主管单位：江苏省昆山市千灯镇人民

NothingbelowthispointGuide@

2.68Guide@

1.57Guide@

1.97SubtitleGuide@

2.64Guide@

2.99NothingbelowthispointNothingbelowthispointGuide@

0.22Guide@

4.77GloTraderandFuturesOptionsTradingFuturesOptions期货期权交易Tradingoptionsinvolvessubstantialrisksoflossandisnotappropriateforeveryone.Therefore,ONLYRISKCAPITALSHOULDBEUSEDFORTRADING.Riskcapitalisdefinedasthemoneythatapersoncanaffordtolose.Wecannotguaranteeperformanceanddonotguaranteeagainstanylossofprincipleorcapital.Youassumetheentirecostandriskofanytradingyouchoosetoundertake.Youaresolelyresponsibleformakingyourowninvestmentdecisions.期权交易涉及重大损失风险，不适合所有人。适合用风险资本来做期权交易。风险资本定义是“您能全部输得起的钱”。我们不能保证您将总是盈利，也不能保证您没有资本损失。假设您选择采用全部资本的风险交易。你将为使自己的投资决定负全部负责。JasonMather,CTAArxAssetManagement,LLC苍穹龙骑

2ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineDISCLAIMERFuturesandoptionstradinginvolvessubstantialriskoflossandisnotsuitableforeveryinvestor.Thevaluationoffuturesandoptionsmayfluctuate,and,asaresult,clientsmaylosemorethantheiroriginalinvestment.Theimpactofseasonalandgeopoliticaleventsisalreadyfactoredintomarketprices.Thehighlyleveragednatureoffuturestradingmeansthatsmallmarketmovementswillhaveagreatimpactonyourtradingaccountandthiscanworkagainstyou,leadingtolargelossesorcanworkforyou,leadingtolargegains.Ifthemarketmovesagainstyou,youmaysustainatotallossgreaterthantheamountyoudepositedintoyouraccount.Youareresponsibleforalltherisksandfinancialresourcesyouuseandforthechosentradingsystem.Youshouldnotengageintradingunlessyoufullyunderstandthenatureofthetransactionsyouareenteringintoandtheextentofyourexposuretoloss.Ifyoudonotfullyunderstandtheserisksyoumustseekindependentadvicefromyourfinancialadvisor.Â

Alltradingstrategiesareusedatyourownrisk.Thissoftwareshouldnotberelieduponasadviceorconstruedasprovidingrecommendationsofanykind.Itisyourresponsibilitytoconfirmanddecidewhichtradestomake.Tradeonlywithriskcapital;thatis,tradewithmoneythat,iflost,willnotadverselyimpactyourlifestyleandyourabilitytomeetyourfinancialobligations.Pastresultsarenoindicationoffutureperformance.Innoeventshouldthecontentofthiscorrespondencebeconstruedasanexpressorimpliedpromise,guaranteeorimplicationfromTradersEducationLLCthatyouwillprofitorthatlossescanorwillbelimitedinanymannerwhatsoever.TradersEducationLLCisnotresponsibleforanylossesincurredasaresultofusinganyofourtradingstrategiesandsoftware.TheAutoTradershouldneverbeleftunattendedduetothepossibilityofeventsoutofyourcontrol,suchascomputerordatafailure,poweroutages,positionmismatches,and/ornetworkproblems.Loss-limitingstrategiessuchasstoplossordersmaynotbeeffectivebecausemarketconditionsortechnologicalissuesmaymakeitimpossibletoexecutesuchorders.Likewise,strategiesusingcombinationsofoptionsand/orfuturespositionssuchas"spread"or"straddle"tradesmaybejustasriskyassimplelongandshortpositions.Informationprovidedinthiscorrespondenceisintendedsolelyforinformationalpurposesandisobtainedfromsourcesbelievedtobereliable.Informationisinnowayguaranteed.Noguaranteeofanykindisimpliedorpossiblewhereprojectionsoffutureconditionsareattempted.3OnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineArxAssetManagement,LLCCopyright2012,AllrightsreservedJasonMather,杰胜

美瑟

CTA,ManagingPartnerofArxAssetManagementMemberofPhiladelphiaStockExchange滨州股票交易所成员UPenn,BSEconomics2000美国长春藤滨州大学，经济学毕业MemberofNewYorkMercantileExchangeComexDivision,2004,tradingmetalfuturesandoptions2004年纽约商品交易所，交易金属期货期权

