学习笔记 - CFA 衍生品

期权是最简单的衍生品工具，call、put option。首先介绍用期权来合成underlying asset以及合成期权，即put-call parity

put-call parity：s + p = c + X，这是表示持仓情况，后面会用带下标的表示payoff

c - p = forward，long forward只需交保证金，而long stock是要全款买入

应用put-call parity：

c = s + p

p = c - s

引用书本描述option premium的两种说法：

put option (to sell dollars) with a strike rate X = €0.8080/US$1 priced at €0.0134/US$1，
call option (to buy euros) with a strike rate X = US$1.25/€1 and costing US$0.02/€1

刻画option的Greeks是知识点之一，其中：

在small change的假设下才能用Delta线性近似计算期权价格变化，即；

用Delta计underlying的价格变化引起的期权价格的变化，再用Gamma计新的Delta（由于Delta已经变化，这时应该会有新的Gamma出现）

构建策略：

（1）Covered Call：s - c

（2）Protective Put：s + p

在构建期权策略的目的常介绍yield enhancement，yield和return究竟有什么区别，在小红书找到比较好的一个解释：yield与return的区别

（3）Straddle：c + p

（4）collar与risk reversal作比较：

Collar（also called a fence or a hedge wrapper）：p - c

long Risk Reversal：c - p

对应short Risk Reversal就是p - c，即Collar

一般risk reversal策略会构建为Delta hedged，所以long risk reversal会搭配short underlying：

c - p - s

该策略的核心逻辑是：

预期未来vega-neutral，即ATM的call与put对应的implied volatility应该一致，若出现不一致则买implied volatility小的卖implied volatility大的（因应市场情况决定是long还是short risk reversal，再相应配合short还是long underlying）

（5）Bull Spread： /

buying one option and writing another with a higher exercise price

（6）Bear Spread： /

buy the higher exercise price and sell the lower

将spreads拓展至call/put spreads，适用于：

when the investor has a bullish view (call bull spread) or a bearish view (put bear spread) but the underlying market is not clearly trending upward or downward

与上面的H/L对应的改为ATM/OTM，如：

bearish spread：（买）nearer-to-the-money put - （卖）OTM put

bullish spread：（买）nearer-to-the-money call - （卖）OTM call

（7）long calendar spread：

buys the more distant option and sells the near-term (same type) option

long calendar spread是预计在行权期更长的option到期前这段时间的underlying的price是stable的，而implied volatility是increase，赚time decay

short calendar spread：

would typically be looking for a large move away from the strike price in either direction

小结：

a big move in the underlying market or a decrease in implied volatility will help a short calendar spread

a stable market or an increase in implied volatility will help a long calendar spread

calendar spread (or time spread)

本质是看好长期的implied volatility大而短期内（期间较短的那个option的行权期内）implied volatility小（即股价稳定在某个区间）；

delta for a calendar spread is approximately zero；

long calendar spread is a long volatility trading strategy；

volatility skew 与 volatility smile：

两者都是基于实际市场数据画出的图，区别就是对应不同的具体市场情况，一般情况是volatility skew，具体volatility skew和volatility smile会对应什么市场情况，品职的老师给出了不错的解释：品职解释

term structure of volatility：

Typically, implied volatility is not constant across different maturities

means that options with the same strike price but with different maturities display different implied volatilities

一般是contango：implied volatilities for longer-term options are higher than for near-term ones

当市场（下行）压力大，避险情绪高（When markets are in stress and de-risking sentiment prevails）时会出现反转 invert

另一个反映真实市场的图形：implied volatility surface，一个三维图形，其实就是将volatility skew（一般是这个）和term structure of volatility结合，即days to expiration，option strike price和IV就是XYZ三个轴

还有一个考点就是如何选择合适的option，答案是要看性价比