes made in placing the order and to keep a record of the trade.
12. Contact your broker to buy and sell the chosen call options.
13. Watch the market closely as it fluctuates. The profit on this strategy is limited-a loss occurs if the underlying stock closes at or below the breakeven point.
14. To exit the trade, you need to sell the lower strike call and buy the higher strike call or simply let the options expire. The maximum profit occurs when the underlying stock rises above the short call strike price. If and when the short call is exercised by the assigned option holder, you can exercise the long call and deliver those shares to the option holder at the lower long call price, pocketing the difference plus the premium from the short call.
Bull Put Spread
A bull put spread is a credit spread created by purchasing a lower strike put and selling a higher strike put with the same expiration dates. This strategy is best implemented in a moderately bullish market to provide high leverage over a limited range of stock prices. The profit on this strategy can increase by as much as 1 point for each 1-point increase in the price of the underlying. However, the total investment is usually far less than that required to buy the stock shares. The strategy has both limited profit potential and limited downside risk.

Steps to Using a Bull Put Spread
1. Look for a moderately bullish market where you anticipate a modest increase in the price of the underlying stock-not a large move.
2. Check to see if this stock has options.
3. Review put options premiums per expiration dates and strike prices.
4. Investigate implied volatility values to see if the options are overpriced or undervalued.
5. Explore past price trends and liquidity by reviewing price and volume charts over the last year.
6. Choose a lower strike put to buy and a higher strike put to sell with the same expiration date.
7. Calculate the maximum potential profit by computing the net credit of the two option premiums.
8. Calculate the maximum potential risk by multiplying the value per point by the difference in strike prices and subtracting the net credit received.
9. Calculate the breakeven by subtracting the net credit from the higher strike price.
10. Create a risk profile for the trade to graphically determine the trade's feasibility.
11. Write down the trade in your trader's journal before placing the trade with your broker to minimize mistakes made in placing the order and to keep a record of the trade.
12. Contact your broker to buy and sell the chosen put options.
13. Watch the market closely as it fluctuates. The profit on this strategy is limited-a loss occurs if the underlying stock falls to or below the breakeven point.
14. To exit the trade, you need to sell the lower strike put and buy the higher strike put or simply let the options expire.
Buying Puts
In the long put strategy, you are purchasing the right, but not the obligation, to sell the underlying stock at a specific price until the expiration date. This strategy is used when you anticipate a fall in the price of the underlying stock. A long put strategy offers unlimited profit potential with limited downside risk. It is often used to get high leverage on an underlying security that you expect to decrease in price. Let's create an example by going long 1 October Federal-Mogul Corp. (FMO) 65 put at 4 ? The Federal-Mogul Corporation's current market price is 63 3/8. This makes the 65 put an ATM option worth -50 deltas.

The risk graph for a long put trade slopes upward from right to left. This signifies that the profit increases as the market price of the underlying falls. This strategy offers unlimited profit potential and limited risk over the life of the option, regardless of the movement of the underlying asset.

The maximum risk of a long put strategy is limited to the price of the put premium. Therefore, this trade's maximum risk is limited to $425 (4 ?x 100 = $425) plus commissions. No matter how high the underlying asset rises, you can only lose $425. However, you have a limited profit potential to the downside as the underlying asset falls to zero. The breakeven for a long put strategy is calculated by subtracting the put option premium paid from the strike price of the put option. In this example, the breakeven would be at 60-1/4 (65 - 4-1/4 = 60-3/4). That means that as FMO falls below 60-3/4, the trade makes money. This strategy does not require a margin deposit.

To exit a long put strategy, you have the same three options as with a long call. You can let the option expire worthless, exercise your right to short the market, or sell a put option with the same strike price. Each alternative comes with its own set of advantages and disadvantages depending on how far the underlying stock moves and in which direction.

LONG PUT EXAMPLE SPECIFICS

Long 1 OCT FMO 65 Put @ 4 ?/b>
FMO @ 63 3/8
Net Debit: 4 ?or $425 (4 ?x 100 = $425)
Maximum Risk: $425 (4 ?x 100 = $425)
Maximum Profit: Limited to the downside as the underlying stock falls to zero.
Breakeven: 60 ? (65 - 4 ?= 60 ?
Margin: None
LONG PUT STRATEGY REVIEW

Strategy = Buy a put option
Market Opportunity = Look for a bearish market where you anticipate a fall in the price of the underlying stock below the breakeven
Maximum Risk = Limited to the price of the put option premium
Maximum Profit = Limited to the downside as the underlying stock falls to zero
Breakeven = Put strike price - put premium
Margin = None

Covered Puts
In a covered put strategy, you are selling the underlying stock and selling a put option against it. This strategy is best implemented in a bearish to neutral market where a slow fall in the market price of the underlying stock is anticipated. This strategy's profit-making ability depends on the short options expiring worthless. Therefore, although an option with more time yields a higher premium, never sell puts in a covered put strategy with more than 45 to 60 days until expiration. Too much time increases the chance of the market price moving into a range where the short option is exercised. If a put option is exercised, the option seller is obligated to buy 100 shares of the underlying stock at the put's strike price from the option holder.

Let's create an example of a covered put strategy using Eastman Kodak Co. (EK) by going short 100 shares of EK @ 74 and short 1 January EK 70 put @ 4. For this position to keep the credit, the market price of the stock needs to stay above $70. The maximum profit for this trade is the premium received for the short put option plus the money accrued from the sale of the stock if the option is exercised. The maximum reward on the option side of this position is $400 [(4 x 100 = $400). The maximum reward on the stock side of this position is $400 [(74 - 70) x 100 = $400]. This creates a total profit of $800 (400 + 400 = $800). The maximum risk is unlimited to the upside beyond the breakeven. This trade requires a margin deposit to place. Figure 1-D shows the risk profile for this trade.

The breakeven on a covered put is calculated by adding the put option premium to the price of the underlying stock at initiation. In this example, the breakeven is 78 (74 + 4 = 78). Unfortunately, placing a covered put will not protect you from sharp rise above the breakeven. If Eastman Kodak rises above 78, the trade will start to lose money. However, selling a put against a short stock does increase the breakeven. If you were to simply the sell the stock, the breakeven would be the purchase price of the stock at initiation or 74. If Eastman Kodak falls below the strike price of the put, there is a possibility that the put will be assigned and you will be obligated to purchase the stock at the strike price. If so, you can return those shares to your brokerage to cover the short shares at the higher initial price and pocket the difference as profit.

By tracking this trade, we find that Eastman Kodak actually rose above the breakeven 2 days before expiration, only to plummet to 69 on expiration day. There is a good chance that the put received notice of assignment at which time the short stock position was closed out for a total profit on the trade of $800. Since Eastman Kodak continued in a bearish trend after the option expired, we potentially missed a bigger profit on the stock by having to use the shares to fulfill our obligations on the assigned short put. Such is life.
Short 100 shares EK @ 74, Short 1 January EK 70 Put @ 4

Credit Received
Price at Expiration
Days in Trade
Profit / Loss
Return on Investment

$400
69
39
$800
200%

Table 1-4: Covered Put Results

Covered puts enable traders to bring in some extra premium on short positions. Once again, you can keep selling a put against the short shares every month to increase your profit. However, shorting stock is a risky trade no matter how you look at it because there is no limit to how much you can lose if the price of the stock rises above the breakeven.
COVERED PUT STRATEGY REVIEW

Strategy = Sell the underlying security and sell an OTM put option
Market Opportunity = Look for a bearish or stable market where a decline in the price of the underlying is anticipated with little risk of the market rising
Maximum Risk = Unlimited to the upside
Maximum Profit = Limited to the credit received on the short put option plus (price of the short underlying asset - put option strike price) times the value per point
Breakeven = Price of the underlying asset + short put premium received
Margin = Required. The amount is subject to your broker's discretion.

Bear Call Spreads

A bear call spread is a credit spread created by purchasing a higher strike call and selling a lower strike call with the same expiration dates. This strategy is best implemented in a moderately bearish or stable market to provide high leverage over a limited range of stock prices. The profit on this strategy can increase by as much as 1 point for each 1-point increase in the price of the underlying. However, the total investment is usually far less than that required to buy the stock or futures contract. The strategy has both limited profit potential and limited downside risk.

Steps to Using a Bear Call Spread
1. Look for a moderately bearish market where you anticipate a modest decrease in the price of the underlying stock-not a large move.
2. Check to see if this stock has options.
3. Review call options premiums per expiration dates and strike prices.
4. Investigate implied volatility values to see if the options are overpriced or undervalued.
5. Explore past price trends and liquidity by reviewing price and volume charts over the last year.
6. Choose a higher strike call to buy and a lower strike call to sell with the same expiration date.
7. Calculate the maximum potential profit by computing the net credit of the two option premiums.
8. Calculate the maximum potential risk by multiplying the value per point by the difference in strike prices and subtracting the net credit received.
9. Calculate the breakeven by adding the net credit to the lower strike price.
10. Create a risk profile for the trade to graphically determine the trade's feasibility.
11. Write down the trade in your trader's journal before placing the trade with your broker to minimize mistakes made in placing the order and to keep a record of the trade.
12. Contact your broker to buy and sell the chosen call options.
13. Watch the market closely as it fluctuates. The profit on this strategy is limited - a loss occurs if the underlying stock rises to or above the breakeven point.
14. To exit the trade, you need to sell the higher strike put and buy the lower strike put or simply let the options expire.
Bear Put Spreads
A bear put spread is a debit spread created by purchasing a higher strike put and selling a lower strike put with the same expiration dates. This strategy is best implemented in a moderately bearish market. It provides high leverage over a limited range of stock prices. The profit on this strategy can increase by as much as 1 point for each 1-point increase in the price of the underlying. However, the total investment is usually far less than that required to buy the stock shares. The strategy has both limited profit potential and limited downside risk.

Steps to Using a Bear Put Spread
1. Look for a moderately bearish market where you anticipate a modest decrease in the price of the underlying stock-not a large move.
2. Check to see if this stock has options.
3. Review put options premiums per expiration dates and strike prices.
4. Investigate implied volatility values to see if the options are overpriced or undervalued.
5. Explore past price trends and liquidity by reviewing price and volume charts over the last year.
6. Choose a higher strike put to buy and a lower strike put to sell with the same expiration date.
7. Calculate the maximum potential profit by multiplying the value per point by the difference in strike prices and subtracting the net debit paid.
8. Calculate the maximum potential risk by computing the net debit of the two option premiums.
9. Calculate the breakeven by subtracting the net debit from the higher strike price.
10. Create a risk profile for the trade to graphically determine the trade's feasibility.
11. Write down the trade in your trader's journal before placing the trade with your broker to minimize mistakes made in placing the order and to keep a record of the trade.
12. Contact your broker to buy and sell the chosen put options.
13. Watch the market closely as it fluctuates. The profit on this strategy is limited-a loss occurs if the underlying stock rises to or above breakeven point.
14. To exit the trade, you need to sell the higher strike put and buy the lower strike put or simply let the options expire. The maximum profit occurs when the price of the underlying stock falls below the short put strike price. If and when the short put is exercised by the assigned option holder, you can exercise the long put to sell the shares purchased from the option holder at the higher long put price, pocketing the difference plus the premium of the short put.

Strategies
Now we get to the fun stuff. You have read through the basic and advanced options concepts pages and no doubt you started to see how options could benefit you and your investments. You saw how you could leverage options to limit your risk and still maintain enormous upside potential. Now let us show you a few of the strategies options traders use to make money under any market conditions.

At Optionetics, we teach a variety of risk management strategies, each of which can be implemented depending on current market conditions. The great thing is that whether the market moves up, down, or sideways, we have a strategy that will profit from that movement! After reading this section, you should have a basic knowledge of what a few of those strategies are.

Here is an overview of the topics that will be addressed:
Bullish Strategies
Bearish Strategies

Buying Calls:
Learn the basics of how to buy a simple call option.

Covered Calls:
Learn how to handle moderate price declines using covered calls.

Vertical Spread:
Introduction to the most basic limited risk strategy.

Bull Call Spread:
What to use in a moderately bullish market to provide high leverage over a limited range of stock prices.

Bull Put Spread:
Learn how to implement in a moderately bullish market.

Buying Puts:
Learn how to use when you anticipate a fall in the price of the underlying stock.

Covered Puts:
Learn how to protect a short position using puts.