MemberofNewYorkBoardofTrade,ICE,FINEX,andCBOE交易所成员Sr.OptionsAnalystandtrainerforManagedCapitalAdvisoryGroupandOmembers美国资产管理顾问集团高级期权分析师CTAofArxAssetManagement，CTA,ManagingPrincipal爱思资产管理商品交易经理，项目主持人，董事长4ArxAssetManagement,LLCCopyright2012,AllrightsreservedGloTraderandRMMSoft北京风软产品的主要技术优势包括：可以实现境内、外主要交易所的直连、双向交易（重点是外盘）中国境内目前唯一可实现直连CME集团Globex交易系统期权风险的深度分析与期权交易的完整实现符合国际市场标准的实时风险管理与监控提供内、外盘同步交易、风控、结算、监控的一揽子解决方案同时适应境内、外交易的中、英文用户界面及技术说明与商品交易经理CTA联合的期权培训项目，受商品交易经理，直接指导CTA理财项目操作国际化直接接轨RMMSoftplatformsadvantageSimultaneouslytradebothChinamarketsandInternationalmarketsdirectlyTheOnlyplatformthatdirectlyconnectstoCMEGlobexplatformCompleteOptionspricinganalysisandriskmanagementRealtimeinternationalstandardbackendriskmanagementandmonitoringsystemProvidestheultimateplatformsolutionforbothChinamarketsandInternationalmarketsforsimultaneoustrading,riskmanagement,clearingandmonitoringCTAinstructedoptionstrainingprogramsDirectconsultationfromCTA/traderswhoareformerNYMEX,COMEX,andCBOEfloortradersandmarketmakers.5ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineSlidePresentation3Parts分3部分讲解

OptionsEssentialsTradingOptions-Risk/RewardOptionsTradingBasicStrategies构成期权的基本原素期权交易－风险/回报期权基本交易策略6ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineSlidePresentationOverviewPart1第一部分OptionsEssentialsWhatareoptions?HowAreOptionsTraded?WhyTradeOptions?TheRightsofOptionsBuyersTheObligationsofOptionsSellersWhatIsThe'StrikePrice'?IntheMoneyvs.OutoftheMoney,AttheMoney（ITM,OTM,ATM)WhatIsAssignment?HowAreOptionsValued?Intrinsicvs.ExtrinsicValue期权基本原素

什么是期权

如何交易期权？

为什么交易期权？

期权认购方的权益？

期权认沽方的责任？

什么是期权执行价？

价内期权,价外期权,平价期权

如何执行期权权益？

期权是如何定价的？

内价和溢价7ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhatAreOptions?什么是期权？－BindingContractsThatTradeOnAnUnderlyingAsset是一个针对有标价的，可以交易商品或资产的合同－OptionsAreBoughtandSoldinPublicMarkets

这类合同在公开市场有标价出售，可以买，可以卖Stockoptions,股票权证futuresoptions,期货期权indexoptions,股指期权ETFs集合基金期权－OptionsComeWithCertainObligations&RightsRightstobuy&obligationtosellunderlyingstockorfutures

履行期权合同协议确定的价格标的权益和责任－Optionscreatedoutofthinair期权不是个实体－Zerosumprofitandloss,foreverydollarmade,someonehastoloseonedollar期权为零总数，有买家和卖家，有赢家就有输家，8ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineAprilHousingPriceExample

四月房价举例Need6monthstogetdownpayment需要六个月才拿得出定金GiveyoutherighttobuythehouseinOctoberfor$200K

权益合同允许你在十月分（6个月后）付相同的价格($200K)买这个房子Options

Contract

期权合同$5000premium5千美金inApril,2012该房价20万美金9ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineRealWorldExampleOctober十月房价情况分析PurchasePrice卖价:

$200,000OptionPrice:

期权价

$5,000TotalCost:总计

$205,000HouseValue现价:

$300,000TotalCost:总计

$205,000TotalEquity(Profit)

