Test http://www.chineseworldnet.com/node/135
環球財經 ChineseWorldNet.com

無風險套利組合 —— Box Spread

本週介紹的策略是一個無風險的套利組合——Box Spread。 利用了期權的買權賣權平價理論:買權的價格與股價是正相關,賣權的價格與股價是負相關,買權、賣權的價格變動幅度是對沖的。 但實際買權、賣權的價格不可能一直隨著股價的波動而一直保持對沖的平衡狀態。 在買權、賣權未能達到平衡的狀態時可以通過Box Spread套取無風險的利潤。

Box Spread由4個不同的期權組成:買進價內買權(ITM Call),賣出價外買權(OTM Call),買進價內賣權(ITM Put),賣出價外賣權(OTM Put ),4個期權的到期日相同。 組合的利潤為執行價格之差與交易價格(Credit)的差額。

以下是用SRS做的一個Box Spread例子:賣出MAY09到期的60 Call,期權代碼是:. SRSEU;買進MAY09到期的60 Put,期權代碼是:. SRSQU;買進MAY09到期的64 Call,期權代碼是:. SRSEL;賣出MAY09到期的64 Put,期權代碼是:. SRSQL。 每合約的價格是$411 Credit,無風險利潤等於411-(64-60)*100=11美元。

• 最新股價: $27.50
• 股價變化: -$0.79
• 變化(%): -2.79%
• 昨天收盤: $28.29
• 今天開盤: $28.50
• 今天交易量: 30374169
• 平均交易量: 23043000
• 市值: 1026M
• 每股盈利: #N/A
• 市盈率PE: #N/A
• 在外股數: 37315K
• beta比率: #N/A
• 今天最高: $29.62
• 今天最低: $25.75
• 52週最高: $295.72
• 52週最低: $25.75

• 組成
o 賣出MAY09到期的60 Call,期權代碼是:. SRSEU
o 買進MAY09到期的60 Put,期權代碼是:. SRSQU
o 買進MAY09到期的64 Call,期權代碼是:. SRSEL
o 賣出MAY09到期的64 Put,期權代碼是:. SRSQL
• 價格: $411 Credit
• 無風險利潤: $11
• Delta: -13.9
• Gamma: -1.092
• Vega: -$1.56
• Theta(每天): $6.26
• (按一個合約計算)

Gray Zhi

OptionStoa.com and its offerings are for informational and educational purposes only. It is not our intent to advise you on what to buy/sell/hold. Our intent is to inform you of our sole opinion of the financial market, trading strategies. These opinions may changed at any time without notices. Although the information is the believed to be correct, the accuracy or completeness of the information is not guaranteed or warranted. OptionStoa.com disclaims any and all liability as to the completeness, accuracy or possible omissions of the information contained herein. OptionStoa.com is NOT registered broker/dealer/financial adviser. None of the stocks, options or any securities mentioned at this site and its offering should be bought or sold without you first doing your own analysis. OptionStoa.com is not liable for any investment/trading decisions made by its members, audience.