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Option strategy
There are two points to avoid when using options in futures arbitrage. First, avoid increasing risks. Selling options instead of futures will increase investors' risk. Second, avoid spending a lot of time. Royalties will be wasted, thus losing potential profits.

With the acceleration of domestic financial innovation, investors urgently need new financial instruments (options). The option market has matured in Europe and America for decades, and the diversity of investment portfolio has greatly enriched investors' trading strategies.

Replace and copy location function

In futures speculation, options have the function of replacing future positions and copying future positions, and also have the function of resolving the risk of extreme price fluctuations.

In the function of option substitution, buying call options or selling put options can replace futures bulls, and buying put options and selling call options can replace futures shorts. In the option copying function, buying call options and selling put options can copy futures bulls, and buying put options and selling call options can copy futures shorts. When encountering extreme market conditions, futures prices may have multiple price limits, which is a nightmare for investors with opposite positions, but options can help lock in risks.

The function of option substitution is limited and prerequisite. Take the substitution of long futures positions as an example. If investors judge that the market is bullish, then buying a call option is the best choice, while selling a put option has the disadvantage that the profit on it will be strictly limited. If investors see a slight increase in the market, then selling put options is a better choice, and buying call options has less profit because of the premium. If the market falls sharply, the risk of buying call options and giving up exercise is limited, while the risk of selling put options and futures bulls is unlimited; If the market drops slightly, the break-even point of buying call options is the highest, and the loss is the biggest, and the loss of futures long positions ranks second, while selling put options may still have a little profit. The premium level is another important prerequisite for considering whether to use options. When the market fluctuates violently, the implied volatility is high, which will lead to the very expensive option price. At this point, from the perspective of futures speculation, the option substitution advantage is weak.

The option copy function has more advantages in the stock market. Theoretically speaking, buying a call option and selling a put option have the same conditions, and the profit chart obtained is consistent with the position of the buying target. On the contrary, the profit chart obtained by buying put options with the same terms and selling call options with the same terms is consistent with the position of the selling target. The advantage of option margin is very obvious. The margin for buying and selling primary crude oil futures is much higher than that for copying positions with crude oil futures options. Options have more advantages in the stock market, and they can be sold short without following the price limit and borrowing shares. However, because there are two buying and selling actions in option replication, when encountering varieties with poor liquidity, the risk of bid-ask spread and double handling fee will be highlighted. Volatility risk is also an important risk to be considered when using the option copy function. When the volatility weakens, the reduction of premium will reduce the effect of option copy function. On the contrary, when the volatility increases, the increase of premium will enhance the effect of option replication function.

Option copy function helps to resolve the risk of futures price limit. Senior futures investors are no strangers to the daily limit of futures prices. For example, for agricultural products (6.09, 0.07, 1. 16%), there are many cases where the daily limit keeps falling due to weather factors. It is extremely unfavorable for futures investors to hold opposite positions in extreme markets, but rational use of futures option strategy can help investors lock in risks. Investors who are familiar with option rules should know that futures options also have mandatory price limits, but unlike futures, the quotation sequence of futures options is very extensive. Even if futures options have price limit, there are imaginary options that can be traded without touching the price limit. Using the option copy function can simulate futures bulls or bears and help investors lock in risks.

This is a very effective insurance.

In futures hedging, option is a very effective insurance. Different execution prices are equivalent to providing investors with different degrees of insurance. The larger the insured amount, the higher the insurance cost. For example, an investor holds a long position in crude oil futures due in July, and the original price is $65,438+000. Considering the risk of future price decline, investors can choose to buy put options for protection. Investors can consider buying 1 785 put options for protection. If they want greater downside protection, they can buy the1July 90 put option, or fully protect their future positions and choose to buy the1July 100 put option. Of course, with the increase of the execution price, the protection cost paid by investors will also rise rapidly. I believe that investors who know the price quotation of options will basically think that this kind of insurance has no advantage, because usually the put option premium with a slightly larger imaginary value is still very expensive. As far as cost is concerned, unless the price of crude oil rises obviously, the potential profit will be obviously diluted by mining royalties.

Sophisticated investors often consider modifying the above insurance strategy to reduce the insurance cost of put options: long-term futures holders buy a virtual put option as insurance and sell a virtual call option at the same time to pay most or all of the cost of put options. This strategy is called arbitrage. By using this strategy, investors give up some upward potential profits, but also reduce the cost of buying put options. Investors judge whether the future market is bullish, bullish or bearish, and different positions determine the limit of rising profit space.

Additional potential profit

In futures arbitrage, whether it is intra-market arbitrage or inter-market arbitrage, options can provide additional potential profits with little risk. When using options in futures arbitrage, firstly, don't increase the risk, and secondly, don't pay too much time value use fees that will be wasted. The arbitrage strategy of futures options is often encountered. When one party's position becomes empty, the nature of arbitrage begins to disappear, and the original position becomes a position closer to direct trading. Smart investors need to consider what kind of aftermath to do.