Bear Call Spread:
Learn how to use options to limit your risk on bullish investments.

Bear Put Spread:
Learn how to implement in a moderately bearish market.

Buying Calls
The long call strategy provides unlimited profit potential with limited risk. It is best used in a bullish market where a rise in the price of the underlying asset above the breakeven is anticipated. Zero margin borrowing is allowed. That means that you don't have to hold any margin in your account to place the trade. You only pay the option's premium-a fairly small investment depending on the market you choose to trade.

Let's create an example of a long call strategy by going long 1 October Apple Computers (AAPL) 42 ?call at 4 ? Apple is currently trading at 43 1/16. Figure 1-A reveals the risk graph of this basic option strategy. This example uses an ATM option worth +50 deltas.

Figure 1-A: Long 1 OCT AAPL 42 ?Call @ 4 ?/ AAPL @ 43 1/16

This trade costs a total of 4 ?or $450 (4 ?x 100 = $450) plus commissions. The maximum risk is the price of the option ($450). The maximum reward is unlimited to the upside as Apple Computer stock continues to rise. The breakeven is calculated by adding the strike price (42 ? to the premium of the call option (4 ?. In this example, the breakeven is 47 (42 ? + 4 ?= 47). This means that the trade starts to make money when Apple rises above 47.

In addition, notice that the risk graph's profit and loss line slopes up from left to right. This represents the trade at expiration. Look to where it crosses the breakeven point at 47 and continues to rise above this point.

To exit a long call, you have three options. You can let the call expire and lose the premium (not exactly my first choice). You can exercise the call to receive the underlying stock at the strike price of the option; or you can sell the call. By exercising the call option, you can make money by turning around and selling the stock at the current market price and pocketing the difference. By selling the call, you can make money when the price of the premium rises in value due to a rise in the underlying stock.

By choosing to purchase a long call options instead of 100 shares of Apple stock, you have increased your leverage and reduced the risk inherent in the trade. A long call option uses less initial outlay of cash to participate in the trade. In addition, the most you can lose by purchasing a call is the price of the premium or $450. The most you can lose if your purchase the stock outright is $4,306.25-the full amount paid for the stock. However, the $450 option still allows you to control $4,306.25 worth of Apple shares. This kind of leverage is what makes options so appealing.

LONG CALL EXAMPLE SPECIFICS

Long 1 OCT AAPL 42 ?Call @ 4 ?/b>
AAPL @ 43 1/16
Net Debit: 4 ?or $450 (4 ?x 100 = $450)
Maximum Risk: $450 (4 ?x 100 = $450)
Maximum Profit: Unlimited to the upside beyond the breakeven
Breakeven: 47 (42 ? + 4 ?= 47)
Margin: None
LONG CALL STRATEGY REVIEW

Strategy = Buy a call option
Market Opportunity = Look for a bullish market where a rise above the breakeven is anticipated
Maximum Risk= Limited to the amount paid for the call
Maximum Profit= Unlimited to the upside beyond the breakeven
Breakeven= Call strike price + call premium
Margin= None

Covered Calls
In a covered call trade, you are buying the underlying stock shares and selling call options against it. This strategy is best implemented in a bullish to neutral market where a slow rise in the market price of the underlying stock is anticipated. This technique allows traders to handle moderate price declines because the call premium reduces the position's breakeven. Since you are counting on the time decay of the short option to render the short call worthless, you do not want to sell a call more than 45 days out. However, since the profit on a covered call is limited to the premium received, the premium needs to be high enough to balance out the trade's risk. Table 5-1 illustrates the advantages a covered call offers in comparison to simply purchasing stock.
Covered Call Strategy vs. Long Stock Strategy

Market Scenario
Covered Call
Long Stock

Stock price increases: Call is exercised and the underlying stock shares are sold at the call's strike price
Profits are limited to the premium received on the short call plus the profit made from the difference between the stock's price at initiation and the call strike price
Profits may be garnered if the stock is sold at the higher price.

Stock price remains stable: Call expires worthless and the trader still owns the stock shares
Profits are limited to the premium received on the short call.
No profit is made.

Stock price decreases: Call expires worthless and the trader still owns the stock shares.
The breakeven on the stock is lowered by the premium received on the short call.
Losses accumulate as the stock price declines below the initial price paid for the stock.

Table 1-1: Covered Call Strategy vs. Long Stock Strategy

Unlike vertical spreads, there are a limited number of choices that depend on the available option premiums. As previously mentioned, the key to a successful covered call lies in finding a stable market with slightly OTM options with less than 45 days till expiration with enough premium to make the trade worthwhile. Using the values in Table 1-2, it's easy to see that the January 80 option is the only viable choice for a covered call strategy. Let's create a covered call by purchasing 100 shares of Wal-Mart Stores stock and selling 1 January WMT 80 call at 4 ? The risk graph for this trade is shown in Figure 1-B. The profit line on this trade slopes up from left to right. Conveying the trader's desire for the market price of the stock to rise slightly. It also shows the trade's limited protection. If Wal-Mart Stores declines beyond the breakeven, there is unlimited risk on the stock all the way to zero.
Price of WMT = 71 ?/div>

Call Strike Price
December
January

65
11 ?/div>
12 ?/div>

70
7
8 7/8

75
3 ?/div>
6

80
1 15/16
4 ?/div>

85
?/div>
2 ?/div>

Table 1-2: Wal-Mart Call Option Premiums (12/2/98)

Let's create an example using Wal-Mart Stores, Inc. (WMT) by going long 100 shares of WMT @ 71 ?and short 1 January WMT 80 Call @ 4 ? The maximum profit for this trade is the premium received for the short call option plus the profit to be gained on the long stock. The maximum reward on the option side of this position is $425 (4 ?x 100 = $425). The maximum reward on the stock side of this position is $850 [(80 - 71 ? x 100 = $850]. The total profit on this particular covered call strategy is $1,275 (425 + 850 = $1,275). The maximum risk is limited to the downside as Wal-Mart drops in price beyond the breakeven all the way to zero. The option side of this trade does not require a margin deposit to place because the short call option is already covered by the long stock.

The breakeven on a covered call is calculated by subtracting the call option premium from the price of the underlying stock at initiation. In this example, the breakeven is 67 ? (71 ? - 4 ?= 67 ?. Wal-Mart must drop below 67 ?for the trade to begin to take a loss (not including commission costs). The maximum profit of $1,275 will be received if the stock rises to or above 80 and the call is exercised.

On December 24, Wal-Mart climbs above $80 per share. If the short 80 call is exercised, 100 shares of Wal-Mart will be sold to permit delivery to the assigned option holder. The $425 credit from the option and the additional profit from the sale of the Wal-Mart shares bring the total profit on the trade to $1,275.
Long 100 shares WMT @ 71 ? Short 1 January WMT 80 Call @ 4 ?/div>

Debit at Initiation
Stock Price at Exit
Days in Trade
Profit / Loss

$7,150 - $425 = $6,725
80
22
$1,275

Table 1-3: Covered Call Results

Covered calls are the most popular option strategy used in today's markets. If a trader wants to gain additional income on the same stock, he or she can sell a slightly OTM call every month. The risk lies in the strategy's limited ability to protect the underlying stock from major moves down and the potential loss of future profits on the stock above the strike price. To increase protection, covered calls can be combined with buying long-term puts (over 6 months). Calls can then be sold each month with the added protection of the long puts.
COVERED CALL STRATEGY REVIEW

Strategy = Buy the underlying security and sell an OTM call option
Market Opportunity = Look for a bullish to neutral market where a slow rise in the price of the underlying is anticipated with little risk of decline
Maximum Risk = Virtually unlimited to the downside below the breakeven all the way to zero
Maximum Profit = Limited to the credit received from the short call option + (short call strike price - price of long underlying asset) times value per point
Breakeven = Price of the underlying asset at initiation - short call premium received
Margin = Required. The amount is subject to your broker's discretion.

Vertical Spreads
Since all markets have the potential to fluctuate beyond their normal trend, it is essential to learn how to use strategies that limit your losses to a manageable amount. There are a variety of options strategies that can be employed to hedge risk and leverage capital. Each strategy has an optimal set of circumstances that trigger its application in a particular market. Vertical spreads are the most basic limited risk strategies and that's why they are often introduced relatively early. These simple hedging strategies enable traders to take advantage of the way options premiums change in relation to movement in the underlying asset.

Vertical spreads combine long and short options with different strike prices and the same expiration date to profit on a directional move in the price of the underlying asset. They offer limited potential profits as well as limited risks. One of the keys to understanding these managed risk spreads comes from grasping the concepts of intrinsic value and time value-variables that provide major contributions to the fluctuating price of an option. In order to understand these important concepts, let's take a closer look at the components that affect option pricing.
Bull Call Spread
A bull call spread is a debit spread created by purchasing a lower strike call and selling a higher strike call with the same expiration dates. This strategy is best implemented in a moderately bullish market to provide high leverage over a limited range of stock prices. The profit on this strategy can increase by as much as 1 point for each 1-point increase in the price of the underlying asset. However, the total investment is usually far less than that required to purchase the stock. The strategy has both limited profit potential and limited downside risk.

Steps to Using a Bull Call Spread
1. Look for a moderately bullish market where you anticipate a modest increase in the price of the underlying stock-not a large move.
2. Check to see if this stock has options.
3. Review call options premiums per expiration dates and strike prices.
4. Investigate implied volatility values to see if the options are overpriced or undervalued.
5. Explore past price trends and liquidity by reviewing price and volume charts over the last year.
6. Choose a lower strike call to buy and a higher strike call to sell with the same expiration date.
7. Calculate the maximum potential profit by multiplying the value per point by the difference in strike prices and subtracting the net debit paid.
8. Calculate the maximum potential risk by figuring out the net debit of the two option premiums.
9. Calculate the breakeven by adding the lower strike price to the net debit.
10. Create a risk profile for the trade to graphically determine the trade's feasibility.
11. Write down the trade in your trader's journal before placing the trade with your broker to minimize mistakes made in placing the order and to keep a record of the trade.
12. Contact your broker to buy and sell the chosen call options.
13. Watch the market closely as it fluctuates. The profit on this strategy is limited-a loss occurs if the underlying stock closes at or below the breakeven point.
14. To exit the trade, you need to sell the lower strike call and buy the higher strike call or simply let the options expire. The maximum profit occurs when the underlying stock rises above the short call strike price. If and when the short call is exercised by the assigned option holder, you can exercise the long call and deliver those shares to the option holder at the lower long call price, pocketing the difference plus the premium from the short call.
Bull Put Spread
A bull put spread is a credit spread created by purchasing a lower strike put and selling a higher strike put with the same expiration dates. This strategy is best implemented in a moderately bullish market to provide high leverage over a limited range of stock prices. The profit on this strategy can increase by as much as 1 point for each 1-point increase in the price of the underlying. However, the total investment is usually far less than that required to buy the stock shares. The strategy has both limited profit potential and limited downside risk.

Steps to Using a Bull Put Spread
1. Look for a moderately bullish market where you anticipate a modest increase in the price of the underlying stock-not a large move.
2. Check to see if this stock has options.
3. Review put options premiums per expiration dates and strike prices.
4. Investigate implied volatility values to see if the options are overpriced or undervalued.
5. Explore past price trends and liquidity by reviewing price and volume charts over the last year.
6. Choose a lower strike put to buy and a higher strike put to sell with the same expiration date.
7. Calculate the maximum potential profit by computing the net credit of the two option premiums.
8. Calculate the maximum potential risk by multiplying the value per point by the difference in strike prices and subtracting the net credit received.
9. Calculate the breakeven by subtracting the net credit from the higher strike price.
10. Create a risk profile for the trade to graphically determine the trade's feasibility.
11. Write down the trade in your trader's journal before placing the trade with your broker to minimize mistakes made in placing the order and to keep a record of the trade.
12. Contact your broker to buy and sell the chosen put options.
13. Watch the market closely as it fluctuates. The profit on this strategy is limited-a loss occurs if the underlying stock falls to or below the breakeven point.
14. To exit the trade, you need to sell the lower strike put and buy the higher strike put or simply let the options expire.
Buying Puts
In the long put strategy, you are purchasing the right, but not the obligation, to sell the underlying stock at a specific price until the expiration date. This strategy is used when you anticipate a fall in the price of the underlying stock. A long put strategy offers unlimited profit potential with limited downside risk. It is often used to get high leverage on an underlying security that you expect to decrease in price. Let's create an example by going long 1 October Federal-Mogul Corp. (FMO) 65 put at 4 ? The Federal-Mogul Corporation's current market price is 63 3/8. This makes the 65 put an ATM option worth -50 deltas.