$95,000盈利Exerciseourrighttobuythehouse，行使权益购买房子差价减去支付费用Donotwanttoexerciseouroptiontobuythehouse不会行使权益但可以用买价十五万购买房子您损失5千元Notsoobvioushere,theoptionisacoinflip买主损失5千元卖主获取5千元PurchasePrice: $200,000OptionPrice: $5,000TotalCost: $205,000HouseValue: $200,000TotalCost: $205,000TotalEquity(Profit) -$5,000PurchasePrice: $200,000OptionPrice: $5,000TotalCost: $205,000HouseValue: $150,000TotalCost: $205,000TotalEquity(Profit)-$55,00010ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineHowAreOptionsTraded?期权是如何买卖的？OptionsTradingisSimilartoStockorFuturesQuotedlikestocksorfutureswithbid-askpricesMosttradedelectronicallybyretailtradersPremiumispricepaid(buying)orreceived(selling)Typicallybuyerspaytheaskpriceandsellersreceivethebidprice

期权交易与股票或期权相似报价与股票或期货一样买方出价和卖方报价现代交易方式绝大部分为电子交易溢价为买方付出的价和卖方获取的价买方付出卖方的价（ask),卖方获取买方的出价（bid)Options

Contract

期权合同11ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineRealworldexample2举例XYZistrading$94ashareWebuyanXYZNov100callinSeptemberandpay$2.00ashareforthisoptionOuroptionexpiresin45daysTheCallgivesustherightbutnottheobligationinNovembertobuyXYZfor$100NovemberScenarioScenario1:XYZgoesto$120ashareScenario2:XYZgoesto$80ashareScenario3:XYZstaysat$100ashareXYZ股票或期货价位$94，在9月分时我们认购1个合同XYZ,11月看涨期权出价$2美元－这个期权在45天后过期－给我们的权利（没有责任和义务）在11月以$100美元买XYZ实际情况在11月时的分析：1.XYZ涨价到$120美元2.XYZ跌价到$80美元3.XYZ停留在$100美元12ArxAssetManagement,LLCCopyright2012,AllrightsreservedScenario1Analysis实际情况1分析XYZgoesto120BuyXYZfor

$100.00CostofOption

$2.00TotalPurchasePrice

$102.00SellXYZ@

$120.00BuyXYZfor

$102.00TotalProfit

$18.00ObviousExercise行使权益购买XYZ涨价到$120买XYZ $100.00期权溢价 $2.00总费用 $102.00卖掉XYZ@ $120.00买XYZfor $102.00总利润 $18.0013ArxAssetManagement,LLCCopyright2012,AllrightsreservedScenario2Analysis实际情况2分析XYZgoesto$80BuyXYZfor

$100.00CostofOption$2.00TotalPurchasePrice$102.00SellXYZ@

$80.00BuyXYZfor

$102.00TotalLoss

$22.00Donotwanttoexerciseouroption绝对不行使权益XYZ跌价到$80买XYZ花费 $100.00期权溢价 $2.00总花费 $102.00卖掉XYZ@ $80.00买XYZ花费 $102.00总损失 $22.00Donotexercisetheoption,weareabletobuyXYZat$80,youloseonly$2,priceoftheoptionYouonlylose$2.00不行使权益购买$100元XYZ你可以买$80XYZ。你只损失$2美元期权溢价费用14ArxAssetManagement,LLCCopyright2012,AllrightsreservedScenario3Analysis实际情况3分析XYZstaysat$100BuyXYZfor

$100.00CostofOption

$2.00TotalPurchasePrice

$102.00SellXYZ@$100.00BuyXYZfor

$102.00TotalLoss

$2.00Itisthecoinflipsituation.行使权益买或不买都是损失$2美元Exerciseofnot,youloseonly$2,XYZ停留在$100BuyXYZfor $100.00CostofOption $2.00TotalPurchasePrice $102.00SellXYZ@$100.00BuyXYZfor $102.00TotalLoss $2.0015ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhatRightsDoOptionsBuyersAcquire?

期权买者获取什么权益？CallOptionsGivesthebuyertherightto

buystockorfuturesataspecifiedprice(strikeprice)Therighttobuystockorfuturesislimitedtothelifeoftheoptioncontract(expiration)PutOptionsGivesthebuyertherightto

sellstockorfuturesataspecifiedprice(strikeprice)Therighttosellstockorfuturesislimitedtothelifeoftheoptioncontract(expiration)看涨期权期权合同认购方有权利在特定价格（执行价）购买标的股票或期货认购方购买股票或期货期限被限定在期权过期之前

看跌期权认购方有权利在特定价格看跌标的股票或期货认购方看跌股票或期货期限被限定在期权过期之前16BuyCallScenario认购范例17BuyPutScenario认沽范例18ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhatObligationsDoOptionsSellersFace?期权做空者面对什么责任？CallOptionsSellermustsellstockorfuturesataspecifiedprice(strikeprice)ifassigned.Obligationremainsforthelifeoftheoptioncontract.

