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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。



ULTRASHORT REAL E(PCX:SRS)
• 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



期權策略
• 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)

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Gray Zhi
OptionStoa.com

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