怎么用期权对冲一个投资组合？

Chemist_MZ 发表于 2013-11-6 07:22
It's not hard,

Your portfolio's beta=b, while the index's beta is needless to say equals to 1

by the way, i am using the Black-Scholes model for evaluating it, so i have to get the strike price

Angry＂No. 发表于 2013-11-6 08:17
by the way, i am using the Black-Scholes model for evaluating it, so i have to get the strike pric ...

You are using index option, so the delta is of course the index option's delta.

Strike price can vary according to your demand. ITM, ATM, OTM are all ok. Different strike has different delta. ATM is usually more liquid, OTM is cheaper, but you have to buy more, ITM is expensive but more liquid than OTM and you can buy less. It depends on your choice.
And there is also a difference in hedge the change in price or hedge until time to maturity. The way use delta and beta is hedge the every day price change of your portfolio, while if you want to hedge to maturity of the option, this is just hedge a level, which means you only want to secure the value of your portoflio at time to maturity regardless of whether you lose or gain in the process.

best,

Chemist_MZ 发表于 2013-11-6 08:52
You are using index option, so the delta is of course the index option's delta.

Strike price ca ...

as the question i asked u early, if the index is 3000 now, it's the strike price is around 3000? or the strike price is around the portfolio price?

regards

Angry＂No. 发表于 2013-11-6 09:53
as the question i asked u early, if the index is 3000 now, it's the strike price is around 3000? o ...

Option is a series of contracts namely the strike is not unique. If the index is 3000 the strike may very from 2500, 2505, 2510... 3000...3495, 3500. All of them are tradable, that is why we call it option chain.

Best,

Chemist_MZ 发表于 2013-11-6 10:27
Option is a series of contracts namely the strike is not unique. If the index is 3000 the strike m ...

all right, thanks so much.  
you have a good one.

Angry＂No. 发表于 2013-11-5 19:22
感觉不太妥当，应该是买一只什么股指的，如果分别买5个股票的期权就不是组合了

买股指是比较常用的方法，但前提是必须知道这五种股票的权重啊！

simulink2011 发表于 2013-11-7 11:38
买股指是比较常用的方法，但前提是必须知道这五种股票的权重啊！

我知道股票的权重了，你还有另外的方法吗？

simulink2011 发表于 2013-11-7 11:38
买股指是比较常用的方法，但前提是必须知道这五种股票的权重啊！

除了买股指

我知道==会不会太晚了
假设某机构投资者有市值3000万元的现货投资组合，其与沪深300指数的贝塔系数为1.2，沪深300指数目前点位3000点，沪深300股指期权的合约乘数为100元/点，该机构决定买入平值的看跌期权为投资组合套保，该看跌期权的价格为50点，delta为-0.48。
　　套期保值的实质是使得（原始投资组合+看跌期权）组合头寸的delta为0，因此需要买入的看跌期权手数=（3000万×1.2）/（3000×0.48×100）=250手。套保成本=250×50×100=125万，占初始投资组合市值的4.17%。

Chemist_MZ 发表于 2013-11-6 08:52
You are using index option, so the delta is of course the index option's delta.

Strike price ca ...

Hi, As you mentioned above, there are two ways to use index option, I have a question, that is what's the difference between hedge the change in price or hedge until time to maturity, I mean the difference in the return curve. And as a hedge fund, do you think which way is better?
Thanks!