PutOptionsSellermustbuystockorfuturesataspecifiedprice(strikeprice)ifassigned.Obligationremainsforthelifeoftheoptioncontract.看涨期权如果认购方决定认购看涨期权，卖主必须以执行价格出售期货或期权这项责任在期权过期前有效

看跌期权如果买方决定认购看跌期权，做空方必须按执行价买回股票或期货这项义务在期权过期前有效19OnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineSellaCall认沽看涨期权20SellaPut认沽看跌期权21ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhatIsAssignment?期权到期分配？CallOptionsCalloptionsellersmustsellstockorfuturesataspecifiedprice(strikeprice)whenassigned.Example:Ifstrikepriceis$100,andstockpriceis$105,mustsellstockat$100.

PutOptionsPutoptionsellermustbuystockorfuturesataspecifiedprice(strikeprice)whenassigned.Example:Ifstrikepriceis$100,andstockpriceis$95,mustbuystockat$100.看涨期权执行期权权益时，看涨期权认沽方必须以执行价看（Strike)跌股票或期货例如：协议价为100元，股票现价为105元，则必须以100元看跌价卖出

看跌期权执行期权权益时，看跌期权认沽方必须以执行价看（Strike)看涨股票或期货例如：协议价为100元，股票现价为95元，则必须以100元看涨股票

22ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhyTradeOptions(1)?为什么交易期权？Speculation:Usingoptionstobenefitonpricemovements市场投机者盈利机会利用期权通过价格涨和跌来盈利Hedging（protection):Insurancepolicy(preservationofassets)对冲（保护）期权作为保险合同（财产保护）23ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhyTradeOptions(2)?为什么交易期权？Leverage(Buyers)CancontroltheUnderlyingWithMuchLessCapitalCalls(LongFutures)Puts(ShortFutures)LimitedRisk(Buyers)CanDefineandLimitRiskRiskislimitedtothepricepaidforoption(premium)利用杠杆（认购方）利用杠杆对于买方来说可以利用少量资金控制期货看涨期权合约替代看涨期货看跌期权合约替代看跌期货

控制风险（认购方）可以量化和限制风险风险可以被限制在付出的溢价范围内

24ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhyTradeOptions(3)?为什么交易期权？UnlimitedProfitPotential(CallBuyers)LimitedRiskwithUnlimitedProfitPotentialCalls:Unlimitedupsidepotential(nolimitonpricerise)Profitatexpiration(Ifinthemoney)=

Pricepaidforoption(ex.$500)*

-Amountinthemoney(ex.$1,500)

=+$1,000($1,500-$500)=200%Profit

无上限的获利可能性（认购看涨期权）可控风险和无限的获利可能性看涨期权:无上限获利可能性的原因在于价格提升没有上限期权合约过期前的价格(价内期权)

看涨期权合约价格(ex.$500)*

-价内价差(ex.$1,500)

=+$1,000($1,500-$500)+200%

Text25ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhyTradeOptions(4)?为什么交易期权？UnlimitedProfitPotential(PutBuyers)LimitedRiskwithUnlimitedProfitPotentialPuts:Unlimiteddownsidepotential(nolimitonpricedecline)Profitatexpiration(Ifinthemoney)=

Pricepaidforoption(ex.$500)*

-Amountinthemoney(ex.$1,500)

=+$1,000($1,500-$500)=200%Profit

无上限的获利可能性（认购看跌期权）可控风险和无限的获利可能性看跌期权:无上限获利可能性（价格下降没有下限）期权合约过期前的价格(价内期权)

看涨期权合约价格(ex.$500)*

-价内价差(ex.$1,500)

=+$1,000($1,500-$500)+200%

26OnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhyTradeOptions?为什么交易期权？增加收入减小风险减少资本和保证金保护已或利润分散持有股份分散控制涉及市场范围跟踪买入或卖出标的价IncreaseIncomeReduceRiskReduceCostandMarginProtectProfitDiversifyHoldingsCustomizeMarketExposureTargetBuyorSellPrices期权作为商品的保险工具的潜在好处