The risk graph for a long put trade slopes upward from right to left. This signifies that the profit increases as the market price of the underlying falls. This strategy offers unlimited profit potential and limited risk over the life of the option, regardless of the movement of the underlying asset.

The maximum risk of a long put strategy is limited to the price of the put premium. Therefore, this trade's maximum risk is limited to $425 (4 ?x 100 = $425) plus commissions. No matter how high the underlying asset rises, you can only lose $425. However, you have a limited profit potential to the downside as the underlying asset falls to zero. The breakeven for a long put strategy is calculated by subtracting the put option premium paid from the strike price of the put option. In this example, the breakeven would be at 60-1/4 (65 - 4-1/4 = 60-3/4). That means that as FMO falls below 60-3/4, the trade makes money. This strategy does not require a margin deposit.

To exit a long put strategy, you have the same three options as with a long call. You can let the option expire worthless, exercise your right to short the market, or sell a put option with the same strike price. Each alternative comes with its own set of advantages and disadvantages depending on how far the underlying stock moves and in which direction.

LONG PUT EXAMPLE SPECIFICS

Long 1 OCT FMO 65 Put @ 4 ?/b>
FMO @ 63 3/8
Net Debit: 4 ?or $425 (4 ?x 100 = $425)
Maximum Risk: $425 (4 ?x 100 = $425)
Maximum Profit: Limited to the downside as the underlying stock falls to zero.
Breakeven: 60 ? (65 - 4 ?= 60 ?
Margin: None
LONG PUT STRATEGY REVIEW

Strategy = Buy a put option
Market Opportunity = Look for a bearish market where you anticipate a fall in the price of the underlying stock below the breakeven
Maximum Risk = Limited to the price of the put option premium
Maximum Profit = Limited to the downside as the underlying stock falls to zero
Breakeven = Put strike price - put premium
Margin = None

Covered Puts
In a covered put strategy, you are selling the underlying stock and selling a put option against it. This strategy is best implemented in a bearish to neutral market where a slow fall in the market price of the underlying stock is anticipated. This strategy's profit-making ability depends on the short options expiring worthless. Therefore, although an option with more time yields a higher premium, never sell puts in a covered put strategy with more than 45 to 60 days until expiration. Too much time increases the chance of the market price moving into a range where the short option is exercised. If a put option is exercised, the option seller is obligated to buy 100 shares of the underlying stock at the put's strike price from the option holder.

Let's create an example of a covered put strategy using Eastman Kodak Co. (EK) by going short 100 shares of EK @ 74 and short 1 January EK 70 put @ 4. For this position to keep the credit, the market price of the stock needs to stay above $70. The maximum profit for this trade is the premium received for the short put option plus the money accrued from the sale of the stock if the option is exercised. The maximum reward on the option side of this position is $400 [(4 x 100 = $400). The maximum reward on the stock side of this position is $400 [(74 - 70) x 100 = $400]. This creates a total profit of $800 (400 + 400 = $800). The maximum risk is unlimited to the upside beyond the breakeven. This trade requires a margin deposit to place. Figure 1-D shows the risk profile for this trade.

The breakeven on a covered put is calculated by adding the put option premium to the price of the underlying stock at initiation. In this example, the breakeven is 78 (74 + 4 = 78). Unfortunately, placing a covered put will not protect you from sharp rise above the breakeven. If Eastman Kodak rises above 78, the trade will start to lose money. However, selling a put against a short stock does increase the breakeven. If you were to simply the sell the stock, the breakeven would be the purchase price of the stock at initiation or 74. If Eastman Kodak falls below the strike price of the put, there is a possibility that the put will be assigned and you will be obligated to purchase the stock at the strike price. If so, you can return those shares to your brokerage to cover the short shares at the higher initial price and pocket the difference as profit.

By tracking this trade, we find that Eastman Kodak actually rose above the breakeven 2 days before expiration, only to plummet to 69 on expiration day. There is a good chance that the put received notice of assignment at which time the short stock position was closed out for a total profit on the trade of $800. Since Eastman Kodak continued in a bearish trend after the option expired, we potentially missed a bigger profit on the stock by having to use the shares to fulfill our obligations on the assigned short put. Such is life.
Short 100 shares EK @ 74, Short 1 January EK 70 Put @ 4

Credit Received
Price at Expiration
Days in Trade
Profit / Loss
Return on Investment

$400
69
39
$800
200%

Table 1-4: Covered Put Results

Covered puts enable traders to bring in some extra premium on short positions. Once again, you can keep selling a put against the short shares every month to increase your profit. However, shorting stock is a risky trade no matter how you look at it because there is no limit to how much you can lose if the price of the stock rises above the breakeven.
COVERED PUT STRATEGY REVIEW

Strategy = Sell the underlying security and sell an OTM put option
Market Opportunity = Look for a bearish or stable market where a decline in the price of the underlying is anticipated with little risk of the market rising
Maximum Risk = Unlimited to the upside
Maximum Profit = Limited to the credit received on the short put option plus (price of the short underlying asset - put option strike price) times the value per point
Breakeven = Price of the underlying asset + short put premium received
Margin = Required. The amount is subject to your broker's discretion.

Bear Call Spreads

A bear call spread is a credit spread created by purchasing a higher strike call and selling a lower strike call with the same expiration dates. This strategy is best implemented in a moderately bearish or stable market to provide high leverage over a limited range of stock prices. The profit on this strategy can increase by as much as 1 point for each 1-point increase in the price of the underlying. However, the total investment is usually far less than that required to buy the stock or futures contract. The strategy has both limited profit potential and limited downside risk.

Steps to Using a Bear Call Spread
1. Look for a moderately bearish market where you anticipate a modest decrease in the price of the underlying stock-not a large move.
2. Check to see if this stock has options.
3. Review call options premiums per expiration dates and strike prices.
4. Investigate implied volatility values to see if the options are overpriced or undervalued.
5. Explore past price trends and liquidity by reviewing price and volume charts over the last year.
6. Choose a higher strike call to buy and a lower strike call to sell with the same expiration date.
7. Calculate the maximum potential profit by computing the net credit of the two option premiums.
8. Calculate the maximum potential risk by multiplying the value per point by the difference in strike prices and subtracting the net credit received.
9. Calculate the breakeven by adding the net credit to the lower strike price.
10. Create a risk profile for the trade to graphically determine the trade's feasibility.
11. Write down the trade in your trader's journal before placing the trade with your broker to minimize mistakes made in placing the order and to keep a record of the trade.
12. Contact your broker to buy and sell the chosen call options.
13. Watch the market closely as it fluctuates. The profit on this strategy is limited - a loss occurs if the underlying stock rises to or above the breakeven point.
14. To exit the trade, you need to sell the higher strike put and buy the lower strike put or simply let the options expire.
Bear Put Spreads
A bear put spread is a debit spread created by purchasing a higher strike put and selling a lower strike put with the same expiration dates. This strategy is best implemented in a moderately bearish market. It provides high leverage over a limited range of stock prices. The profit on this strategy can increase by as much as 1 point for each 1-point increase in the price of the underlying. However, the total investment is usually far less than that required to buy the stock shares. The strategy has both limited profit potential and limited downside risk.

Steps to Using a Bear Put Spread
1. Look for a moderately bearish market where you anticipate a modest decrease in the price of the underlying stock-not a large move.
2. Check to see if this stock has options.
3. Review put options premiums per expiration dates and strike prices.
4. Investigate implied volatility values to see if the options are overpriced or undervalued.
5. Explore past price trends and liquidity by reviewing price and volume charts over the last year.
6. Choose a higher strike put to buy and a lower strike put to sell with the same expiration date.
7. Calculate the maximum potential profit by multiplying the value per point by the difference in strike prices and subtracting the net debit paid.
8. Calculate the maximum potential risk by computing the net debit of the two option premiums.
9. Calculate the breakeven by subtracting the net debit from the higher strike price.
10. Create a risk profile for the trade to graphically determine the trade's feasibility.
11. Write down the trade in your trader's journal before placing the trade with your broker to minimize mistakes made in placing the order and to keep a record of the trade.
12. Contact your broker to buy and sell the chosen put options.
13. Watch the market closely as it fluctuates. The profit on this strategy is limited-a loss occurs if the underlying stock rises to or above breakeven point.
14. To exit the trade, you need to sell the higher strike put and buy the lower strike put or simply let the options expire. The maximum profit occurs when the price of the underlying stock falls below the short put strike price. If and when the short put is exercised by the assigned option holder, you can exercise the long put to sell the shares purchased from the option holder at the higher long put price, pocketing the difference plus the premium of the short put.

OPTION TRADING EDUCATION

OPTION TRADING EDUCATION

　 Advanced Options Concepts

Now that you抳e learned the basics of option trading, it抯 time to look at a few of the more advanced topics.

Our Advanced options section will provide you with a an overview of some of the important indicators such as greeks and volatility as well as ways to spot good trades. These concepts will help you to understand how Wall Street traders formulate their own trades.

Here is an overview of the topics that will be addressed:
What Affects Equity Option Prices? Learn what goes into pricing an option so you know how to spot a deal.

Volatility: Learn how high or low volatility can affect the price of an option.

Liquidity: Learn the importance of market liquidity.

LEAPs: Learn how to control long-term risk using options.

Intrisic Value Time Value: Learn how time affects an options value and what that means for your investment.

Greeks: Learn how to quantify an options' position in the current market.
What Affects Equity Option Prices?

Option pricing is based on a variety of factors. There are seven main components that affect the premium of an option. These are:
1. The current price of the underlying financial instrument
2. The strike price of the option in comparison to the current market price (intrinsic value)
3. The type of option (put or call)
4. The amount of time remaining until expiration (time value)
5. The current risk-free interest rate
6. The volatility of the underlying financial instrument
7. The dividend rate, if any, of the underlying financial instrument
Each of these factors plays a unique part in the price of an option. In most cases, the first 4 are pretty easy to figure out. The rest are often forgotten or overlooked. However, although they may be a little confusing, each is important. For example, when it comes to trading with options, reviewing volatility levels can help traders determine the right options strategy to employ.

In addition, it is noteworthy to assess the current risk-free interest rate and whether or not a particular stock is prone to the release of dividends. Higher interest rates can increase option premiums, while lower interest rates can lead to a decrease in option premiums. Dividends act in a similar way, increasing and decreasing an option premium as they increase or decrease the price of the underlying asset. Also, if a stock were to pay a dividend, a short seller would be responsible for that payment. This means that a short seller in securities not only has unlimited risk of the stock price rising, but also is responsible for the dividends paid out.
Volatility

Volatility is one of the most important factors in an option's price. It measures the amount by which an underlying asset is expected to fluctuate in a given period of time. It significantly impacts the price of an option's premium and heavily contributes to an option's time value. In basic terms, volatility can be viewed as the speed of change in the market, although you may prefer to think of it as market confusion. The more confused a market is, the better chance an option has of ending up in-the-money. A stable market moves slowly. Volatility measures the speed of change in the price of the underlying instrument or the option. The higher the volatility, the more chance an option has of becoming profitable by expiration. That's why volatility is a primary determinant in the valuation of options' premiums. There are options strategies that can be used to take advantage of either scenario.

Liquidity

Options strategies must be applied in specific market conditions to be money-makers. Liquidity is one of these market conditions. Liquidity is the ease with which a market can be traded. A plentiful number of buyers and sellers boosts the volume of trading producing a liquid market. Liquidity allows traders to get their orders filled easily as well as to quickly exit a position.

The best way to discover which markets have liquidity is to actually visit an exchange. The pits where you see absolute chaos are markets with liquidity. As long as there are plenty of floor traders screaming and yelling out orders as if their lives depended on it, you will probably have no problem getting in and out of a trade. However, I tend to avoid the pits where the floor traders are falling asleep as they read the newspapers. These are obviously illiquid markets and it would not be a wise move to place an options-based trade there.