Calendar arbitrage is an important option arbitrage strategy and can also be regarded as a substitute for futures arbitrage, but there are obvious differences between them. The subject matter of the two contracts involved in arbitrage in the futures market is the same (spot), while the subject matter behind the two option contracts of option calendar arbitrage is two different futures contracts, such as buying a May call option and selling a March call option with the same exercise price. Because of seasonal factors, the price difference between different futures contracts fluctuates greatly. Option calendar arbitrage is an arbitrage of two simultaneous transactions. One is related to the relative pricing difference between the two options, such as volatility and the passage of time. The second is the price difference between the two underlying futures contracts. In practice, if the spread of the underlying futures contract is reversed, the loss of the calendar arbitrage investor may be greater than its initial debt. Of course, in most cases, the performance of option calendar arbitrage is better than futures arbitrage, because the pricing advantage of option theory is playing a role in calendar arbitrage.

Matters needing attention in arbitrage

If you sell call options instead of futures and sell put options instead of buying futures, the risk of investors may rise sharply when futures prices rise sharply. If the futures price rises sharply, selling call options will lose money; When the futures price rises more than the exercise price of selling put options, selling put options will also stop making profits.

Second, avoid spending a lot of time on royalties, which will be wasted. If investors buy flat or hypothetical put options instead of selling futures, the profitability of arbitrage will be eroded by time impairment. The only option strategy to replace futures arbitrage is to use real options. If investors buy real call options instead of futures, then buying real put options instead of selling futures can often create a more advantageous position than intra-market and inter-market futures arbitrage. However, in practice, investors are not advised to buy only options with real value and almost no time value premium, because this cancels the possible benefits of using medium real value options: if the underlying futures price fluctuates up and down, even if the futures spread is not satisfactory, option arbitrage may still make a profit.

When investors meet the two principles of buying and only considering real options, the market appears high volatility. At this point, one side of option arbitrage is likely to become virtual value, and the essence of arbitrage begins to disappear, and the original trading position becomes a position closer to direct trading. For investors, it is necessary to consider whether to continue to hold arbitrage positions or close positions. If you choose to continue holding, investors must face up to the potential negative factors of this position, because this position has been bought or sold too much. If you buy too many positions, if the futures price falls, the call option will soon lose its value, while the put option will not benefit much because of its excessive imaginary value, so it is naturally impossible to properly protect the call option. In this case, the conservative approach is to hedge the real option with the underlying futures, while the more radical approach is to hedge the real option with another underlying futures. We know that market price fluctuation is possible. If the price difference between the two underlying futures does not widen but returns to zero, it will definitely be a loss for futures arbitrage investors, while for investors who establish futures option arbitrage strategy, the result will almost certainly be profitable because of covering the position in the middle.

Based on the above analysis, traders should realize that futures options have advantages over futures, but this advantage can only be reflected when the option portfolio is used reasonably. Implied volatility, transaction cost and market judgment are all important considerations in using options to replace futures speculation and hedging. When using options to replace futures arbitrage, traders must abide by two principles to reduce risks, and at the same time, they need to consider the consequences of portfolio. Traders should understand that futures options are options above futures contracts, not spot commodities. When the real market environment is more suitable for establishing future positions, options should play an auxiliary role and enhance the portfolio.

Applications and cases

At present, there is no option market in China, such as Comex silver futures and options trading in the United States. The domestic silver market and the international silver market plus the silver option market better carry out arbitrage hedging and play an insurance role.

2. Buy 1 hand 65438+February Comex silver futures option (to simplify the calculation, the Comex margin ratio is calculated as 10%, the option bulls do not pay the margin, and the option bears pay the margin of the same amount as the corresponding futures). Since then, the Federal Reserve has launched QE3, and the price of precious metals has risen sharply. The closing price of silver futures on June 65438+1October 65438+1October 0 is $34.95/oz, and the price of call option with exercise price of $33 is 2.5 1 1 USD/oz. Under the two schemes, the return of investors is long futures, (34.95-33) * 5000/(33 * 5000 *10%) = 59%. Long options, if investors choose to close their positions, (2.51-1.70) * 5000/(1.70 * 5000) = 47.53%; If the investor chooses to exercise the right, immediately liquidate future positions, (34.95-33-1.702)/1.702 =14.57% (giving up the right). From this point of view, although the yield of option bulls is not as good as that of futures bulls, the capital of option bulls (1.702*5000) is only far less than that of futures bulls. 201265438+1October 25th, the price of silver futures was $32.08/ounce, the price of silver put option was $33+$0.409/ounce, and the price of call option was $34/ounce. Investors sell call and put options. The breakeven points corresponding to investors' strategies are 3 1.32 USD/oz and 35.58 USD/oz respectively, that is, investors believe that the fluctuation range of Comex silver futures price will not exceed 3 1.32 USD/oz to 35.58 USD/oz at the end of 65438+February. By 2012165438+1October 26th, the market prices of the two options were put option 0. 1 USD/oz and call option 0.275 USD/oz respectively. The strategic return of investors' one-month short-span option portfolio is (1.409+0.283-0.1-0.275) * 5000 = $6585. If there is no option, although investors can judge that silver is in a big rising atmosphere and in a small callback stage from the end of 10 to the middle and late of 1 1, and the price fluctuates, investors will bear great psychological pressure and fund management pressure only by relying on futures trading. Option combination strategy can turn investors' accurate judgment into income in time. This is a case of Comex silver futures and options trading. This method can also be used in domestic silver markets, such as Shanghai Gold Exchange, tianjin precious metal exchange, Haixi Commodity Exchange and Shanghai Futures Exchange.