PotentialBenefitsofUsingOptionsasInsuranceofFutures27ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineWhatisThe'Strike'Price？

什么期权执行价？StrikePricePriceSpecifiedByOptionsContractAlsoknownasexercisepricePriceatwhichoptionsbuyerscansell(puts)futuresPriceatwhichoptionsbuyerscanbuy(calls)futures

期权执行价期权合同指定价格也称执行价看跌期权执行价为期权买主可以卖的价格看涨期权执行价为期权买主可以买的价格questionforJay:howthesestrikepriceswereissuedanddetermined28ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69prototypetemplate(5428278)\screenlibrary_new_final.ppt03/15/12OnlySource/FootnotesbelowthislineSP500EminiOptionsChain29ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineHowAreOptionsValued

期权价格是如何确定的？ValuationDependsonTwoVariablesExtrinsicValueAmountthevalueisoutofthemoneyTimevalueImpliedvolatilityInstrinicValueAmountthevalueisinthemoney

估值依靠两个变量外部价值价外期权的数额时间价值隐含波动率内部价值价内期权的数额

30ArxAssetManagement,LLCCopyright2012,AllrightsreservedTimeValue时间溢价TimeValueValueArisingFromTimeRemainingonOptionMoretimevalueresultsfrommoretimeremaining Reflectsgreaterchancethatoptionwillpayoff

时间价值价值随期权剩余时间长短而增加距离期权过期越多的时间产生更大的期权价值决定能够从期权中获利的更大机会31ArxAssetManagement,LLCCopyright2012,AllrightsreservedIntrinsicValue内含价IntrinsicValueValueArisingFromAmountInTheMoney(ITM)Calls(Underlyingprice>strikeprice)Puts(Underlyingprice<strikeprice)

期权内含价价值是由执行价距离标的的价（目前市场价）差看涨期权价小于标的价看跌期权标的价小于执行价

32ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineArxAssetManagement,LLCCopyright2012,AllrightsreservedHowAreOptionsValued

期权价格是如何确定的？LongCallStrikePrice=1200IntrinsicValue(UnderlyingPrice>StrikePriceof1200)ProfitableZoneatExpiration(PriceIntheMoneybymorethan$600S&PE-miniExample:Buying11200CallOptionfor$12$1Dollarinoptioncost=$50inpremium33ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineArxAssetManagement,LLCCopyright2012,Allrightsreserved申明：交易期货与期权存在风险.请用可承受风险的资产投入交易.期权和期货交易不一定适用于所有人.过去成绩不代表未来绩效。

Thismaterialisintendedforthetrainingpurposesonly,notasolicitationofanyoffertobuyorsellanysecurityorotherfinancialinstrumentortoparticipateinanytradingstrategy.Pleaserefertoimportantinformationandqualificationsattheendofthismaterial.SlidePresentationOverviewPart2第二部分OptionsRisk/RewardMeasures(Greeks)DeltaGammaVegaTheta期权风险／回报衡量期权价格的工具（Greek)Delta寸头／Delta寸头值GammaVega寸头/Vega寸头值Theta寸头/Theta寸头值34ArxAssetManagement,LLCCopyright2012,AllrightsreservedDeltaRiskvs.RewardDelta风险与回报

Delta:Therateofchangeoftheoptionvaluewithrespecttochangesintheunderlyingfuturesproduct期权价值的变动率随着标的价格的变动Percentchancethatanoptionexpiresinthemoney为衡量期权在过期时落入价内的机会35ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69OnlySource/FootnotesbelowthislineDirectionalRisk/Reward

标的价方向变化风险/回报DeltaDeltaandLongPutsLongputoptionshavenegativedelta

Profitfromdownsidemoveoftheunderlying

DeltaandLongCallsLongcalloptionshavepositivedeltaProfitfromupsidemoveoftheunderlying

认购看涨期权－正Delta值，价格上升时盈利认购看跌期权－负Delta值，价格下降时盈利36ArxAssetManagement,LLCCopyright2012,AllrightsreservedAtthemoney(ATM)options