If you don't have the ability to actually visit an exchange, you can still check out the liquidity of a market by reviewing the market's volume to see how many shares have been bought and sold in one day. As a rule of thumb, I choose markets that trade at least 300,000 shares a day, although one million shares a day is even better. It is also vital to ascertain whether or not trading volume is increasing or decreasing. This kind of volume movement is studied to indicate turning points in market price action. You can also monitor liquidity by monitoring the buying and selling of block trades-orders of 5,000 shares at a time-by institutional traders.
LEAPs

Long-term Equity Anticipation Products (LEAPS) are options that don't expire for at least 9 months and can have expiration 2 or 3 years out. Once an option's expiration gets closer than 9 months, they become plain options again with an entirely new ticker symbol. Be this as it may, LEAPS are in every way an option. Their expirations are a long way off and that makes them prime candidates for long-term plays and secure bets for shorter-term trades.

For traders with a traditional buy and hold orientation, options usually carry with them the stigma of being short-term trading tools with tax consequences. LEAPS, by the very nature of their long-term expiration dates, help to overcome this stigma. It isn't unusual for LEAPS traders to hold a position for more than a year. Plus, LEAPS have the added benefit of giving a trader significantly more time to be right about a market move.

GREEKS
The option Greeks are a set of measurements that quantify an option position exposure to risk. Options and other trading instruments have a variety of risk exposures that can vary dramatically over time or as markets move. Each of the option Greeks represent a different variable of option pricing.

Each risk measurement is named after a different letter in the Greek alphabet including delta, gamma , theta, and vega (vega is not actually a Greek letter, but it is used in context anyway). In the beginning, it is important to be aware of all the Greeks, although understanding the delta is the most crucial to your success. Comprehending the definition of each of the Greeks will give you the tools to decipher option pricing. Each of the terms defined below has a specific use in day-to-day trading.

Theta: Change in the price of an option with respect to a change in its time to expiration (time value).

Vega: Change in the price of an option with respect to its change in volatility

Delta: Change in the price of an option relative to the change of the underlying security.

Gamma: Change in the delta of an option with respect to the change in price of its underlying security.

OPTION TRADING EDUCATION

OPTION TRADING EDUCATION

OPTION TRADING EDUCATION

　 BASIC OPTIONS CONCEPTS

OPTION TRADING EDUCATION

Options are tools that if used properly can greatly increase your alternatives when investing in the stock markets. They allow you Options?that you would not normally have when purchasing securities.
? You can shield your portfolio from market downturns. .
? You are able to position yourself to purchase stock during a price drop.
? You can prepare to profit from any market movement ?up, down, or sideways.
? You can benefit from market movement without incurring the cost of an outright stock purchase.
BASIC CONCEPTS
If you are new to options trading, consider starting out by looking over the Basic Options Concepts. As you read through the material you will begin to see that options are a simple way to manage the risk of your investments and that with only a little education, you too can put these simple and effective tools to work for you.
ADVANCED CONCEPTS
If you are a returning user or have previous experience with options, look at our Advanced Options Materials and Strategy pages. Here you will find an overview of some of the more sophisticated trading concepts.
If you already know and understand options, you will want to see the different risk management trading strategies that we teach. Here you can see how you can profit in an up, down, or sideways Market.

BASIC OPTIONS CONCEPTS
Congratulations on taking the first step towards a better understanding of option trading. At Optionetics, we know that learning to trade options often seems a bit overwhelming - but don抰 worry, we抣l have you up and trading in no time at all!
Our basic options section will provide you with a fundamental framework on which you can build your better understanding of what options are and how they work.
Here is an overview of the topics that will be addressed:How Options Work: Learn what an option is and how it can control the risk of any investment.
How to Use Options: Learn how to employ options strategies based on your personal market sentiments.
Exiting an Option Position: Learn how to properly exit a position to maximize profit while minimizing risk.
Call Options: Learn what it means to buy or sell a call option.
Put Options: Learn what it means to buy or sell a put option.
How Options Work

Options are the most versatile trading instrument ever invented. Since options cost less than stock, they provide a high leverage approach to trading that can significantly limit the overall risk of a trade or provide additional income. Simply put, option buyers have rights and option sellers have obligations. Option buyers have the right, but not the obligation, to buy (call) or sell (put) the underlying stock (or futures contract) at a specified price until the 3rd Friday of their expiration month. There are two kinds of options: calls and puts. Call options give you the right to buy the underlying asset. Put options give you the right to sell the underlying asset. It is essential to become familiar with the inner workings of both. Every strategy you learn from this point on depends on your thorough understanding of these two kinds of options.

There are no margin requirements if you want to purchase an option because your risk is limited to the price of the option. In contrast, option sellers receive a credit in their account for selling an option and get to keep this amount if the option expires worthless. However, option sellers also have an obligation to buy (put) or sell (call) the underlying instrument if their option is exercised by an assigned option holder. Therefore, selling an option requires a healthy margin.

To trade options, you must be acquainted with the select terminology of the option market. The price at which an underlying stock can be purchased or sold if the option is exercised is called the strike price. Options are available in several strike prices above and below the current price of the underlying asset. Stocks priced below $25 per share usually have strike prices at 2 ?dollar intervals. Stocks priced over $25 usually have strike prices at $5 dollar intervals.
The date the option expires is referred to as the expiration date. A stock option expires by close of business on the 3rd Friday of the expiration month. All listed options have options available for the current month and the next month as well as specific future months. Each stock has a corresponding cycle of months that they offer options in. There are three fixed expiration cycles available. Each cycle has a four-month interval:
A. January, April, July and October
B. February, May, August and November
C. March, June, September and December
The price of an option is called the premium. An option's premium is determined by a number of factors including the current price of the underlying asset, the strike price of the option, the time remaining until expiration, and volatility. An option premium is priced on a per share basis. Each option on a stock corresponds to 100 shares. Therefore, if the premium of an option is priced at 2, the total premium for that option would be $200 (2 x 100 = $200). Buying an option creates a debit in the amount of the premium to the buyer's trading account. Selling an option creates a credit in the amount of the premium to the seller's trading account:
Example: Jane wants to buy a house. After a few weeks of searching, she discovers one she really likes. Unfortunately, she won't have enough money for a substantial down payment for another six months. So, she approaches the owner of the house and negotiates an option to buy the house within 6 months for $100,000. The owner agrees to sell her the option for $2,000.

Scenario 1: During this 6-month period, Jane discovers an oil field underneath the property. The value of the house shoots up to $1,000,000. However, the writer of the option (the owner) is obligated to sell the house to Jane for $100,000. Jane buys the house for a total cost of $102,000-$100,000 for the house plus the $2,000 premium paid for the option. She promptly turns around and sells it for a million dollars for huge profit of $898,000 and lives happily ever after.

Scenario 2: Jane discovers a toxic waste dump on the property. Now the value of the house drops to zero and she obviously decides not to exercise the option to buy the house. In this case, Jane loses the $2,000 premium paid for the option to the owner of the property.

How Options Work Review

1. Options give you the right to buy or sell an underlying instrument.
2. If you buy an option, you are not obligated to buy or sell the underlying instrument; you simply have the right to.
3. If you sell an option and the option is exercised, you are obligated to deliver the underlying asset (call) or take delivery of the underlying asset (put) at the strike price of the option regardless of the current price of the underlying asset.
4. Options are good for a specified period of time, after which they expire and you lose your right to buy or sell the underlying instrument at the specified price.
5. Options when bought are done so at a debit to the buyer.
6. Options when sold are done so by giving a credit to the seller.
7. Options are available in several strike prices representing the price of the underlying instrument.
8. The cost of an option is referred to as the option premium. The price reflects a variety of factors including the current price of the underlying asset, the strike price of the option, the time remaining until expiration, and volatility.
9. Options are not available on every stock. There are approximately 2,200 stocks with tradable options. Each stock option represents 100 shares of a company's stock.
How You Can Use Options

Options can be used in a variety of ways to profit from a rise or fall in the underlying market. The most basic strategies employ put and call options as a low capital means of garnering a profit on market movement. Options can also be used as insurance policies in a wide variety of trading scenarios. You probably have insurance on your car or house because it is the responsible and safe thing to do. Options provide the same kind of safety net for trades and investments. They also increase your leverage by enabling you to control the shares of a specific stock without tying up a large amount of capital in your trading account.

The amazing versatility that an option offers in today's highly volatile markets is welcome relief from the uncertainties of traditional investing practices. Options can be used to offer protection from a decline in the market price of a long underlying stock or an increase in the market price of a short underlying stock. They can enable you to buy a stock at a lower price, sell a stock at a higher price, or create additional income against a long or short stock position. You can also use option strategies to profit from a move in the price of the underlying asset regardless of market direction.

There are three general market directions: up, down, and sideways. It is important to assess potential market movement when you are placing a trade. If the market is going up, you can buy calls, sell puts or buy stocks. Do you have any other available choices? Yes, you can combine long and short options and underlying assets in a wide variety of strategies. These strategies limit your risk while taking advantage of market movement.

The following tables show the variety of options strategies that can be applied to profit on market movement:
Bullish Limited Risk
Strategies
Bullish Unlimited Risk
Strategies
Bearish Limited Risk
Strategies

Buy Call
Bull Call Spread
Bull Put Spread

Call Ratio Backspread
Buy Stock
Sell Put
Covered Call

Call Ratio Spread
Buy Put
Bear Put Spread
Bear Call Spread

Put Ratio Backspread

Bearish Unlimited Risk Strategies
Neutral Limited Risk Strategies
Neutral Unlimited Risk Strategies

Sell Stock
Sell Call
Covered Put

Put Ratio Spread
Long Straddle
Long Strangle
Long Synthetic Straddle
Put Ratio Spread
Long Butterfly

Long Condor
Long Iron Butterfly
Short Straddle
Short Strangle
Call Ratio Spread

Put Ratio Spread

It is of paramount importance to be creative with your trading. Creativity is rare in the stock and options market. That's why it's such a winning tactic. It has the potential to beat the next person down the street. You have a chance to look at different scenarios that they do not have the knowledge to construct. All you need to do is take one step above the next guy for you to start making money. Luckily the next person, typically, does not know how to trade creatively.

Exiting an Option Position

Once you own an option, there are three methods that can be used to make a profit or avoid loss: exercise it, offset it with another option, or let it expire worthless. By exercising an option you have purchased, you are choosing to take delivery of (call) or to sell (put) the underlying asset at the option's strike price. Only option buyers have the choice to exercise an option. Option sellers, on the other hand, may experience having an option assigned to an option holder and subsequently exercised.

Offsetting is a method of reversing the original transaction to exit the trade. If you bought a call, you have to sell the call with the same strike price and expiration. If you sold a call, you have to buy a call with the same strike price and expiration. If you bought a put, you have to sell a put with the same strike price and expiration. If you sold a put you have to buy a put with the same strike price and expiration. If you do not offset your position, then you have not officially exited the trade.

If an option has not been offset or exercised by expiration, the option expires worthless. If you originally sold an option, then you want it to expire worthless because then you get to keep the credit you received from the option premium. Since an option seller wants an option to expire worthless, the passage of time is an option seller's friend and an option buyer's enemy. If you bought an option, the premium is nonrefundable even if you let the option expire worthless. As an option gets closer to expiration, it decreases in value.

It is important to note that most options traded on U.S. exchanges are American style options. In essence, they differ from European options in one main way. American style options can be exercised at any time up until expiration. In contrast, European style options can be exercised only on the day they expire. All the options of one type (put or call) which have the same underlying security are called a class of options. For example, all the calls on IBM constitute an option class. All the options that are in one class and have the same strike price are called an option series. For example, all IBM calls with a strike price of 130 (and various expiration dates) constitute an option series.

Call Options

Call options give the buyer the right, but not the obligation, to purchase an underlying asset. They are available in various strike prices depending on the current market price of the underlying instrument. Expiration dates can vary from one month out to more than a year (LEAPS options). Depending on the mood of the market, you may choose to buy (go long) or sell (go short) a call option.

If you choose to buy or go long a call option, you are purchasing the right to buy the underlying instrument at whatever strike price you choose until the expiration date. The premium of a long call option shows up as a debit in your trading account. The premium amount represents the maximum risk a long call strategy can incur. Profit is made on a long call when the price of the underlying asset rises above the strike price of the call. You can then either exercise the call or offset it by selling a call with the same strike price and expiration date. By exercising a long call, you end up with 100 shares per option of the underlying stock at the call strike price. You can then turn around and sell the underlying asset at the current (higher) price to garner a profit on the difference between two (current price - strike price = profit). If you choose to offset the call option, the maximum profit is unlimited. The call's premium will increase in value depending on how high the underlying instrument rises in price beyond the strike price of the call. As the price of the underlying asset rises, the long call becomes more valuable because it gives you (or the person you sell it to) the right to buy the underlying stock at the lower strike price of the call. That's why you want to go long a call option in a rising or bull market.

