Real option refers to the option with intrinsic value. Real options include call options and put options. When the final price of the call option is lower than the current market price of the relevant futures contract, the call option has intrinsic value and is a real option. When the final price of a put option is higher than the current market price of the relevant contract, the put option has intrinsic value and is a real option.

The Delta value of real option is greater than 0.5, which shows that it is a kind of option with high price sensitivity. In addition, it also presents the following characteristics:

First, the right is high. Taking the sugar option being simulated by Zhengshang Institute as an example, when the underlying asset price is 5000 yuan/ton, the binary tree model is used to calculate the call option premium due within one month and in different states.

Obviously, as far as the composition of premium is concerned, the premium of imaginary option and equal option is only time value, and its connotation value is zero. In addition to the time value, the connotation value of real option premium is also greater than zero, which makes the real option premium at the same maturity significantly higher than hypothetical option and equivalent option.

The second is the mutual transformation between real options and virtual options. The trading volume of virtual options and flat options is higher than that of real options, which is not only related to the high premium of real options and the difficulty for investors to buy, but also related to the equivalent conversion between real options and virtual options. From the concept of equal position, we can know that long call option+short underlying assets = long put option; Put option bulls+underlying asset bulls = call option bulls; Short call options+long underlying assets = short put options; Put option short selling+underlying asset short selling = call option short selling. This is about the comprehensive relationship between real options and virtual options.

For example, when the price of sugar futures is 5,000 yuan/ton, investors who intend to buy real call options with an exercise price of 4,600 yuan/ton due one month later can buy 1 imaginary put options with an exercise price of 4,600 yuan/ton at the same time as buying the underlying futures to construct a composite structure.

Therefore, through the concept of equivalent position, real options and virtual options are equivalent. Most importantly, the position constructed by "virtual value+futures" has a lower commission cost, which makes it possible for investors who use real options to use real options indirectly through synthesis.

Third, deep real value options are almost unaffected by volatility and time.

The three dimensions of option trading are direction, fluctuation and time.

When the options we trade are close to the flat value, in fact, we are playing with three dimensions of variables at the same time, such as buying flat value subscriptions. Even if the direction is right, it may lead to the final loss because of the decline of market volatility or the passage of time.

However, the deep option is not. Although its delta is close to 1, its gamma, vega and theta are almost equal to 0, which means that its price is almost only related to one dimension of the direction, and its price is hardly affected by the change of implied volatility and the passage of time.

Fundamentally, the key difference between futures and options lies in the Greek letter gamma. Because the gamma of futures is equal to 0, futures are linear derivatives, and because the gamma of options is not equal to 0, they are nonlinear derivatives.

It can be said that the more real the option, the closer its gamma is to 0, the weaker the option attribute and the stronger the futures attribute; The more flat the option, the greater its gamma, the stronger the option attribute and the weaker the futures attribute.

Fourth, among all options, the deep option has the lowest transaction cost rate.

In terms of transaction fees, most exchanges in the world (the United States, Europe and Hong Kong) will charge transaction fees according to the number of sheets, and only a few exchanges (South Korea and Brazil) will charge fees in proportion to the amount of royalties. The advantage of the former is that the more virtual options, the higher the proportion of transaction costs in royalties, which to some extent inhibits the excessive speculation of deep virtual options.

At present, all kinds of floor options in China are charged according to the number of options, that is, whether you buy real options, flat options or imaginary options, whether the premium itself is 1 1,000 yuan, 1 1,000 yuan or 1 yuan, you have to charge a fixed fee for buying an option.

1. Take the 50ETF option as an example. Assume that each option contract charges/10 yuan. The transaction cost ratio (royalty) of the deep real option with a value of 2000 yuan is five thousandths;

2. For the light virtual option with 200 yuan value, its transaction cost rate is 5%;

3. For the deep imaginary option with the value of only 20 yuan, its transaction cost rate is as high as 50%. It can be seen that the transaction cost ratio of deep option is the lowest among all option contracts.