Silver option, 3-month contract, 155kg/ contract, option fee 2000 yuan.

Tianjin precious metal exchange, Tiantong silver trading method: T+0, 15kg/ hand;

Scheme: follow the trend to buy options with a total contract value of155 kg; The fee is 2000 yuan.

Reverse operation, sell 10 Tiantong silver, with a total contract value of 150 kg. Five-step coherent equity incentive method

Fixed stock

1. Option mode Stock option mode is the most classic and widely used equity incentive mode in the world. The main point of its content is that, with the approval of the shareholders' meeting, the company will reserve stock options for the issued and unlisted ordinary shares as part of the "package" reward, and conditionally grant or reward them to the company's senior managers and technical backbones at a predetermined option price. Holders of stock options can make choices such as exercising and cashing within the prescribed time limit. The design and implementation of stock option model requires that the company must be a public listed company, have a reasonable and legal stock source that can be used to implement stock options, and have a capital market carrier whose stock price can basically reflect the intrinsic value of stocks, with relatively standardized operation and good order. Lenovo Group and Founder Technology, which were successfully listed in Hong Kong, both implemented the stock option incentive model. 2. Restricted stock model Restricted stock refers to a certain number of shares of the company granted by a listed company to the incentive object according to predetermined conditions. Incentive objects can only sell restricted stocks and benefit from them if their working years or performance targets meet the conditions stipulated in the equity incentive plan. 3. stock appreciation rights model 4. Virtual stock model.

Ding ren

Three principles of employing people: 1, undeveloped potential human resources, degree of information hiding in the work process, and whether there is special human capital accumulation. Senior managers refer to those who are responsible for the company's decision-making, operation and leadership, including managers, deputy managers, financial officers (or other personnel who perform the above duties), secretary of the board of directors and other personnel stipulated in the company's articles of association. Three-level theory of economy and country: 1, core layer: mainstay (closely related to the fate and development of enterprises, with the spirit of sacrifice) 2, backbone layer: safflower (opportunist, they are the focus of equity incentive) 3, operation layer: green leaf (work is just work) To treat people at different levels differently, often the backbone layer is our equity.

opportunity

The validity period of the equity incentive plan is calculated from the date of adoption by the shareholders' meeting, and generally does not exceed 10 year. After the expiration of the equity incentive plan, the listed company shall not grant any equity according to this plan. 1. Within the validity period of the equity incentive plan, set the exercise restriction period and exercise validity period for each stock option granted, and exercise in batches according to the set schedule. 2. During the validity period of the equity incentive plan, the lock-up period of restricted shares granted in each issue shall be no less than 2 years. Upon the expiration of the lock-up period, the number of shares that can be unlocked (transferred or sold) by the incentive object shall be determined according to the completion of the equity incentive plan and performance targets. The unlocking period shall not be less than 3 years, and the unified unlocking method shall be adopted in principle during the unlocking period [4].

Make an offer

According to the principle of fair market price, the grant price (exercise price) of equity is determined. The equity grant price of a listed company shall not be lower than the higher of the following two items:

1. Summary of the draft equity incentive plan announces the closing price of the company's target stock on the previous trading day;

2. The average closing price of the underlying shares of the company in the 30 trading days before the announcement of the draft equity incentive plan.

quantify

Fixed amount and fixed amount: 1. Article 15 of the Trial Measures: The equity of any incentive object granted to a listed company through all effective equity incentive plans shall not exceed 1% of the company's total share capital, unless approved by a special resolution of the shareholders' meeting. 2. "Trial Measures" During the validity period of the equity incentive plan, the expected income level of individual equity incentives for senior managers should be controlled within 30% of their total salary level (including expected options or equity income). The total salary level of senior managers should be determined by referring to the principles of state-owned assets supervision and administration institutions or departments and the performance appraisal and salary management measures of listed companies. Set the total amount as 1, refer to the internationally accepted option pricing model or the fair market price of stocks, and scientifically and reasonably calculate the expected value of stock options or the expected return of restricted stocks. 2. According to the equity incentive income and equity grant price (exercise price) predicted by the above method, determine the number of equity grants for senior managers. 3. The total salary level of each incentive object and the proportion of expected equity incentive income to the total salary level shall be determined according to the job analysis, job evaluation and job responsibilities of listed companies.