If you choose to sell or go short a call option, you are selling the right to buy the underlying instrument at a particular strike price to an option holder. Selling a call option prompts the deposit of a credit in your trading account in the amount of the call's premium-a limited profit. You get to keep this credit if the option expires worthless. Thus, to make money on a short call, the price of the underlying asset must stay below the call's strike price. If the price of the underlying asset rises above the short call strike price, it will be assigned to an option holder who may choose to exercise it. This gives the option holder the right to buy 100 shares (per option) of the underlying stock from the assigned option buyer at the strike price of the short call. This means that the option seller must buy the underlying asset at the current price and sell it at the call's lower strike price to the assigned option holder, thereby incurring a loss on the trade (current price - strike price = loss). The maximum loss is therefore unlimited to the upside, which is why selling "naked" or unprotected call options comes with such a high risk. However, experienced traders who do choose to short call options would be wise to do so in a stable or bear market.

Call options give you the right to buy something at a specific price for a specific time period. However, if the current market price is more than the strike price, the call option is in-the-money (ITM). If the current market price is less than the strike price, the call option is out-of-the-money (OTM). If the current market price is the same as (or close to) the strike price, the call option is at-the-money (ATM).
Example: A local newspaper advertises a sale on VCRs for only $129.95. The next day Jane goes down to the electronics store intending to purchase a VCR at the advertised price. Unfortunately, by the time she arrives, the VCR is already out of stock. The manager apologizes and gives her a rain check entitling Jane to buy the same VCR for the advertised price of $129.95 anytime within the next two months. Jane has just received a long call option which gives her the right, but not the obligation, to purchase the VCR at the guaranteed strike price of $129.95 until the expiration date two months away.

Scenario 1: A few weeks later, Jane return's to the store to exercise her rain check. The same VCR is now in stock, priced at $179.95. Jane approaches the store manager who agrees to honor the rain-check and sell her a VCR for the advertised price of $129.95. Jane has just saved $50. Her long call option was in-the-money.

Scenario 2: A few weeks later, Jane returns to the store and finds the VCR on sale for $119.95? Her rain check is now worthless because she can simply purchase the VCR at the reduced price. In this case, Jane's call option expired worthless because it was out-of-the-money. Just because you own a long call option doesn't mean you are under any obligation to use it.

Scenario 3: Jane's friend Jeff phones and mentions that his VCR has just broken. She tells him about her rain-check and agrees to sell it to Jeff for $5 (the option premium). The strike price is still $129.95 and the expiration date is 2 months out. However, Jeff is taking a risk. The VCR might be priced lower than the $129.95 strike price in which case the rain-check is worthless and Jeff loses $5.

Call Option Review
1. Call options give traders the right to buy the underlying stock at the strike price until market close on the 3rd Friday of the expiration month. A call option is in-the-money (ITM) if its strike price is below the current price of the underlying stock. A call option is out-of-the-money (OTM) if its strike price is above the current price of the underlying stock. A call option is at-the-money (ATM) if its strike price is the same as (or close to) the current price of the underlying stock.
2. Buying Calls - If bullish - believe the market will rise - buy (go long) calls. Buyers have rights. A call buyer has the right, but not the obligation, to buy the underlying stock at the strike price until the expiration date. If you buy a call option, your maximum risk is the money paid for the option, the debit. The maximum profit is unlimited depending on the rise in the price of the underlying asset. To offset a long call, you have to sell a call with the same strike price to close out the position. By exercising a long call, you are choosing to purchase 100 shares of the underlying stock at the strike price of the call option.
3. Selling Calls - If bearish - believe the market will fall - sell (go short) calls. Sellers have obligations. A call seller has the obligation to sell 100 shares of the underlying stock at the strike price to the person to whom the option was sold, if that person chooses to exercise the call option. Sellers have obligations. If you sell a call option, your risk is unlimited to the upside. The profit is limited to the credit received from the sale of the call. When selling calls, make sure to choose options with little time left until expiration. Call sellers want the call to expire worthless so that they can keep the whole premium. To offset a short call, you have to buy a call with the same strike price to close out the position.
Put Options
Put options give the buyer the right, but not the obligation, to sell an underlying asset at the strike price until market close on the 3rd Friday of the expiration month. Just like call options, put options come in various strike prices depending on the current market price of the underlying instrument with a variety of expiration dates. Expiration dates can vary from one month out to more than a year (LEAPS options). However, unlike call options, you might consider going long a put option if you expect market prices to fall (bearish). In contrast, if you are bullish (expect the market to rise), you might consider selling a put option.

If you choose to buy or go long a put option, you are purchasing the right to sell the underlying instrument at whatever strike price you choose until the expiration date. The premium of the long put option will show up as a debit in your trading account. The cost of the premium is the maximum loss you risk by purchasing a put option. The maximum profit is limited to the downside as the underlying stock falls to zero. A profit can be made in one of two ways if the underlying market declines. By exercising a put option, you are short 100 shares of the underlying stock. If and when the underlying stock falls below the put strike price, you can exercise the put to short the shares at a higher price and then buy the underlying stock at a cheaper price to cover the short and exit the trade (strike price - current price = profit). The second technique for profiting on a put comes from offsetting it. If the price of the underlying stock falls, the corresponding put premium increases and can then be sold at a profit. If you go long a put option and the underlying security (index or stock) increases in price, the value of the put will fall. Then you can either sell the put at a loss or let it expire worthless.

If you choose to sell or go short a put option, you are selling the right to sell the underlying stock at a particular strike price to an option holder. The premium of the short put will show up as a credit in your trading account. In most cases, you are anticipating that the short put option will simply expire worthless on the expiration date so that you can keep the premium received. The premium amount is the maximum profit you can receive by selling a put option. If the underlying stock falls below the put strike price, the put will most likely be assigned to an option holder who may choose to exercise the option. The option seller then has an obligation to buy 100 shares (per option) of the underlying stock at the put strike price from the option holder. You will then be long 100 shares of the underlying stock and your loss depends on how low the price of the underlying stock falls as you try to sell the shares to exit the position. Experienced traders who choose to go short put options do so in a stable or bull market because the put will not be exercised unless the market falls.

Put options give you the right to sell something at a specific price for a fixed amount of time. A put option is in-the-money (ITM) when the strike price is higher than the market price of the underlying asset. A put option is at-the-money (ATM) when the price of the underlying is equal (or close) to its strike price. A put option is out-of-the-money (OTM) when the price of the underlying security is greater than the strike price.
Example: Jane opens a small travel business that specializes in island vacations. The manager of a a local business agrees to purchase 100 trips to Hawaii in January for $300 round-trip as perks for his employees. Jane's computed total cost of each trip is $200-a $100 profit on each trip which locks in a guaranteed profit of $10,000 for her initial period of operation. In effect, the guaranteed order is a put option.

Scenario 1: As luck would have it, just as November rolls around, a competitor offers the same trip for only $250. If Jane didn't have a put option agreement, she would have to drop her price to meet the competition's price, and thereby lose a significant amount of profit. Luckily, she exercises her right to sell the trips to Hawaii for $300 each and enjoys a healthy profit in the new year. Jane's put option was in-the-money in comparison to the price of her competitor.

Scenario 2: Jane gets a call from another client who needs to set up 100 trips in January to fulfill obligations to his management team and is willing to pay up to $400 per trip. Since Jane is under no obligation to sell the trips to her first customer, she agrees to sell them for the higher market price and makes a total profit of $20,000 on the deal.

Put Option Review

1. Put options give traders the right, but not the obligation, to sell the underlying stock at the strike price until market close on the 3rd Friday of the expiration month. A put option is in-the-money (ITM) if its strike price is above the current price of the underlying stock. A put option is out-of-the-money (OTM) if its strike price is below the current price of the underlying stock. A put option is at-the-money (ATM) if its strike price is the same as (or close to) the current price of the underlying stock.
2. Buying Puts - If the options trader is bearish -- believes the underlying stock or index will fall in price -- the trader can buy (go long) puts. When the put is purchased, it is called an opening transaction. Now, the buyer has rights. A put buyer has the right, but not the obligation, to sell the underlying stock at the strike price of the option until the expiration date. Furthermore, if a trader buys a put option, the risk of the trade equals the money paid for the option, or the debit. The profit is equal to the fall in the price of the underlying asset. The profit will result if the underlying security moves lower. The profit is limited because the underlying asset will not fall below zero. Finally, to offset a long put, the trader will sell a put with the same terms (strike price and expiration) to "close" out the position. On the other hand, if the trader exercises a long put, then he or she is selling, or short, the underlying stock or index at the strike price of the put option.
Selling Puts - If the options trader is bullish -- believes the market will rise -- the trader can sell (go short) puts. Sellers have obligations. A put seller has the obligation to buy 100 shares (per option) of the underlying stock at the put strike price. In other words, the option seller must be ready to have the stock "put" to him or her. The put seller's risk is the drop in the stock price, which is limited to the stock falling to zero. The profit equals the credit received from the sale of the put. Put sellers often prefer options with little time left until expiration because they want a put to expire worthless. In that way, the seller keeps the entire premium. A short put is offset by purchasing a put with the same strike price and expiration to close out the position.

期权交易实战及期权交易所是怎样运作的？

期权交易实战及期权交易所是怎样运作的？

　

吴叶集团研究部

本文由CBOE的教育机构－－期权研究所的职员写成,故大多数案例都出自CBOE的交易过程。不过,请记住一点:本文所用术语,同样适用于其它期权交易所。但是,不排除其它交易所在用词方面有个别甚或重大变动的可能性。当然，有关指令还涉及到你所开户的经纪公司的习惯做法。

引子
美国东部时间,早上9:00,你正呆在厨房。餐桌上放着一杯咖啡,报纸的商业版被翻到最外面,另外还有一沓稿纸和一支铅笔。你琢磨着买进XYZ股票的看涨期权,并做下指令的准备。
你把电视机调到商业频道,以便了解市场的开盘情况,年轻的新闻播音员正播报纽约股票交易所(NYSE)的有关实况。此时,许多疑问涌上心头,“为什么每个人都步履匆匆？那个女交易员是否经得住如此拥挤的场面？那边的几个人是不是刚接到指令向XYZ期权交易池走去？他们中的某个人是否过会儿还会接到你下的指令？还有,这些人怎么穿得怪怪的－－圆点领带,肩膀上带星条的夹克？这还不算,夹克的钮扣上居然还有“猫王”的头像,八成这个年轻人从小就被他妈打扮得很滑稽。什么原因使得这些交易员穿成这样？品位真低。”
交易所的环境是动态变化的,当前采用的指令执行机制就与几年前的大不相同。有理由相信,类似的变化还将持续快速地进行下去。随着技术更加先进,人们不免推测交易所在未来还有没有存在的必要。本书观点是,无论现货交易市场的未来命运如何,但期权交易所都将继续开下去。原因在于,期权交易所不仅以低成本向人们提供金融上的安全保障,同时还提供集中交易的场所,以便有关各方协商如何转移风险。各种类型的交易者都是交易所的客户,交易所将不断致力于提供快捷准确的交易报告,以及安全及时的现金、证券交割。本章也将解释期权交易所是怎样确保完成这些服务的。
至于“猫王”和穿着古怪的人可暂时搁一边,不过,交易池中人们之所以穿上那样的夹克衫是确有原因的。
期权交易指令由职业做市商来完成,这些做市商都是交易所的会员。场内做市商的交易方式和目的,与那些场外投资人和交易者相比截然不同。投资人、交易者与做市商之间不是相互竞争的关系,而只是从事不同职业,采取不同策略而已,双方为达成交易而相辅相成。交易所是功能完善的市场,怀有不同交易动机、持有不同市场观点的人们聚在这里,讨价还价,如果买卖双方都认同一个价格时,交易就算做成了。

