股指期权策略

单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,2014/5/23,#,股指期权策略运用,损益,50,40,30,20,10,0,-10,-20,2300 2350 2400 2450 2500 2550 2600 2650,资产价格,2430,看跌期权买方损益曲线,看跌期权卖方损益曲线,执行价格：,2450点,买方购买权利的初始成本，,卖方出卖义务的初始收益。,权利金,看跌期权损益图画法,2300 2350 2400 2450 2500 2550 2600 2650,资产价格,损益,50,40,30,20,10,0,-10,-20,看跌期权损益图画法,看跌期权买方损益曲线,看跌期权行权价越低，权利金越低,执行,价格,损益,50,40,30,20,10,0,-10,-20,2300 2350 2400 2450 2500 2550 2600 2650,资产价格,执行价格：,2450点,看涨期权损益图画法,2300 2350 2400 2450 2500 2550 2600 2650,资产价格,执行价格：,2450点,损益,50,40,30,20,10,0,-10,-20,看涨期权买方损益曲线,看涨期权卖方损益曲线,看涨期权损益图画法,2300 2350 2400 2450 2500 2550 2600 2650,资产价格,损益,50,40,30,20,10,0,-10,-20,看涨期权损益图画法,看涨期权买方损益曲线,看涨期权行权价越高，权利金越低,收益,执行价,收益,执行价,执行价,收益,执行价,收益,卖方,买方,看涨期权（买权）,看跌期权（卖权）,期货价格,收益,期货价格,收益,期货,看大涨,看突破,看震荡,看小跌,看小涨,看不跌,看不涨,看大跌,观点,2014,年,4,月,25,日行情,沪,深,300,指数,：,2167.83,点，跌,22.65,点,股指期货主力合约,IF1405,：,2172.4,点，跌,11.8,点,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,看涨期权,执行价格,看跌期权,持仓量增减,持仓量,成交量增减,成交量,涨跌幅,涨跌,收盘价,收盘价,涨跌,涨跌幅,成交量,成交量增减,持仓量,持仓量增减,-82,52,124,32,641,68,763,-6.2%,-15.3,232.7,1950,4.8,-0.8,-14.3%,143,922,-633,255,844,364,-6,367,1,546,30,361,-82,843,13,499,-4.0%,-7.9,190,2000,4.2,-1.2,-22.2%,89,157,-127,023,470,685,-665,2,208,19,546,1,835,16,655,-3.0%,-4.7,151,2050,23.7,7.2,43.6%,560,413,-223,701,426,345,31,882,1,176,31,683,-50,180,29,937,-3.8%,-4.6,116.4,2100,32.2,3.4,11.8%,38,010,-44,216,96,340,761,39,873,227,837,35,585,2,535,963,-8.6%,-7.8,82.5,2150,49.3,3.1,6.7%,2,669,877,406,147,212,060,65,887,97,573,469,628,344,936,5,327,121,-8.8%,-5.9,60.9,2200,70.5,1.5,2.2%,1,837,697,520,271,129,209,40,072,57,528,214,966,-53,894,1,095,862,-13.0%,-5.7,38.1,2250,103.2,4.9,5.0%,1,278,277,109,246,68,143,25,343,7,181,134,830,-235,144,211,073,-17.8%,-6.6,30.5,2300,139.4,7.4,5.6%,6,250,-4,485,8,646,411,-1,472,326,289,-120,791,211,486,-12.5%,-0.6,4.2,2350,182.4,13.3,7.9%,10,733,2,868,6,987,459,-5,559,578,006,275,164,902,432,2.6%,0.1,4,2400,215.9,5.9,2.8%,8,967,-4,048,16,427,-145,看大涨,收益,执行价,期货价格,收益,冻结保证金：,2,172.4,*,10%,*,300=,65,172,元,到期时涨至,2300,点，净盈利：,2,300-2,172.4=127.6,点,=127.6,*,300,=,38,280,元,IO2150Call,每手权利金为：,82.5,*,100=8,250,点,65,172,/8,250=7.9,，至少,7,手,到期股指涨至,2,300,点，净盈利：,（,2,300-2,150-82.5,）*,7=472.5,点,=472.5,*,100,=,47,250,元,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,看大跌,冻结保证金：,2,172.4,*,10%,*,300=,65,172,元,到期,时跌至,2000,点，净盈利：,2,172.4-2,000=172.4,点,=172.4,*,300,=,51,720,元,IO2150Put,每,手权利金为：,49.3,*,100=4,930,点,65,172,/4,930=13.2,，至少,13,手,到期股指跌至,2000,点，净盈利：,（,2,150-2,000-49.3,）*,13=1,309.1,点,=1,309.1,*,100,=,130,910,元,期货价格,收益,执行价,收益,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,看不跌,1950 2000,2050 2100 2150 2200 2250 2300 2350 2400,200,150,100,50,0,-50,-100,-150,沪深,300,指数：,2167.83,点,盈亏平衡点：,2150-49.3=2100.7,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,看不跌,1950 2000,2050 2100 2150 2200 2250 2300 2350 2400,200,150,100,50,0,-50,-100,-150,沪深,300,指数：,2167.83,点,盈亏平衡点：,2150-49.3=2100.7,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,45,49.3,看不涨,1950 2000,2050 2100 2150 2200 2250 2300 2350 2400,200,150,100,50,0,-50,-100,-150,沪深,300,指数：,2167.83,点,盈亏平衡点：,2150+82.5=2232.5,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,看不涨,1950 2000,2050 2100 2150 2200 2250 2300 2350 2400,200,150,100,50,0,-50,-100,-150,沪深,300,指数：,2167.83,点,盈亏平衡点：,2150+82.5=2232.5,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,1950 2000,2050 2100 2150 2200 2250 2300 2350 2400,200,150,100,50,0,-50,-100,-150,看小涨,牛市价,差,沪深,300,指数：,2167.83,点,盈亏平衡点：,2150+82.5-38.1=2194.4,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,38.1,82.5-38.1,=44.4,1950 2000,2050 2100 2150 2200 2250 2300 2350 2400,200,150,100,50,0,-50,-100,-150,看小涨,沪深,300,指数：,2167.83,点,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4,4,2400,215.9,牛市价,差,80,40,80,80-40=40,40,套利,1950 2000,2050 2100 2150 2200 2250 2300 2350 2400,200,150,100,50,0,-50,-100,-150,看小涨,牛市价,差,沪深,300,指数：,2167.83,点,盈亏平衡点：,2200-70.5+32.2=2161.7,涨,执行价格,跌,收盘价,收盘价,232.7,1950,4.8,190,2000,4.2,151,2050,23.7,116.4,2100,32.2,82.5,2150,49.3,60.9,2200,70.5,38.1,2250,103.2,30.5,2300,139.4,4.2,2350,182.4