X ST
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3. Long position in a stock + short call
=short put?
This is known as writing a covered call (出售有保护的看涨期权/抛 补看涨期权)。投资者出售看涨期权，就得到了一笔权利金，这将在 标的资产价格下跌过程中提供保护，但若标的资产价格大幅下跌时， 有限的权利金无法弥补标的资产大幅下跌所带来的损失。
It can be created by buying a call with a relatively low strike price, X1; buying a call option with a relatively high strike price, X3; and selling two call options with a strike price, X2, halfway between X1 and X3. 一般而言， X2 与当前的标的资产(股票)价格较为接近。 如果预计标的资产价格变化不大，可采用该策略。
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Stock price range ST X 2 X1<ST<X2 STX1
Payoff from long put 0 -c2 X2―ST―c2 X2 ― ST―c2
Payoff from short put 0+c1 0 +c1 ST―X1 +c1
Total payoff 0+c1―c2 X2 ― ST+c1―c2 X2 ― X1 +c1―c2
Profit
X1
X2
ST
利用卖权的牛市差价，当市 场价格较高时(＞X2)，赚取 期权价格的差价；当价格较 低时，亏损出现。当低于X1 时，亏损X2-X1(不考虑前期 费用)。
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2.熊市价差组合（Bear Spreads）
(1)Bear Spread Using Puts
高执行价看跌期权多头+低执行价看跌期权空头组合 It can be created by buying a put option on a stock with a higher strike price(X2) and selling a put option on the same stock with a lower strike price(X1). 随着执行价格的提高，看跌期权的价格逐渐升高。因此，通过看跌期 权形成的熊市差价组合，需要初始投资额。
Profit
X1
X2
X3
ST
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4.时间价差/差期/日历价差组合(Calendar Spreads)
calendar spreads：期权的执行价格相同，但到期日不同。
(1)Calendar Spreads using calls
购买一个看涨期权的同时，卖出一个期限较短、执行价格相同的看涨 期权。 The longer the maturity of an option, the more expensive it usually is. A calendar spread therefore usually requires an initial investment. Profit diagrams for calendar spreads are usually produced when the short-maturity option expires on the assumption that the longmaturity option is sold at that time.
Profit
c E D Xe rT p E S 0 S 0 c E D XerT p E
ST
X
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4. short position in a stock + long call
This is reverse of writing a covered call.
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Profit
X1
X2
X3
ST
Stock price range
STX1 X1<ST<X2 X2<ST<X3 ST X3
Payoff from first long call
0 -c1 ST―X1―c1 ST―X1―c1 ST―X1―c1
Payoff from Payoff from Second long call short calls
= long put?
Profit
c E D Xe rT p E S 0 c E S 0 p E D XerT
X ST
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第二节 价差组合交易策略(Spreads)
指采用两个或两个以上相同类型的期权组合(i.e., two or more calls or two or more puts).【垂直价差+水平价差】
随着执行价格的提高， 看涨期权的价格逐渐降 低。因此，通过看涨期 权形成的熊市差价组合， 有初始收益。
Profit
X1
X2
ST
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3.蝶式价差组合（Butterfly Spreads）
蝶式价差组合是三个不同执行价格期权的组合。适用于标的资产价 格变化不大的时期内。
(1)Butterfly Spread Using Calls
X2=1/2(X1+X3)
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(2)Butterfly Spread Using Puts
Butterfly spreads can be created using put options. The investor buys a put with a low strike price, X1; buying a put option with a relatively high strike price, X3; and selling two puts with an intermediate strike price, X2.
4
第一节 期权与标的资产组合交易策略
通过组建标的资产与各种期权头寸的组合，我们可以得到与 各种期权头寸本身的盈亏图形状相似但位置不同的盈亏图。
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1. Long position in a stock + long put
=long call?
This is sometimes referred to as a protective put strategy. 保护性看跌期权/卖权：由资产持有者(多头头寸)购买的一个在该资 产上的看跌期权，这种策略用于保护标的资产价格下降带来的损失。 保护性看跌期权的投资者最初看好股价上涨，但又担心股票下跌，故 选择在买股票的同时购入一份看跌期权，这如同为股票买了份保险， 其持有者对待风险的态度是比较谨慎的。
Profit
X ST
cE D XerT pE S0
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2. short position in a stock + short put
=short call?
This is reverse of protective put (反保护性卖权).
Profit
c E D Xe rT p E S 0 p E S 0 c E D XerT
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随着执行价格的提高，看涨期权的价格逐渐降低。因此，通过看涨期 权形成的牛市差价组合，需要初始投资额。
Stock price range ST X2 Payoff from long call ST―X1―c1 Payoff from short call X2―ST+c2 Total payoff X2―X1+c2―c1
Profit
第8章
期权交易策略
1
期权交易是一项复杂的交易技术。在现实的交易活动中，无论是套
期保值者、套利者还是投机者，都有无数种可供选择的交易策略。
这些不同的交易策略都各有其不同的适用范围和适用时机，且可以 产生不同的交易结果。 期权交易的精妙之处在于可以通过不同的期权品种构成众多具有不 同盈亏分布特征的组合。投资者可以根据各自对未来标的资产现货 价格概率分布的预期，以及各自的风险-收益偏好，选择最适合自己
Profit
X1
c1-c2
X2
ST
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(2)Bear Spread Using Calls
高执行价看涨期权多头+低执行价看涨期权空头组合 Bear Spreads can also be created by buying a call with a higher strike price and selling a call option with a lower strike price. A bear spread created from calls involve a positive cash flow to the investor up front.
的期权组合。
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主要内容

基础交易策略（略）：单个期权交易 期权与标的资产组合交易策略


价差组合交易策略（同类多个期权）
混合期权交易策略（不同类多个期权）
以股票为例介绍
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Three Alternative Strategies
Take Take Take
a position in the option and the underlying a position in 2 or more options of the same type (A spread) a position in a mixture of calls & puts (A combination)
0 -c3 0 -c3 0 -c3 ST―X3 -c3 0 +2c2 0 +2c2 2(X2―ST )+2c2 2(X2―ST )+2c2