Deltaof.50withATMoptionsOne-pointmoveofunderlyingproducesa

half-pointchangeinanoption'sprice

OutoftheMoney(OTM)options

Deltais<.50withOTMoptionsOne-pointmoveofunderlyingproducesa

lessthanhalf-pointchangeinanoption'sprice

IntheMoney(ITM)optionsDeltais>.50withOTMoptionsOne-pointmoveofunderlyingproducesa

morethanhalf-pointchangeinanoption'sprice

平价期权Delta值为0.50,标的价变动1.00时，期权价格变动等于＝0.50价外期权Delta值小于<0.50,在标的变动1.00时，期权价格变动小于0.50内价期权Delta值大于>0.50,在标的变动1.00时，期权价格变动大于0.50深层内价Delta值接近1.00,在标的变动1.00时期权价格变动接近1.00－用来取代实价购买（小部分资金取代大部分资金）DeepIntheMoney(ITM)optionsDeltais>.50withOTMoptionsOne-pointmoveofunderlyingproducesa

morethanhalf-pointchangeinanoption'sprice

DirectionalRisk/Reward2

标的价方向变化风险/回报Delta237ArxAssetManagement,LLCCopyright2012,AllrightsreservedGamma风险与回报Gamma:MeasurestherateofchangeoftheDeltaoftheoptionwithrespecttochangesintheunderlyingfuturesprice衡量期权Delta每变动一点期权价值随着标的价格的变动变动率38ArxAssetManagement,LLCCopyright2012,AllrightsreservedVegaRiskvs.RewardVega风险和回报Vega:Measurestheoptionssensitivitytovolatilityoftheunderlyingfuturescontract为衡量期权对标的的波动率的灵敏度Theriskmeasureofexposuretochangesintheimpliedvolatilityoftheunderlyingfuturescontract3839ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69prototypetemplate(5428278)\screenlibrary_new_final.ppt03/15/12OnlySource/FootnotesbelowthislineBearPutStrategyandProfitPotentialTheBearPut熊市看跌LongPosition(butshortdelta)买寸头（负Delta值）Abetonbearishmoveintheunderlying预测标的下跌Purchaseputandpaypremium买看跌期权，支付期权溢价Unlimitedprofitpotentialwithlimitedrisk无限盈利机会，有限风险

BearPutStrategyProfitScenarios熊市看跌期权技巧盈利Buyputandthensellputforhigherprice买入看跌期权，做空更高执行价看跌期权Buylow,sellhigh买低，卖高Buyputandholdtoexpiration买看跌，持仓到过期Expiresinthemoney(bymorethanpricepaid)过期时为价内期权（或者价外但高于您支付的费用）

40ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69prototypetemplate(5428278)\screenlibrary_new_final.ppt03/15/12OnlySource/FootnotesbelowthislineArxAssetManagement,LLCCopyright2012,AllrightsreservedVolatilityRisk/Reward波动率风险/回报VegaVegaandLongOptionsLongcall/putoptionshavepositivevegaProfitfromincreaseinimpliedvolatility(ceterisparibus)VegaandShortOptionsShortcall/putoptionshavenegativevegaProfitfromdecreaseinimpliedvolatility(ceterisparibus)

VegaandOptionsStrikes/MonthsAttheMoneyOptionsHavelargestvegarisk/rewardVegagrowswithmoretimevalue(backmonths)

波动率方向变化与Vega寸头／Vega寸头值认购看涨/看跌期权－正Vega值，波动率上升时盈利认沽看涨/看跌期权－负Vega值，波动率下降时盈利Vega与执行价（strikeprice)／月期(month)的关系平价期权具有最大Vega风险和回报，Vega后月分期权Vega增长带有高时间价值

41ArxAssetManagement,LLCCopyright2012,AllrightsreservedThetaRiskvs.RewardTheta风险和回报Theta:MeasuresthesensitivityofthevalueoftheoptionwithrespecttotimeAlsoknownas“timevalue”衡量期权对时间的灵敏度时间值4142ArxAssetManagement,LLCCopyright2012,AllrightsreservedOnlySource/FootnotesbelowthislineGuide@

2.68Guide@

1.64Guide@

1.95SubtitleGuide@

2.64Guide@

2.80OnlySource/FootnotesbelowthislineGuide@

0.22Guide@

4.69prototypetemplate(5428278)\screenlibrary_new_final.ppt03/15/12OnlySource/FootnotesbelowthislineTimeValueDecayRisk/Reward

时间溢价贬值风险/回报ThetaThetaandLongOptionsLongoptionshavenegativetheta

Positiondeteriorates