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期权的Covered Call策略

人民币风险逆转期权组合解读:Covered call 期权策略

To execute aCovered Callan investor holding along positioninan asset thenwrites(sells) call optionsonthat same asset to generate an income stream. The investor's long position in the asset is the "cover" because it means the seller candeliver the sharesif the buyer of the call option chooses toexercise.

1. Covered Call 意思为:备兑看涨期权

Covered Call 备兑看涨期权里的covered意思为“备兑”可以理解为“准备兑付”,call 可以理解为“看涨期权”,连起来便可以读为,“准备兑付看涨期权”。顾名思义,该策略包括卖出一份看涨期权,同时买入相应的标的资产以准备兑付未来可能发生的行权。也可以理解这个卖出的看涨期权是百分百实物担保交割的。

2. long position这里是多头头寸的意思,空头头寸可以用 short position,position 后面搭配介词in 意思为:xxx的头寸,例如,along positioninstocks 股票的多头头寸

3. exercise 在这里意思为:期权行权

4. writes (sells) call options :卖出看涨期权。这里的 write 表示卖出的意思。

5. deliver the shares:交割股票。这里的 deliver 表示交割的意思,类似短语有:

deliver date 交割日。举个例子:

Last delivery day: second business day following the last trading day of the delivery month. 最后交割日:交割月份最后一个交易日之后的第二个营业日。

6. call 期权的Covered Call策略 optionsonthat same asset 意思为:同一资产的看涨期权。注意这里option 后面搭配的介词为 ON

二. Covered Call 的本质是什么?

以股票的Covered Call为例子:covered call组合为:实时买入股票(股票多头买入仓位)+委托卖出止盈(通过卖出看涨期权来实现委托卖出止盈)。这里特别说明下买入是指令是实时的,而卖出止盈的指令是委托而不是实时交易。

有人可能说,我为什么不用实时买入股票+委托卖出指令就可以了,还用卖出call option来代替委托卖出指令,这不是多此一举吗?其实不然!应为covered call 比委托卖出止盈指令多了一个期权费,这意味着买入股票的成本应为:S(股票成本)减去 C(卖出看涨期权所获得的期权费收入), 即:Net purchase price = S - C

A covered call serves as a short-term hedgeona long stock position and allows 期权的Covered Call策略 期权的Covered Call策略 期权的Covered Call策略 investors to earn income via thepremiumreceived for writing the option. However, the investor forfeits stock 期权的Covered Call策略 gains if the price moves above the option'sstrike price.

A premium is a sum of money that you pay regularly to an insurance company for an insurance policy. 保险费

例:It is too early to say whether insurance premiums will be affected. 保险费会不会受到影响现在判定还为时过早。

2. strike price:执行价

三. Covered 期权的Covered Call策略 期权的Covered Call策略 Call 的最大收益、最大损失和盈亏平衡点

The maximum profit of a covered call is equivalent to the strike price of 期权的Covered Call策略 the short call option, less the purchase price of the underlying stock, plus thepremiumreceived.

The maximum lossis equivalent tothe purchase price of 期权的Covered Call策略 the underlying stock less the premium received.

人民币风险逆转期权组合解读:Covered call 期权策略

To execute aCovered Callan investor holding 期权的Covered Call策略 along positioninan asset thenwrites(sells) call optionsonthat 期权的Covered Call策略 期权的Covered Call策略 same asset to generate an income stream. The investor's long position in the asset is the "cover" because it means the seller candeliver the sharesif the buyer of the call option chooses toexercise.

1. Covered Call 意思为:备兑看涨期权

Covered 期权的Covered Call策略 Call 备兑看涨期权里的covered意思为“备兑”可以理解为“准备兑付”,call 可以理解为“看涨期权”,连起来便可以读为,“准备兑付看涨期权”。顾名思义,该策略包括卖出一份看涨期权,同时买入相应的标的资产以准备兑付未来可能发生的行权。也可以理解这个卖出的看涨期权是百分百实物担保交割的。

2. long position这里是多头头寸的意思,空头头寸可以用 short position,position 后面搭配介词in 意思为:xxx的头寸,例如,along positioninstocks 股票的多头头寸

3. exercise 在这里意思为:期权行权

4. writes (sells) call options :卖出看涨期权。这里的 write 表示卖出的意思。

5. deliver the shares:交割股票。这里的 deliver 表示交割的意思,类似短语有:

deliver date 交割日。举个例子:

Last delivery day: second business day following the last trading day of the delivery month. 最后交割日:交割月份最后一个交易日之后的第二个营业日。

6. call optionsonthat same asset 意思为:同一资产的看涨期权。注意这里option 后面搭配的介词为 ON

二. Covered Call 的本质是什么?

以股票的Covered Call为例子:covered call组合为:实时买入股票(股票多头买入仓位)+委托卖出止盈(通过卖出看涨期权来实现委托卖出止盈)。这里特别说明下买入是指令是实时的,而卖出止盈的指令是委托而不是实时交易。

有人可能说,我为什么不用实时买入股票+委托卖出指令就可以了,还用卖出call option来代替委托卖出指令,这不是多此一举吗?其实不然!应为covered call 比委托卖出止盈指令多了一个期权费,这意味着买入股票的成本应为:S(股票成本)减去 C(卖出看涨期权所获得的期权费收入), 即:Net purchase price = S - C

A covered call serves as a short-term hedgeona long stock position and allows investors to earn income via thepremiumreceived for writing the option. However, the investor forfeits stock gains if the price moves above the option'sstrike price.

A premium is a sum of money that you pay regularly to an insurance company for an insurance policy. 保险费

例:It is too early to say whether insurance premiums will 期权的Covered Call策略 be affected. 保险费会不会受到影响现在判定还为时过早。

2. strike price:执行价

三. Covered Call 的最大收益、最大损失和盈亏平衡点

The 期权的Covered Call策略 maximum profit of a covered call is equivalent to the strike price of the 期权的Covered Call策略 short call option, less the purchase price of the underlying stock, plus thepremiumreceived.

The maximum lossis equivalent tothe purchase price of the underlying stock less the premium received.

Covered call (connection with put call parity)

I am finding some difficulty understanding the relation of the put call parity to the covered call you made on page 141 on Hull, Options, Futures & Other Derivatives. See below:

I would appreciate if you could throw more light on it.

Thanks in advance.

Arka Bose

Active Member

Hi there,
Covered call strategy means you have written a call (short call) and then purchased a stock to hedge against your short call position.
What the hull text says is that we an create a covered call through algebraic manipulation of the put call parity.
Here is how:
the PCP equation is 期权的Covered Call策略 S+P=C+K
Now, our target is to create a portfolio of S and '-C' (negative 期权的Covered Call策略 as we are short on the call option
So, to create the portfolio of S-C, just take the S-C in left hand side of the equation and put others on 期权的Covered Call策略 the right hand side.
Thus, it will stand out to be S-C= K-P
K-P can be though of a long zero coupon bond and a short position in a put option. Thus covered call, i.e S-C can be thought of a replicating portfolio of 期权的Covered Call策略 a ZCB and a short put.
Intuitively, we can create any replicating portfolio through this algebraic manipulation of the put call parity 期权的Covered Call策略 equation

【期權基礎】用Covered Call悶市照贏

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