从看跌/看涨期权自营商(Put and Call Dealers)制度到交易所体制的过渡
据考证,美国有组织的证券交易开始于1792年,地点为纽约城中的一棵梧桐树下。当时,由24个经纪人和商人自发组成了非正式联盟,该联盟一直持续到1817年纽约股票交易所成立的那一天。之后不久,全美股票交易所(ASE)也相继成立。其间,一些有趣的琐事值得一提。如,许多关于证券交易的早期记录都称ASE为“场外”,可能是因为ASE成立的早些年里,交易者确实站在外面－－繁忙的“华尔街”人行道上进行交易的。
20年代早期,看跌/看涨期权自营商(Put and Call Dealers)都是些职业期权交易者。他们在交易过程中,并不会连续不断地提出报价,正如人们抱怨的那样,仅当价格变化明显有利于他们时,才提出报价。这样,市场的流动性当然就好不起来,这种交易体制也因此受挫。
对于早期交易体制的责难还不止这些。以XYZ期权交易为例,完全有可能出现只有一个交易者在做市的局面,致使买卖价差过大,结果导致“价格发现”－－买卖双方达成一致价格的过程受阻。客户经常会问,“我怎么知道我的指令成交在最好(即公平)的价位上呢？”对市场公平性的顾虑,使得市场无法迅速吸引到更多的参与者。
直到1973年4月26日CBOE开张,上述问题才得到解决,期权合约的有关条款,包括合约量、到期日、敲定价等都标准化了。起初,只开出16只股票的看涨期权,很快,这个数字就不断翻番。股票的看跌期权不久也挂牌交易了。迄今,全美所有交易所内有2500多只股票和60余种股票指数开设相应的期权交易。
期权自营商制度与现代期权交易所体制之间有如下重大的区别:1、做市商有义务连续不断地对所有期权合约提供买卖报价; 2、买卖报价向全球传播; 3、交易对手的信用程度。在CBOE之前,一个经纪商必须找到一个愿意为特定期权报价的期权自营商,自营商在特殊的条款下卖出期权,例,敲定价为当前市价,到期日从即日起算的第90日。现在,期权合约完全标准化了,职业期权做市商们拥挤在交易池内争相竞价。正是标准化和竞价使得市场流动性大大增加,买卖价差也相应缩小。除此之外,现今的做市商有义务遵守交易所和证监会的规定,为所有期权合约提供买卖报价。这些还不是全部,价格竞争甚至可以来自交易所外,期权报价就像股票报价一样,市场参与者可“令市场更好”,即,输入更高的买价或更低的卖价。
由于有了期权清算公司(OCC),交易者便不再顾虑未知信用风险的问题。清算公司信用级别为3个A,从而确保所有期权交易得以履约。假设,你通过经纪商买进XYZ的看涨期权,卖方为TBS经纪行的客户,那么你完全不必担心卖方个人或TBS的信用。因为,从技术角度看,你是从OCC那儿买进看涨期权的;而TBS的客户又是把该期权卖给了OCC。可以说,OCC的存在及其高信用级别,是吸引更多的参与者进入期权市场的主要原因;反过来,更多的参与者又促使流动性得以提高。

CBOE的交易池
CBOE最初由CBOT提供财政资助,CBOE的第一个交易池就设在CBOT会员自助餐厅里,而且与CBOT的交易池相邻。不过,CBOE很快就发展壮大到在CBOT大厦中占据了整整两层空间的程度。1984年,CBOE又搬迁到街对面一幢七层楼房里,这里至今仍是CBOE的所在地。
顺着芝加哥著名的高架铁路列车环线,对芝加哥商业街区进行划分,CBOE大楼算是坐落在南环的顶端。一条人行通道把CBOE、CBOT、CSE(芝加哥股票交易所)以及金融大厦连接起来,金融大厦高30层,许多贸易公司,包括OCC都在这儿办公。CBOE仅其交易池就50,000英尺见方,相当于一个典型的沃－马特商场,3000多人在这里工作,其中还设有4500台计算机终端,比世界上任何一个大厦里的终端还要多(如五角大楼、NASA控制中心等)。交易所地板下布有长达50,000英里的电线,足够绕地球两圈;电力充足,足可为110层高的西尔斯(Sears)大厦提供照明。由于计算机终端和人体散发出大量热量的缘故,CBOE的供热系统只在室外气温达华氏零下10度以下时才会工作,平均算来,每年只有一天气温能达到这种程度。欲了解更多信息,请访问WWW.CBOE.COM.

自营商与经纪商的分离制度
期权交易池里有两类交易者:其一是场内经纪人,专门处理客户指令,不得自营;其二是做市商,完全用自己的资金做交易,有义务提供不少于20种期权合约的买卖盘报价,不得代理客户指令。
这种权限划分被称作自营商与经纪商的分离。场内经纪商为场外投资人和交易者代理交易,随时为他们的最大利益着想,因此,为防止利益冲突,场内经纪商不允许自营。与之相反,做市商专为自己交易,但负有提供买卖报价的义务。只有这样,场外交易者才能在任何时刻进行“市价”指令的交易。

回到餐桌边
此时,你已决定付诸行动了。
敲定价为＄50的XYZ四月到期看涨期权(XYZ April 50)昨天收盘报$2 7/8,XYZ股票则收在$48 3/4。刚才,电视播音员没有提到XYZ发生什么大事,海外市场也很平静,你认为XYZ股票和期权今天将开在昨天收盘价的附近,你做好承担错误决策而产生风险的准备。由此,你决定市价买进10张敲定价为＄50的XYZ四月到期看涨期权(XYZ April 50)合约,因是市价指令,你要求你的经纪人尽可能抢到最好的价位。你拿起电话,开始跟经纪人通话。
闪回

早些年做期权交易时,只能通过电话给经纪人下指令,如你买进10张敲定价为$50的XYZ四月到期看涨期权(XYZ April 50),市价执行。
收到你的口头指令后,经纪人就在印制好的两联指令单上填写这些内容, 打上时间戳,再把第一联送到盘房－－“电报房”,第二联由经纪人保管。
盘房收单后立即再打一次时间戳,然后通过电话或电传,把指令传送到经纪行设在交易所的电话台上。如用电话传送,盘房报单员把指令念给在交易所内的接单员,后者便在交易单上记下这些指令;如用电传,盘房报单员在电传机上用键盘输入指令,交易所电话台上的接收机收到后就打印在交易单上。无论用哪种方式,经纪行场内电话台收到的交易单都相仿于图
7－1,图中所示“市价买进10张敲定价为＄50的XYZ四月到期看涨期权合约”。
场内交易单为五联式的。在打戳并复查指令后,第一联就撕下留在电话台上;跑单员把余下的四联送到在XYZ期权交易池内的经纪人－场内经纪人手上。交易池由一级级的台阶围成圆圈状,以便交易员能看清和听清池内正进行的每件事情。
交易池用来集中交易某只股票的期权合约。根据SEC的规定,买卖双方都必须到集中交易场地进行交易,以确保在某个特定时刻,买方成交在卖方所报的最低价上,反之亦然。
早年间,跑单员要把交易单送到场内经纪人的手上,经纪人有责任帮助客户获得最大利益。场内经纪人分两类:一是经纪行经纪人;二是独立经纪人。经纪行经纪人是该经纪行的雇员,领取固定薪水,只能为本行接单;独立经纪人是自雇的,同时为几家经纪行接单,并按每笔交易收取报酬。独立经纪人有时又被称作“2美元经纪人”,这与NYSE的独立经纪人每处理一笔交易,就收取2美元佣金有关。如果经纪行在某个交易池的工作量很饱满的话,就另外再雇佣一个全日制的场内经纪人;如果工作量不那么多的话,就可雇佣独立经纪人了。
接到市价交易单后,场内经纪人首先在上面打时间戳,复读一遍指令,查看当前市价。所有报价在交易池的大屏幕上有显示,当前市价指的是最新显示的买方愿出的最高买价和卖方愿出的最低卖价,假设,当前报价为“买方报$2 3/4,卖方报$3”。
场内经纪人为确认这的确是最新报价,于是他会大声喊到:“每个人请注意, XYZ 4月 50
是什么价？”这句话听上去令人困惑,因为其中包含了场内用语－－术语、俚语和场内经纪人使用的口头缩略语。下面我们再看看他到底说了什么:
“每个人请注意”意思是,“我想查看一下某个期权的市价,我或许有你们当中某些人想卖出或买进的指令”。因为做市商就是靠买进/卖出期权为生,所以他们会积极响应这一询问。场内经纪人的高声喊叫可以吸引每个人的注意力,包括那些一直在想心事的人们,从而提高获得更好的买/卖价的可能性。
“XYZ 4月 50是什么价?”意思是,“敲定价为＄50的XYZ四月到期看涨期权的最高买价和最低卖价是多少？”其中“APE”为四月(APRIL)的口头缩略语;“50S”为敲定价50的口头缩略语。你是否注意到“看涨”这个词并没有在此出现？做市商又如何得知该经纪人想要的是看涨期权而非看跌期权的呢？场内用语中,如既不提“看涨”,也不提“看跌”,就指的是看涨期权;如果该经纪人所喊叫的是“XYZ 4月 50看跌是什么价？”,那么他是想要看跌期权了。
此时,你或许又想,要花多长时间才能学会这种场内用语呢？答案是:要不了多长时间。只要涉及到金钱,人们总是学得很快。每个场内交易员在出道之初,都要做其它交易员的助手,其中最主要的工作就是学习场内用语。现在再回到有关交易指令的问题上。
至此,应注意一点,这个场内经纪人还没有说明其手中的指令是买进还是卖出,甚至没有明说他手中确有一张指令。各方都根据他想要的最低卖价权衡自己的利益,这个最低卖价是肯定会出现的。
如果大屏幕上先前显示的最好买/卖价还未改变的话,做市商就会蜂拥上来,口中喊到
“2 3/4, 3”,意思是最高买价为2 3/4,最低卖价为3。
此时,经纪人可据此做出决定。指令单上表明买进10张市价合约,所以他就简单地对最先报出“3”的做市商说“买10”,即“我要从你那儿买进10张,每张成交价为3”。如果不止一人报价为3,那该经纪人还可分解指令,分别与多人成交。他会说“3,3,2,2”,即与4个人交易,且报价均为3。
这个经纪人除简单地买进10张报价3的合约外,还可以通过进一步的讨价还价(在买卖市价之间)来获得更好的价格。比如,他可以说“2 7/8 ,10张”,那些报卖价“3”的人当中只要有人说“好吧,2 7/8卖给你”,那他就成功地买到比大屏幕显示价更低的看涨期权。然而,指望其中有人降低报价是没有绝对把握的。事实上,不按当时的最好价成交是要承担一定风险的,
狂热的市场环境中,股价无时无刻不在变化,期权价格也随之不断地调整,正当这个经纪人还在跟别人侃价“2 7/8”时,股价一不留神就上涨了,做市商就要提高报价,高于“3”。由此可见,场内经纪人肩负着重大的责任,还要做重大的决定,所有这些都是为了代表你的最大利益。
假设经纪人已经买进10张价格为“3”的合约,套用场内用语,就是你的指令已经“在3上得以执行了”。此时,他会在交易单上记录交易的主要细节:合约量、价格、与之成交的做市商名称等。附图7－2,为一张已成交交易单,显示已买进10张敲定价为＄50的XYZ四月到期看涨期权合约,其中5张是与＃1公司的XXX成交的;而另5手是与＃2公司的YYY成交的。
经纪人在这张已成交交易单上再次打上时间戳,并保留第2联,第3联作为交易所的交易记录存档。CBOE在每个交易池都设有专职人员负责在每个交易完成后将重要消息通报出去。这就像NYSE的穿孔纸带,用以传播有关股票交易的信息一样,CBOE与其它期权交易所也有及时报告成交情况的制度。
余下的另两联要送回电话台,一般而言,经纪人是不能离开交易池的,以免错过其它客户的交易指令,所以,第4、第5联就被扔进该经纪行的专用邮筒内。各经纪行的专用邮筒都设在交易池边,每隔5－15分钟,经纪行就会派跑单员查看本公司在各个交易池中的邮筒,再取出交易单。电话台的接单员遂撕下第4联作存档用,第5联送到本经纪行设在交易所内的盘房,专人负责把这些交易信息输入电脑（经纪行的电脑系统与交易所电脑系统是彼此相连的〕,从而为买卖单及过户转让基金配对。最终,指令成交确认书会电传到经纪行,经纪人也会得到通知,此后他或她会与你联络通报成交情况。
经纪行设在交易所的盘房起着“交易结算”的作用,其过程类似于支票受理。每张支票上都有一个银行名称、帐户号码,当你存进一张支票时,你的开户行就把它送往支票所指定的银行,后者便从支票指定的帐户中划出相应款项。相似地,场内经纪人为你买进的看涨期权,实际是从某一特定卖方那儿买进的,而该卖方在某经纪行开户。钱款从你在经纪行的帐户中划出,转入卖方在经纪行的帐户中;如果卖方有看涨期权开口头寸,则该头寸就从其交易帐户划进你的交易帐户中;如果卖方没有开口头寸,则卖方帐户中要建立相应的空头看涨期权头寸,同时你的帐户中建立相应的多头看涨期权头寸。

