衍生9-mechanics of option markets

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9-mechanics of option markets(期权市场)

• basic info
  • definition
    • give holder(long position) the right to do something
    • holder could decide wether to exercise the transaction based on market condition
      • differ from forward & future (those holder is obligated to buy/sell underlying asset)
  • types
    • sort1
      • call(看涨期权): option to buy underlying asset,按照规定价格买入标的
      • put(看跌期权): option to sell underlying asset，按照规定价格卖出标的
    • sort2
      • European: can be exercised only at the end
      • American: can be exercised at any time
  • position
    • long: buy a call/put option
    • short: write/sell a call/put option
    • 多头可以选择是否行权；空头的话，若多头行权，需履约 期权的收益取决于当时的现价是否让多头获利 如果加上option's price的话 long position整体收益线需要下移，short则整体上移
      • VS forward： 期权合同的多头没有下行风险
• asset underlying exchange-traded option
  • sorts
    • stock
    • ETF
    • foreign currency
    • stock indice
    • future
  • specification 期权合同规定内容
    • expiration date
    • strike price
    • choice
      • european/american
      • call/put
• terminology
  • moneyness
    • at-the-money option (实值期权):not exercise option
      • call: St=K
      • put: St=K
    • in-the-money option (平值期权):exercise option
      • call: St>K
      • put: St<K
      • 此时期权发挥了它的作用
    • out-of-the-money option (虚值期权)：not exercise option
      • call: St<K
      • put: St>K
      • 期权没什么用，比如买的时候现价更便宜
    • 当考虑期权费用时，仍选择行权，此时损失会更小一些
  • option series: all the option of a given class with same maturity & strike price
  • intrinsic value(内涵价值)： value of option would have if it were exercised immediately
    • call:max(S-K,0)
      • valuable if S increase/K decrease
    • put:max(K-S,0)
      • valuable if S decrease/K increase
• dividend & stock splits
  • suppose u own N options with price K
    • cash dividends can't influence price 现金股利不影响期权行权价格
    • stock split will influence 股票拆分会影响行权价格, 但总的行权价值不变
      • stock dividend is similar to stock split (eg. for a 5% stock dividend→ receive 1 for each 20→21-for-20 stock split)
      • for an n-for-m stock split: m份股票会被拆分为n份 (eg. 3-for-1 means 1 old will be replaced by 3 news)
        • strike price reduce to: mK/n
        • number of option increase to: nK/m
        • 总行权市值不变：KN
• other info
  • market maker
    • quotes both bid&ask price
    • don't know individual's choice(buy/sell,long/short)
    • provides liquidity
  • offsetting order (反向操作)
    • one can close out the position by issuing an offsetting order to sell/purchase the same number of option
    • close an existing position
  • margin
    • 对象：short position (margin is required when options are sold 因为多头的最大损失是0)
    • 计算
      • option price + 10% of the underlying price(call/put)
      • option price + 20% of the out-of money(So-K for call/K-So for put)
      • 选择这两者中的较大者
    • 按市值计价(market-to-market): when calculation indicates that a greater margin is required a margin call will be made
  • warrants(认股权证)
    • 定义: options that are issued by a corporation or a financial institution 它赋予持有者在一定期限内以事先约定的价格购买发行公司一定股份的权利 对于筹资公司而言，发行认股权证是一种特殊的筹资手段
    • 数量： determined by the size of the original issue, change only when they are exrcised or expire
    • 使用： call warrant exercises will lead to new treasury stock being issued
  • employee stock options(股权激励)
    • expensed on income statement
    • 定义： a form of compensation issued by a company to its executive
    • 目的： motivate employee and top executive to maximize firm value
    • 使用： when exercised,company issues more stock and sell it to option holder for the strike price
  • convertible bond(可转化债)
    • 定义： regular bond that can exchanged for equity in future at a predetermined exchange ratio (usually callable)
    • 使用： can force conversion at a time earlier than holder might choose
• open interest (空盘量：未平仓头寸的累计)