1. Take the call option and put option trading of the New York Mercantile Exchange copper futures as an example. Only 28 call option contracts and put option contracts with different strike prices in one day divide futures risk into 58 risk areas. By combining different futures option contracts and basic futures contracts, hundreds of risk-return schemes can be obtained. In this way, most market speculators can choose the risk area of shorting according to their own strength and demand, instead of being forced to face the overall price risk, thus reducing the risk in the futures market to some extent.
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The experience of the international market shows that when the futures option market as a whole expects the futures price to fluctuate greatly, the prices of call options and put options tend to rise rapidly, so we can predict the range of future futures price changes from the implied volatility level of call options (the truth is about 50%) and put options (the truth is about -50%). When the futures option market as a whole expects the future price to rise (fall), both call option prices and put option prices tend to rise (fall), which leads to the implied volatility of option prices much higher (lower) than that of historical futures. When the futures option market as a whole expects the future price to rise (fall), the implied volatility of call options is often higher (lower) than that of put options. Since the call option and put option transactions mostly focus on the demand price close to the flat value, that is, the option contract with a Delta value of 25%, we are more concerned about the relationship between the implied volatility of the call option with a Delta value of 25% and the implied volatility of the put option with a Delta value of -25%. The ratio of call option to put option is close to 1. However, when the futures option market as a whole expects the future price to rise, investors are more inclined to buy call options, which leads to the trading volume of call options is much larger than that of put options; Similarly, when the futures option market as a whole expects the future price to fall, investors are more inclined to buy put options, which leads to the trading volume of put options is much larger than that of call options.
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In the current derivatives market, the most mature system to measure the risk value of portfolio is span (standard portfolio analysis).
Risk), whose core idea is VaR. At present, nearly 50 exchanges, clearing houses and financial institutions around the world have adopted SPAN. In order to further improve the level of risk management, Shanghai Futures Exchange held a meeting in Boccara, USA on March 17, 2004.
Raton) also formally signed an agreement to introduce SPAN at the annual meeting of the Futures Association. Based on many advantages of implied volatility, SPAN generally chooses implied volatility as its core parameter.
It can be seen that the existence of futures option trading is very important for the performance of futures VaR risk management system.
In addition, implied volatility is also very important for the exchange that implements the price limit system to determine specific risk management measures. If the exchange futures trading adopts the price limit system, when the unilateral market appears, the price limit will delay the risk exposure, which not only provides time and space for market investors to return to rationality, but also wins time and space for resolving futures market risks. However, the final market equilibrium price is still unavailable, which makes it impossible for us to evaluate the market risk when the market price finally reaches equilibrium in the future. Especially in the case of unilateral continuous daily limit, it is difficult for us to make a follow-up decision on whether to force the liquidation. Even if the scheme of changing the price limit is adopted instead of compulsory liquidation, it is difficult to determine the optimal price limit range and margin level. If we have futures option trading, we can refer to the futures option price to judge the overall market's forecast of future futures price fluctuations, and on this basis, formulate relevant risk management measures.