时间问题
读到这儿,可能有人会问:整个过程要花多长时间才能完成？为什么要在交易指令单上打若干个时间戳记？
从你下达指令到指令被执行完毕,其时间跨度为3－30分钟;从指令执行完毕到你收到交易确认,时间跨度短则5分钟,长则3小时。时间间隔的不确定性由多方面因素引起,如,经纪人的繁忙程度、经纪行盘房的繁忙程度、经纪行电话台的繁忙程度、跑单员在传递你的指令前手头尚有多少待处理的指令单、XYZ期权交易池中场内经纪人的繁忙程度、已成交单据要隔多久才被跑单员取走、在你的交易单前还有多少交易单等待健控穿孔等等,等等。从前的交易过程就是这么复杂,尽管有时很不方便,可事实就是这样。
正因为这个过程为时不短,每一步骤都打上时间戳记便为日后提供了一条清晰的稽核线索。过去出问题的可能性为(占全部交易的)2－3％,如发生了什么纠纷,时间戳记就会显示到底哪儿出了问题。例如,本地经纪行盘房上午10点收到客户指令,而交易所电话台直到11:00才收到,显而易见是经纪行盘房拖延了时间。又例如,电话台的时间戳记显示上午10;01,而场内经纪人交易单的时间记录为上午11:00,那问题不是出在电话台就出在跑单员身上。借助这种稽核方式,往往可以在问题发生时分清责任,并进一步改进执行过程。
1990年前,期权交易都一直采用这种大规模的人工系统,从某种角度看虽然不算太糟,但的确不够快。

回到当今
80年代中期,曾有人对个人投资者,即所谓的“散户”下达的指令单做分析研究,从中发现一些有趣的事。大约35％来自散户的指令单仅构成5％的散户交易量,换句话说,就是交易次数多,合约量小。经过认真思考,CBOE和经纪行得出相似的结论:即散户指令的执行过程不需要人工参与;而且成交回报越快,客户越满意。基于这种想法,再结合“10－up规则”(现在为20-up规则),就可通过自动化系统来完成某些交易。

20－up期货法规和最大价差
还记得吗,早期期权市场只有看跌看涨自营商,最大的问题就是缺乏足够多的买卖报价,导致市场流动性极低。为避免发生同类问题,CBOE先是实行“10－up规则”,后又推出“20－up规则”。规则要求CBOE的做市商必须在所报买盘上买进至少20张合约;在所报卖盘上卖出至少20张合约。拿前面提到的报价为例,买盘报2 3/4,卖盘报3,那么做市商有义务在
价位2 3/4上买进20张,在价位3上卖出20张。此外,交易所还制订规则以限制买卖价差的最大幅度。例如,买盘低于2时,最大买卖价差为1/4点,即,买盘若报1 3/4,卖盘为2是许可的,但卖盘为2 1/4就“过宽”了。做市商一旦违反最大买－卖价差规则,就要被交易所的监督机构科以罚款。

回到当今
80年代中期,曾有人对个人投资者,即所谓的“散户”下达的指令单做分析研究,从中发现一些有趣的事。大约35％来自散户的指令单仅构成5％的散户交易量,换句话说,就是交易次数多,合约量小。经过认真思考,CBOE和经纪行得出相似的结论:即散户指令的执行过程不需要人工参与;而且成交回报越快,客户越满意。基于这种想法,再结合“10－up规则”(现在为20-up规则),就可通过自动化系统来完成某些交易。

20－up期货法规和最大价差
还记得吗,早期期权市场只有看跌看涨自营商,最大的问题就是缺乏足够多的买卖报价,导致市场流动性极低。为避免发生同类问题,CBOE先是实行“10－up规则”,后又推出“20－up规则”。规则要求CBOE的做市商必须在所报买盘上买进至少20张合约;在所报卖盘上卖出至少20张合约。拿前面提到的报价为例,买盘报2 3/4,卖盘报3,那么做市商有义务在
价位2 3/4上买进20张,在价位3上卖出20张。此外,交易所还制订规则以限制买卖价差的最大幅度。例如,买盘低于2时,最大买卖价差为1/4点,即,买盘若报1 3/4,卖盘为2是许可的,但卖盘为2 1/4就“过宽”了。做市商一旦违反最大买－卖价差规则,就要被交易所的监督机构科以罚款。

自动化成交系统
面对“20－up规则”、迅速回报成交以及不需人工介入某些交易过程的要求,再顺着这个思路下去,就是为什么不采用电子化手段向散户提供及时的交易回报呢？为什么不去掉人工操作过程中的某些程序呢？
显然,并不存在不能这么做的原因。80年代中期,CBOE便开始尝试使用RAES(Retail Automation Execution System)系统－－散户自动化成交系统。凡进入RAES系统的,合约量在20张以内的证券类指令或10张以内的指数类指令,无论为市价条件还是限价条件,都能在目前市价基础上得以执行。CBOE的电脑系统只需按所申报的价格,指定某个做市商为交易的反方,即可为散户的交易指令配对。假设,你欲以市价买进10张敲定价50,四月到期的XYZ看涨期权, 并把指令输入RAES系统。当RAES判明“3”为卖盘报价时,就立即自动通知经纪行,已在该价位买进10张合约;另一方面,RAES系统又随机挑选出和条件的做市商作为卖方。与此同时,有关成交情况还会告知经纪行,而XYZ期权交易池还要为此打印出书面文件来。

其它自动化成交系统
现在,除了手写指令单外,经纪人还可以把指令直接输入电脑,几乎同时,CBOE的主机就接收到这一指令了。这就是指令路径系统ORS的工作原理 ,图F－3显示CBOE的ORS系统的几种路径。

F—3 CBOE指令路径系统

OPTIONORDERFROMRIRM
ORDERROUTINGSYSTEM
BOOTH CROWD
`

为执行这一指令,计算机先要询问几个问题。指令是否适合RAES系统完成？换句话,就是指令是否来自散户,合约量是否在20张以内？答案若是肯定的,RAES系统就开始启动,并运行,经纪行则几乎同时得到成交通知。
答案若是否定的,计算机就会马上判断原因,指令是否来自经纪行或自营商？指令是否附带限制性条件,如立即执行否则撤销、执行或作废、全部执行或者都不执行等。其它附带限制性条件的指令还可能是执行当前期权合约时要与相对应股票的最新卖出价相关等。
如果指令不适合RAES系统,交易所计算机系统自动决定如何进行下一步。由于每个经纪人的操作方式都略微不同,经纪人都有交易所的指令条目,这样计算机就可以发出指示,每类指令该怎样处理。

价格预订(埋单)
当限价指令给出“远离市价”的价位,即买价低于当前最高买盘,或卖价高于当前最低卖盘,此时,经纪行指示交易所把该项指令发送到“公共限价指令预订处”,简称为“预订处”。建立预订机制的目的在于使公众投资人和交易者所下达的无附带条件的限价指令得以优先执行。不同于RAES系统的是,对进入“预订处”的指令没
有设数量限制。例如,“预订处”中,“在2 1/2买进10张合约”的指令,就可先于场内交易者同样价位的指令得以优先成交。优先权指的是,如果买价为2 1/2,那么任何提交卖价为2 1/2的卖方都必须把合约优先卖给预订处,直到预订处所有买价为2 1/2的合约成交,卖方才可以把合约卖给场内经纪人和做市商。“预订”的作用,在于向不在场内的公众投资人(相对于职业经纪人/自营商)提供优先执行特定指令的机会,这种特定指令指的是当市场价格变化到其要求的价位水平就执行。当然,交易所并不保证市场价格一定变化到某个水平上。
由经纪人/自营商所下达的限价指令,或有附带条件的限价指令就不能进入“预订”系统,而是以电子化方式传送至场内经纪人或经纪行电话台上。直接送至场内经纪人是令指令抵达交易池的最快方式,但并不总是最好的方式,原因在于场内经纪人有可能忙于处理其它指令,所以,不如先送至经纪行电话台,倒有可能更好些。不过无论指令送到哪儿,人工跑单员都不再需要了。

