大商所豆粕期权及应用 张 振 2016.05.03

目 录 期权交易实物/美国期货教育培训机构 Sheldon Natenberg 国际期权市场和期权工作推进情况介绍/大商所 陈安平 目 录 期权交易实物/美国期货教育培训机构 Sheldon Natenberg 国际期权市场和期权工作推进情况介绍/大商所 陈安平 豆粕期权交易规则解读/大商所 付瑛雯 豆粕期权风控及检查业务介绍/大商所 徐毅 期权交易策略及应用/北京仕季资本 于成刚 期权在中粮油脂套期保值中的应用/中粮油脂 周吉帅 场外期权服务产业客户案例分析/永安资本 周博

国际期权市场和期权工作推进情况介绍/大商所 陈安平 期权交易实物/美国期货教育培训机构 Sheldon Natenberg 豆粕期权交易规则解读/大商所 付瑛雯 期权在中粮油脂套期保值中的应用/中粮油脂 周吉帅

国际期权市场和期权工作推进情况介绍

国际期权市场和期权工作推进情况介绍

国际期权市场和期权工作推进情况介绍

国际期权市场和期权工作推进情况介绍

Part2： Risk Measurement 期权交易实物/美国期货教育培训机构 Sheldon Natenberg Part1：Volatility Part2： Risk Measurement

Part1：Volatility What is volatility? price time 9

probabilities underlying prices

What probability distribution should we assume for the underlying contract? normal distribution underlying prices

low standard deviation high standard deviation low peak high peak wide body narrow body

2000 90 days to expiration 1600 put 2400 call option value

±1 S.D. ≈ 68% (2/3) +1 S.D. ≈ 34% mean -1 S.D. ≈ 34% ±2 S.D. ≈ 95% (19/20) +2 S.D. ≈ 47.5% -2 S.D. ≈ 47.5% -1 S.D. +1 S.D. -2 S.D. +2 S.D.

exercise price time to expiration underlying price interest rate volatility mean? standard deviation?

1-year futures contract = 2000 volatility = 20% One year from now: • 2/3 chance the contract will be between 1600 and 2400 (2000 ± 20%) • 19/20 chance the contract will be between 1200 to 2800 (2000 ± 2*20%) • 1/20 chance the contract will be less than 1200 or more than 2800

Daily volatility (standard deviation) Trading days in a year? 250 – 260 Assume 256 trading days = t √ 1/256 t = 1/256 = 1/16 Volatilitydaily = Volatilityannual / 16

Volatilityweekly ≈ Volatilityannual / 7.2 = t √ 1/52 ≈ 1/7.2 Volatilityweekly ≈ Volatilityannual / 7.2 Monthly volatility: t = 1/12 = t √ 1/12 ≈ 1/3.5 Volatilitymonthly ≈ Volatilityannual / 3.5

Volatility Exercise For each contract and volatility below, what would be an approximate daily and weekly standard deviation: Corn futures trading at 1907 10% 13% 17% 22% daily 12 15 20 26 weekly 26 34 45 58 Soybean meal futures trading at 2439 14% 17% 20% 23% daily 21 26 30 35 weekly 47 58 68 78

Trade a futures contract: Part2： Risk Measurement Trade a futures contract: risk Trade an option: directional volatility risk time interest rate 20

measure calls puts underlying delta positive negative positive gamma zero theta negative negative zero vega positive positive zero rho (futures) negative negative zero 21

Risk Measurement Exercise theoretical value daily theta underlying movement change in volatility delta gamma vega a) 8.04 65 3.7 -.036 .24 3.00 3% b) 1.88 -28 2.3 -.021 .30 2.50 7% c) 3.76 50 4.9 -.012 .80 1.44 3.5% d) 17.12 -87 2.9 -.060 .75 2.68 9% e) .95 11 1.9 -.002 .06 .66 2.5% f) 14.56 -44 8.8 -.045 .92 10.00 6%

Risk Measurement Exercise (answers) new theoretical value using a constant delta new theoretical value using the average delta if ten days pass if volatility changes original delta new delta average delta a) 65 9.99 76.1 70.6 10.16 7.68 7.32 b) -28 1.18 -22.3 -25.1 1.25 1.67 3.98 c) 50 3.04 42.9 46.5 3.09 3.64 6.56 d) -87 19.45 -94.8 -90.9 19.56 16.52 10.37 e) 11 1.02 12.3 11.6 1.03 .93 .80 f) -44 18.96 -100 -72.0 21.76 14.11 20.08

豆粕期权交易规则解读/大商所 付瑛雯

期权在中粮油脂套期保值中的应用

徽商期货 如期而获 谢谢