处理非RAES类指令
假设XYZ期权交易池内交易繁忙,因此经纪行场内经理决定,把那些适合非RAES系统的指令以电子化方式传输到电话台上。这样,他就有时间结合当前市况考虑怎样最好地为客户服务。场内经理有权决定或把指令传到XYZ交易池中的经纪人手上,或干脆下到池中另一个眼下不太忙的经纪人手上。现在,我们就来看看,在当今高度自动化的市场中,上述交易活动是怎样得以完成的。
假设你的指令为“买进30张敲定价50,4月到期的XYZ看涨期权,限价2 7/8”,该看涨期权当前买盘报2 3/4,卖盘报3。又假设XYZ交易池交易繁忙。因此场内经理指示所有非RAES的XYZ指令都下到电话台上。当指令抵达电话台后,一旦经理发现本公司的场内经纪人忙得不可开交时,就当即决定把指令交由Carl LaFong来处理。Carl是紧邻XYZ池的其它交易池的场内经纪人,场内经理不用象从前那样派跑单员给Carl送指令,而只需触摸显示指令的那台计算机的屏幕即可。这样,该指令又出现在Carl LaFong的手提电脑屏幕上, Carl的手提电脑只有一本书那么大,奔腾配置,在CBOE大厦内可进行红外线及微波信号传输。Carl佩戴的徽章上有他代号缩写,这使他与别人区分开来。 Carl不是个小个子,他的代号缩写为TON。
Carl的屏幕开始闪烁,这表示他刚刚收到了一个指令。随着他的手指轻触屏幕,指令便显示其上。 Carl发现指令与XYZ期权有关,便迅速走向XYZ交易池,并查看监控器,以确定该期权合约的最新买卖价。因交易量多于20张,故 Carl必须以公开喊价的方式－类似于前面所描述的情形,来执行该指令,也是为了查验监控器上报价是否准确,他高喊到“XYZ 4月50看涨是多少？”
他向交易池内的人群示意既买进又卖出敲定价50,4月到期的XYZ看涨期权,这等于在说,
“如果我有买单,谁愿意卖给我？如果我有卖单,谁愿意买？但我并未告诉你们,我到底是买方还是卖方？”记住, Carl有责任代表你的利益－－即在场外的投资者和交易者。本例中,则意味着要获得最低价格,即不能高于2 7/8。
人群中发出“买盘2 3/4,卖盘3”的喊叫,个别人喊得格外响亮。TON于是又用男中音嗓子澄清到“我要的买价为2 7/8”,做市商再报“3”,因他们对对方的底线心中无数。TON假装没有兴趣,继续重复报价2 7/8。于是,报价3 的人迅速查看自己所有的头寸,判断是否可卖掉一些或全部卖掉,有人还可能问TON ,“要多少”？TON此时不一定非告诉对方他想要多少,但为了你的最佳利益着想,他还是告诉对方为好,于是,他答到,“买价2 7/8,30 手”。
此时,一名跑单员来到TON跟前,他穿着一身抢眼的(丑陋的？)深蓝色夹克衫,肩头还缀有星星。其实,TON也穿着同类风格的夹克。交易池内有3000多人,其中只有12人穿TON这种夹克衫,这将有助于跑单员认出他来。独一无二的衣着是做鉴别的最简单方式。
跑单员对TON嘀咕着什么,TON也做了回答。只见跑单员满意地谢了TON,就转身向电话台跑去。那他们到底说了什么,也许是场内经理想弄清楚该指令执行得怎样,当前的买卖价多少,以及在所报卖盘上进行成交的可能性等等。这类信息应再反馈给场外投资人/交易者，好作为他们客观判断市场的依据,是“触及卖盘”－－即把自己的买价提高到“3”,还是“稳住不动”－－即坚持原来的报价。因为TON无权自主决定按“3”成交,所以他只能耐心等待。
于是不久,TON的手提电脑“吡吡”叫起来,他看到上面又显示出新的信息,“买进100张敲定价75,8月到期的UA(The Underwater Airways )看涨期权,市价执行”。UA交易池就在XYZ的对过,穿过过道就到了。但TON却不能身分两处,那他该怎么办？他按了一下电脑上的某个开关,并大声喊到“LZE接我的2 7/8买单”,于是大步流星地穿过过道来到UA池内。发生什么事了？原来Liz Ash代号缩写LZE,这个在XYZ池中的独立经纪人刚刚收到了TON转过来的电子指令,那些本打算把期权卖给TON的做市商,此后就该去找LZE了。
代号缩写为DCA的场内经纪人走进XYZ交易池,问道:“XYZ 4月50 看涨期权什么价？”LZE答道:“2 7/8,买进30张”,其它做市商也喊道:“3,卖出30张”,DCA于是对LZE说:“卖给你20张”。这些遂又挑起另一个做市商SLM想要卖出的意愿,他对LZE说:“我也卖给你20张”,LZE答:“买DCA20手,买SLM10手,我的任务已完成,各位请另寻他人吧”。
嗷,真是既杂又快,发生了什么？
首先,最要紧的就是你的指令已经成交,LZE已买进你想要的30张敲定价50,4月到期XYZ看涨期权,而且是在你所限定的价位上买进的。
TON离开XYZ池时,把你的指令用电子化方式传给了LZE,于是LZE负责执行你的指令。DCA进入XYZ池时,他询问XYZ 4月 50看涨期权的最好买卖价,但并不透露自己是买方还是卖方。LZE因想要为你的买单成交,就报出了最好买价,DCA也就显示自己是卖方,欲卖出20手。DCA手中究竟是市价指令还是限价指令,倒无关紧要,因为,无论他有哪类指令,他都能卖出20张给LZE,而LZE则代表你去买进。
然而,我们不清楚,另一个做市商SLM为什么临时决定卖出余下的10张给LZE。接下来,LZE确认成交情况,核对每个交易者的代号缩写及交易量等细节。当LZE说:“我的任务已完成,各位请另寻他人吧”,这表示LZE手头已没有任何XYZ期权的买卖指令了,因此有该期权的人可向其他人报价。
LZE与对方确认成交后,就把各项细节输入手提电脑中。她敲进以下内容:“买进”(行为)、“20”(数量)、“4月”(到期)、“50” (敲定价)、“看涨期权”(头寸类型)、“2 7/8”(价位)、“DCA”(与之成交的经纪人)及DCA所代表的经纪行的数字代码。她同样要输入与SLM成交的情况。这些成交信息又都通过电子化方式传分别传送到经纪行电话台和经纪行设在交易所内的盘房。
与此同时,DCA和SLM也分别把各自的交易情况输入电脑,当三人做万这些,又都按下“提交”健后,其各自的电脑开始比较信息,DCA、SLM卖出,LZE买进。如果各项信息都相符(数量、敲定价、到期月份等),该笔交易就算了结了。如果其中有一项信息不符,那出现不符信息的电脑开始闪烁,以提示其主人出问题了,这样就可对错误输入的信息进行修改,或相互沟通后解决分歧。
接下来,DCA和SLM把交易报告输入“时间和卖出”系统,其时,交易已了结,只需一方报告交易情况即可,通常由交易卖方负责。“时间和卖出”系统记录了每笔买/卖报盘、每笔交易、及其它门出现的次数,由此,为CBOE所有交易池所发生的所有交易做了完备的备查记录。如出现交易纠纷,这个备查记录就可以帮助判断问题出在哪儿,谁该为此负责任。
运用“手提(电脑)”技术,交易所的信息输入/输出过程几乎不存在时滞问题。截至1998年7月1日,超过80％的散户指令都是由电子交易系统完成的。现在,从指令抵达CBOE算起直到交易确认和交易信息的发布,平均每个指令耗时约48秒。
对交易池的描述
参观交易所的人可能刚到时会略微吃惊,继而又觉得有趣。每个交易池内都同时交易着10－20只股票的期权合约,每个池子中挤满了10－30个做市商和2－5个场内经纪人。
图F－4显示CBOE交易池的人群结构情况。
做市商 (Market Maker) 有权交易CBOE的所有期权合约,但是有经验的做市商通常毕生专注于一个交易池。之所以这样做,是因为,他们认为只有专业化,即专注于一小部分股票的期权才最有可能获得成功。
某个交易池内所交易的期权合约其对应的股票都同处一类行业,如交通类股票CL、UA、TAB等其期权都在同一个交易池里交易,股票分类自然而明确。这样做的原因有两个。首先,如果某只股票交易量较大,那么其它同类股票的交易量也趋增。把关联行业的股票期权集中起来交易时,交易池中只需较少的做市商便能轻松掌握大局,尤其当华尔街哪个举足轻重的研究机构让他们改变了对某个行业、某只股票的看法时。
此外,如不同行业股票期权合约集中在一个交易池内交易的话,就涉及到CBOE为向场外交易者提供最有效、最合理的期权交易市场而采用什么样的方式方法的问题。这样,CBOE每当要推出一只新的股票期权合约,就必须邀请所有交易池前来申请新合约的交易资格,一般而言,只有那么几个交易池会提出申请。申请书收到后,CBOE将评估每个交易池过去的表现,如是否连续不断地把市场做大,甚至超出20－up规则的要求？是否在为复杂的差价交易提供买卖报盘方面做出过特别贡献？所有经纪行的场内经纪人都要参与评估,拥有最佳业绩记录的交易池最终将获得新期权合约的交易资格。

交易池
交易所最令人感兴趣的地方就是那几个交易非常活跃的指数期权交易池,它门分别交易OEX(标准普尔100股指期权)、DJX(道琼斯工业平均期权指数)、SPX(标准普尔500股指期权)及NDX(纳斯达克100股指期权).
OEX交易池为椭圆形状的,约120英尺长,80英尺宽;平均每天要容下350名交易者、场内经纪人及工作人员。偶尔,场内人数会翻倍,在场的人自然需要借助特别的沟通方式来应付如此拥挤的环境。人少时,就用不着了。交易者频频使用手语相互谈论,此时,他们的语言就是手势。
身处巨大的空间里,交易者彼此相隔较远,以致于听不清对方在说什么。那边那位是跟我说话呢？还是跟我后面的人说话？他要的是9月期权,还是11月期权？是7张合约,还是第7张合约？手势在此时成为更有效的方式。
前面已向你介绍了场内口头用语,现在又将了解场内的手势信号。如果手掌冲向交易者自己,则表示“要买进合约”;如手掌冲外,则表示“要卖出合约”。数字从1－1万均可用伸出的手指头数目、手指定位和伸出的方向来表示。如, 食指竖在颏下,表示“1”;食指与中指一起竖在颏下,表示“2”;依此类推到“5”。胳膊向外拐出,食指水平方向触及下巴,表示“6”;食指与中指一起水平方向触及下巴,表示“7”;依此类推到“9”。
“10”－“50”,取手指竖起并触及前额的姿势表示;“60”－“90”,取胳膊外拐,手指水平方向触及前额的姿势表示;“100”以上, 取手臂交叉的姿势表示;“1000”以上, 则取双手放置脑后的姿势表示。
统共有26种手势信号分别表示字母表中的26个字母,甚至还有一些特定的(古怪的？)手势用以区分不同的经纪行。
交易池中,若交易者彼此能听见对方时,就用口头短语交流。“劳动节”表示9月到期,用到具体的句子里就成了“我对劳动节敲定价45 的看跌期权报买盘3 1/2”。同样地,“圣诞节”表示12月到期。

循环开盘
人们对交易所搞循环开盘这种交易行为提出不少的疑问。循环开盘的目的在于确保每一种期权的所有合约都能开在相同价位上,股市开盘采用的就是这种模式,但期市的开盘价却是一个区间,即其开盘价不止一个。
循环开盘是由交易所指令“预订”负责人(OBO)主持的,OBO的主要职责就是管理前面已谈过的公共限价指令预订“处”,其中肯定有一个指令所限定的价格被用来作为某期权所有合约的开盘价。开盘顺序总的说来是:到期月份最远的合约最先开出,实值看涨期权和虚值看跌期权也最先开出;两平期权合约次之;第三是虚值看涨和实值看跌期权合约;次远月到期的合约更迟一些;最近到期的合约最后开出。
循环开盘过程中,不许有任何交易成交,即使那些已经产生开盘价的合约也暂时不能交易,直到所有期权的所有合约全部开出,即循环开盘结束时方可交易。通常,只有那些在开盘之前就抵达场内的交易指令,有可能在循环开盘时成交。当OBO宣布“XYZ现在开盘”,交易就正式开始。
循环开盘过程中,做市商负责市场的双向报价,即报出愿意付出的买价和愿意抛售的卖价。OBO于是征询场内经纪人“有公众投资者吗”？意思是,“有没有来自场外公众投资者和交易者的市价或限价指令符合成交条件的？”循环开盘中,客户指令优先于做市商和自营商的指令而先行成交。
以敲定价45, 6月到期的XYZ期权开盘为例,做市商报买盘7 3/8,报卖盘7 5/8。假设场内经纪人A欲买进20张该种期权,市价成交;同时,场内经纪人B欲卖出5张该种期权,限价 7 1/2。试问:该期权合约将开在什么价位上？
切记规则:期权应以奇数价位开盘,且公众投资人的指令有优先成交权。在此,因B的卖单只有5手,不能满足A买进20张合约的要求,所以B报出的卖盘7 1/2不能作为开盘价,OBO则宣布开盘价为7 5/8。因此,A的20手市价买单全部成交在7 5/8上,其中5手从B处买进,其余15手从报卖盘7 5/8的做市商处买进。本例显示,循环开盘时,做市商只有等所有场外投资人和交易者的指令都成交后,才参与多余头寸的成交。
尽管这种循环开盘方式,作为全天交易的开端,既有效又有序,但还不算完美。优点之一是,场外买卖双方均在一个价位上成交,如上例中的7 5/8;优点之二是,场外投资人和交易者的指令较场内做市商和自营商有优先执行权。
缺点之一是,那些错过循环开盘时间底线的指令就只好等到开盘完毕后才才能被受理。而在等待的过程中,市场环境有可能发生重大变化。缺点之二是,RAES系统在循环开盘过程中完全停止使用。缺点之三是,循环开盘中,差价指令通常是不被受理的,原因是,差价指令是复合指令,而开盘时,不同的期权合约又不可能同时开出,故,执行起来即使不是不可能的,也是很困难的。
尽管循环开盘的速度还算差强人意,但随着技术的发展,人们又期待着更为快捷的开盘方式。一个方案是,快速开盘系统ROS,计划废除循环开盘,改用计算机撮合,使所有合约同时开在做市商提交的最具竞争力的买卖报价上,这种方式与RAES系统撮合成交的方式很相似。

总结
早年间的期权交易,由所谓看跌看涨自营商统治着市场。而现在,则由拥有竞争力的做市商及先进技术的现代化交易所所取代。交易所为买卖双方提供集中竞价的场地,并且交易所还不断致力于改进交易回报系统,使之变得更快捷、更准确;同时,交易所还有责任确保资金的流动性和安全性。另外,所有期权合约的执行都得到期权清算公司－－资信级别为三A的机构的担保。
自营与代理的分离,意味着场内经纪人只代表场外交易者的最大利益,本身不得自营;相反地,做市商只能自营,而不能代理场外交易者的交易。做市商负责为所有期权合约提供买卖报价,20－up规则要求他们在所报买卖盘的价位上相应买进和卖出至少20张合约。某些指数期权交易的RAES系统操作原理与前面谈到的不尽相同,但所有系统的操作方法都是会变化的。
公开喊价依然是现代交易过程中重要的组成部分,因为,它似乎是转移大量交易风险的最佳方法。手势信号也同时并存,且使用得很顺。这两种方式都主要用在诸如OEX和SPX这样的大型交易池内,即便如此，送场外交易指令的多步骤人工处理过程,已经在很大程度上被现代技术所替代。今天,超过75％的场外指令都是以电子交易方式传送进场的,交易所计算机系统,诸如ORS和RAES甚至能高效地处理单个指令。无论以前取得了多大的成就,场内交易技术注定要继续高速发展和不断完善的。（全文完）

posted on 2004-11-26 19:31 吴文力阅读(2757) 评论(0) 收藏举报

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